后危机时代亚洲地区股票市场风险研究——基于非对称GARCH模型

运用非对称GARCH模型对后危机时代的日本、中国、印度和韩国的股票指数收益率波动性及亚洲各国股票市场的风险进行比较可发现:亚洲地区股票指数收益率的波动呈现出聚集性和持续性,股票市场存在着冲击的非对称性;后危机时代,日本和韩国股市收益与风险不相匹配,反映出发达国家股票市场的波动性显著大于发展中国家,同时,中国股票市场的抗风险能力正在逐步加强,股票市场的信息冲击也趋于平缓。

The Risk Research on Asian Stock Markets during the Post-crisis Era

Using asymmetrical GARCH models,the author analyzed the volatility of stock index's yield,and compared the risk of Asian countries' stock markets of the most representative countries,such as Japan,China,India and Korea.The results show that there are significantly volatility clustering and persistence in Asian stock index's yield,and there are impactive asymmetry on the stock markets.The return and risk of stock market are not matched in Japan and Korea during the post-crisis era,which reflect the volatilit...