| 我国股票市场波动非对称性的实证研究 |
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| 引用本文： | 周少甫,袁兴兴.我国股票市场波动非对称性的实证研究[J].当代经济管理,2005,27(3):154-158. |
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| 作者姓名： | 周少甫 袁兴兴 |
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| 作者单位： | 华中科技大学,经济学院,湖北,武汉,430074 |
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| 摘 要： | 本文首先对沪深两市收益率的性质作了统计分析,由统计分析的结果得知两市的收益率数据可以应用t分布下的EGARCH-M模型作波动的非对称性实证研究,研究结果证实了沪深两市中都存在显著的非对称性波动,并且,从经济意义上讲,上海股市的非对称性更显著;结果还表明,总体上讲沪市中的投机性要比深市严重。
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| 关 键 词： | 非对称性 EGARCH-M模型 投机市 |
| 文章编号： | 1673-0461(2005)03-0154-05 |
Asymmetry and Speculation in China Stock Market: An Empirical Study |
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| ZHOU Shao-pu,YUAN Xing-xing.Asymmetry and Speculation in China Stock Market: An Empirical Study[J].Contemporary Economic Management,2005,27(3):154-158. |
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| Authors: | ZHOU Shao-pu YUAN Xing-xing |
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| Abstract: | The statistical analysis of rate of return in Shanghai and Shenzhen stock markets indicates that the statistics can be applied to make researches on asymmetry through EGARCH-M model. The result proves that there exists distinguished nonsymmetrical fluctuation in the two stock markets, and economically speaking, it is more distinguished in Shanghai stock market. The result indicates that speculation in Shanghai stock market is more serious than that in Shenzhen stock market. |
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| Keywords: | asymmetry EGARCH-M model speculation market |
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