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本文基于信息扩散的角度研究市场吸收新信息的效率,为分析信息传播对股指条件方差的影响,论文给出一个利用包含信息传播速度的GJR-GARCH(1,1)。并利用该模型对上证综指和道琼斯指数进行实证研究,发现信息传播速度对上证指数波动率有明显的影响,而对道琼斯指数波动率的影响很弱。表明上海证券市场消化新信息的速度明显低于纽约证券市场。论文最后基于市场的结构特征对实证结果的差异进行了解释。
This paper studies the market efficiency of absorbing new information based on the perspective of information diffusion. In order to analyze the influence of information dissemination on the conditional variance of stock index, this paper gives a GJR-GARCH (1,1) that uses information transmission speed. The model is used to make an empirical study on the Shanghai Composite Index and the Dow Jones Index. It is found that the speed of information transmission has a significant impact on the volatility of the Shanghai Composite Index, while the impact on the volatility of the Dow Jones Index is very weak. It shows that the speed of digesting new information in the Shanghai stock market is obviously lower than that of the New York Stock Exchange. Finally, the dissertation explains the difference between the empirical results based on the structural characteristics of the market.