| 信息冲击曲线和A＋H股价格波动的非对称性研究 |
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| 引用本文： | 刘得胜. 信息冲击曲线和A＋H股价格波动的非对称性研究[J]. 广西金融研究, 2011, 0(2): 34-38 |
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| 作者姓名： | 刘得胜 |
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| 作者单位： | 长沙理工大学经管学院,湖南,长沙,410004 |
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| 摘 要： | 本文采用EGARCH模型检验了不同市场中股价波动的非对称性，并通过EXCEL软件做出了信息冲击曲线，总结归纳出四条重要结论。这四条结论对A／H股的溢价现象、牛市中A／H股的溢价扩大和熊市中A／H股的溢价缩小现象进行了相对有效的解释。在此基础上，本文考察了A股和H股之间的溢出效应，分析了A／H股溢价指数与A股的走势关系，并用所得卖证结论对A＋H股现状做出解释。
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| 关 键 词： | EGARCH模型 信息冲击曲线 溢出效应 |
Research on Information Impact Curve and the Asymmetrical Volatility of A+H Stock Price |
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| Liu Desheng. Research on Information Impact Curve and the Asymmetrical Volatility of A+H Stock Price[J]. JOurnal of Guangxi Financial Research, 2011, 0(2): 34-38 |
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| Authors: | Liu Desheng |
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| Affiliation: | Liu Desheng (Changsha University of Science and Technology, Changsha Hunan 410004) |
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| Abstract: | This paper examines the asymmetry EGARCH model, and makes the information impact important conclusions. Based on this, this paper of the stock price volatility in different markets by the curve through the excel software, then genenralizes four examines the spillover effects between A shares and H shares, analyzes the relationship between A/H stock premium index and A shares, and explains present situation of A＋H stock. |
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| Keywords: | EGARCH Model Information Impact Curve Spillover Effect |
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