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股票市场上的信息通过改变交易者的预期,使股票价格发生变化,从而对波动性产生影响。本文以上海股票市场为例,选择合适的 ARCH 族模型检验了市场上每一天的所有信息对市场波动性总的影响。研究结果表明,不论是基于总样本还是各个子样本,信息对市场波动性均有统计上显著的影响;但是,在各个子样本期间,信息对波动性的影响是有差异的。在早期实行严格的涨跌幅限制期间,信息对波动性影响的持续时间较短,不存在波动性的非对称效应,即“好消息”与“坏消息”对波动性的影响没有显著差异。而在放开涨跌幅限制和重新实施+-10%的涨跌幅限制期间,信息对波动性的影响会持续相当长的时间,而且出现集中而强烈的新信息冲击的概率很大。但是前者仍然不存在波动性的非对称效应,后者却存在“杠杆效应”,即“坏消息”比“好消息”更能增加市场波动性。
Information in the stock market affects volatility by altering the trader’s expectations and changing the stock price. Taking Shanghai stock market as an example, this paper chooses the appropriate ARCH family model to test the overall impact of all the information in the market on the market volatility. The results show that the information has a statistically significant effect on the market volatility, whether based on the total sample or the individual subsamples; however, the impact of the information on the volatility varies during each sub-sample period. During the early period of strict price fluctuation limit, information had less duration of influence on volatility, and there was no asymmetric effect of volatility. There was no significant difference between “good news” and “bad news” on volatility. However, the impact of information on volatility will continue for a considerable period of time, with liberalization of the price limit and the reinstatement of the + -10% price increase limit, and the high probability of a concentrated and intense new information impact. However, the former still does not have the asymmetrical effect of volatility, while the latter has the “leverage effect” that the “bad news” can increase the market volatility more than the “good news”.