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本文首先利用沪深300指数建立了基于GARCH族模型的中国股票市场波动性模型,发现:我国证券市场波动性具有很强的持续性,证券收益率一旦受到冲击出现异常波动,短期内很难消除,且股票价格波动存在杠杆效应,即“利空消息”能比等量的“利好消息”产生更大的波动。其次,对沪深300指数和恒生指数基于VAR模型利用协整检验、脉冲响应函数和方差分解进行实证分析,结果表明:内地股市和港股存在一定的相关性。
In this paper, firstly, using the Shanghai-Shenzhen 300 Index to establish the volatility model of China’s stock market based on the GARCH family model, we find that: the volatility of China’s securities market has a strong continuity. Once the return rate of securities is abnormally fluctuated, it is hard to eliminate in the short term , And the stock price volatility has a leverage effect, that is, “bad news” can produce more volatility than the equivalent “good news”. Second, empirical analysis of the CSI 300 Index and Hang Seng Index based on the VAR model using the cointegration test, impulse response function and variance decomposition shows that there is a certain correlation between the mainland stock market and the Hong Kong stock market.