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基于沪深A、B股1994.1.3到2012.7.31的四组日回报率数据,本文研究了中国股票市场间条件波动率和相关系数的动态性与非对称性,分别建立了EGARCH模型和非对称形式的动态条件相关模型(DCC)进行分析。研究表明,我国股票市场的条件波动率在利空消息冲击时普遍表现出很强的非对称性,其中深B股市场的波动率非对称性表现为市场受利好信息冲击时的反应更强而不同于其他三个股票市场;尽管股票市场间条件相关系数存在着不同的非对称表现形式,但是无论是A股市场还是B股市场,其条件相关系数都表现出显著的动态非对称性。
Based on four sets of daily return data of Shanghai and Shenzhen A and B shares from 1994.1.3 to 2012.7.31, this paper studies the dynamics and asymmetry of the conditional volatility and the correlation coefficient between China’s stock markets, and establishes the EGARCH model and the non- The symmetrical form of dynamic conditional correlation model (DCC) was analyzed. The research shows that the conditional volatility of China’s stock market generally shows strong asymmetry when the news of negative news impact. The asymmetry of the volatility of the deep B-share market shows that the market response to the favorable information shock is stronger and different In the other three stock markets, the conditional correlation coefficient shows significant dynamic asymmetry in both the A-share market and the B-share market, although the conditional correlation coefficients of the stock market have different asymmetric forms.