| 宏观经济信息发布对沪深300指数波动性的影响 |
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| 引用本文： | 杨晨辉,刘新梅,付雷鸣,耿紫珍.宏观经济信息发布对沪深300指数波动性的影响[J].山西财经大学学报,2012(3):37-44. |
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| 作者姓名： | 杨晨辉 刘新梅 付雷鸣 耿紫珍 |
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| 作者单位： | 西安交通大学管理学院;西安交通大学过程控制与效率工程教育部重点实验室 |
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| 基金项目： | 西安交通大学“985”工程项目(07200701) |
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| 摘 要： | 以沪深300指数的五分钟高频交易数据为样本,研究了不同市态不同时段的宏观经济信息发布对沪深300指数波动性的影响。研究表明:不同市态下非交易时间宏观信息发布对沪深300指数波动的影响大于交易时间宏观经济信息发布的影响;不同市态下不同时段宏观经济信息发布对波动非对称性的影响有显著的差异性,并且牛市行情下宏观经济信息发布对波动非对称性的影响大于熊市行情下的影响。
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| 关 键 词： | 宏观经济信息发布 已实现波动率 波动的非对称性 |
The Impact of Macroeconomic Announcements on Volatility of HS300 Index in Different Market States |
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| YANG Chen-hui,LIU Xin-mei,FU Lei-ming,GENG Zi-zhen.The Impact of Macroeconomic Announcements on Volatility of HS300 Index in Different Market States[J].Journal of Shanxi Finance and Economics University,2012(3):37-44. |
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| Authors: | YANG Chen-hui LIU Xin-mei FU Lei-ming GENG Zi-zhen |
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| Institution: | g(School of Management,Xi’an Jiaotong University,Xi’an Jiaotong University,Xi’an 710049; The Key Lab of the Ministry of Education for Process Control & Efficiency Engineering,Xi’an Jiaotong University Xi’an 710049,China) |
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| Abstract: | Based on the high frequency trading data,the impact of macroeconomic announcements on volatility of HS300 stock index is investigated in different market states and different trading time.The results show that the impact of macroeconomic announcements on volatility is greater in non-trading time than in trading time in different market states,and the impact of macroeconomic announcements in different trading time on asymmetric volatility is significantly different in bull market and bear market,and the impact is grater in bull market than the impact in bear market.The research conclusions provide an empirical basis for the choice of macroeconomic announcements timing. |
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| Keywords: | macroeconomic announcements realized volatility asymmetric volatility |
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