基于事件研究法的“大小非”解禁关于股票市场风险研究

通过比较＂大小非＂解禁事件前后不同时期的风险价值VaR,来评价大小非解禁对证券市场风险的影响。首先针对股票收益率序列具有波动聚集以及尖峰、厚尾的分布形态,应用GARCH类模型计算解禁前后各一段时期内沪深两市不同解禁量股票的VaR;其次应用多种定性、定量统计方法对所计算的VaR值进行前后分析比较,分析结果表明,采用的方法能够很好地捕捉到＂大小非＂解禁事件增大股票市场风险趋势这一现象。

Studies on the Risk in Chinese Stock Markets Based on the Method of Event Study of "the Size of Non-lifting of the Ban"

This paper evaluates the impact on the risk of the stock market by comparing the different periods of VaR（Value at Risk） before and after the event of ＂the size of non-lifting of the ban＂.Firstly,considering the return of the stock having volatility clustering,high-peaked and heavy-tailed characteristics,the paper uses the GARCH models to compare the VaR of Hu-Shen stock markets in China before and after non-lifting of the ban.Then,several qualitative and quantitative statistical methods are applied to analyze and compare the VaR.The results shows that the method employed in this papercan well capture the phenomena that ＂the size of the non-lifting of the ban＂ will increase the risk of the stock markets.