中国沪深股市收益率和波动性的实证分析

沪市和深市股票收益率和波动性之闻具有相互作用和相互影响,存在股价变化和走势之间的互动作用和示范效应,我们发现两市收益率序列之间具有长期协整关系,这说明它们存在类似的长期趋势成分;它们的短期误差修正系数存在一定的差异,这说明它们具有相异的短期波动模式;我们利用 GARCH 模型等非对称性方法发现两市之间存在显著的波动"溢出效应"和"杠杆效应",这说明两市资金的流动性约束较低,投资主体的相关性较强,两市收益率和波动性之间具有一定程度的整合性。

THE POSITIVE ANALYSIS OF STOCK RETURNS AND VOLATILITIES IN CHINA'S STOCK MARKETS

There are interactions and influences of returns and volatilities between Shanghai and Shenzhen Stock Exchange Centers in China.We find that there is long run co-integration relationship in these two stock markets and their short run error correction coefficients are different.So,these two stock markets have similar cyclical components and dissimilar fluctuation patterns.Using the asymmetric ARCH model,we also find that there are significant spillover effects and leverage effects in these two markets.The ca...