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本文立足于收益波动率的视角界定了金融市场稳定的内涵,提出了基于分位数回归的检验金融市场稳定的方法,并运用该方法对我国股票市场的稳定性做了实证分析。结果显示,上海股票市场从不稳定状态向稳定状态发展,特别是在美国次贷危机引发的全球金融危机之后较快地进入了稳定状态,该结论同时也通过了来自系统性冲击和波动率周期选取的稳健性检验,并且支持了我国政府应对全球性金融危机出台各项政策的积极效应和正面效应。
Based on the perspective of return volatility, this paper defines the connotation of financial market stability, puts forward a method to test the stability of financial market based on quantile regression, and uses this method to make an empirical analysis of the stability of China’s stock market. The results show that the stock market in Shanghai developed from an unstable state to a stable state, especially after the global financial crisis triggered by the U.S. subprime mortgage crisis. The conclusion also passed the period from the systemic shocks and the volatility period Selected the robustness test, and supports the positive effect and positive effect of our government in responding to the policies issued by the global financial crisis.