| 我国股市收益波动特征及政策因素影响分析 |
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| 引用本文： | 严武,肖民赞.我国股市收益波动特征及政策因素影响分析[J].当代财经,2005(12):29-33. |
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| 作者姓名： | 严武 肖民赞 |
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| 作者单位： | 江西财经大学,金融学院,江西,南昌,330013 |
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| 摘 要： | 基于用ARCH类模型对我国股市收益波动进行的实证分析表明,我国股市收益波动具有“时变性”、“集群性”和“不对称性”三个特征;但在我国,政策因素作为影响股市走势的一个重要变量的事实比较明显。而政策因素的影响作用,一方面会中断股市长期运行的走势;另一方面容易加剧下一阶段股市长期运行的波动程度。
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| 关 键 词： | ARCH类模型 股市收益波动 政策因素 |
| 文章编号： | 1005-0892（2005）12-0029-05 |
| 收稿时间： | 2005-10-20 |
| 修稿时间： | 2005年10月20 |
Volatility of Stock Market Yields and Policy's Impact |
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| YAN Wu,XIAO Min-zhan.Volatility of Stock Market Yields and Policy''''s Impact[J].Contemporary Finance & Economics,2005(12):29-33. |
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| Authors: | YAN Wu XIAO Min-zhan |
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| Institution: | Jiangxi University of Finance and Economics, Nanchang 330013,China |
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| Abstract: | This paper has used ARCH family models to test the volatility of the return rate of Chinese stock market and discovered that there are some characteristics such as "time variation ","cluster" and "asymmetry" in the market.The further studies also shows that the policies factors can be used to appropriately explain why the three characteristics exist in Chinese stock market. |
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| Keywords: | ARCH family models volatility of stock market yields policy's impact |
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