“牛市”和“熊市”对信息的不平衡性反应研究

“利好”和“利空”信息对股票市场具有不平衡性的影响 ,研究这一现象对资产定价、投资组合构造及风险头寸确定都有重要作用。而新信息的出现对股票市场的影响应该区分股市所处的位置 ,这一点正是已有的波动性研究所忽视的。中国股票市场总体上不平衡性信息表现与国外不同 ,本文将股票市场波动划分为“牛市”和“熊市”两个阶段 ,采用EGARCH模型实证研究我国股票市场在牛市和熊市阶段对“利好”与“利空”的不平衡性反应特征。然后从投资者预期、结构、心理和交易机制等方面解释产生“强市恒强、弱市恒弱”现象的原因 ,指出进一步研究的方向 ,以期为投资者选择投资策略和政府制订政策提供参考

The Asymmetry Information Effect on Bull and Bear Stock Markets

Good news” and “bad news” have asymmetry effects on stock markets, which is important in asset pricing, portfolio and risk control. While the fact that different effects could occur in different stages are always neglected. The information effect on China's stock markets is different from that on foreign stock markets. We divide China's stock markets into “bull” and “bear” markets and detect the information effect in different stages using exponential ARCH (EGARCH) models. We then discuss the reason of the special impact from the point of investor's expectation, structure, and the market microstructure. Finally, we point out several problems for further research.