中国股市波动性研究——基于Shiller-Sentana-Wadhwani模型

股票市场的价格波动并非像传统金融学所说得那样围绕公司基本价值进行小幅震荡，常常表现出大幅波动的特征。本文采用基于garch模型作出的Shiller-Sentana-Wadhwani模型对中国股票市场成立十多年的股价波动进行实证研究，得出中国股票市场存在反馈交易且其程度随着股价波动的增大而提高、随着涨跌限制而加大的结论。

Research on China's Stock Market Fluctuation

The stock price does not fluctuate on the terms of the basic value of a company and fluctuates on a small scale as the traditional finance considers. It often demonstrates the characteristics of fluctuation by a wide margin. This article carries on the empirical research on the Chinese stock market with Shiller- Sentana - Wadhwani model on the basis of garch model. We draw the conclusion that feedback trading exists in our stock market and its degree aggravates as the increase of the stock price fluctuation as well as the price limits.