CAJ | 학술논문

2001年2月19日，中国B股市场对国内居民正式开放，大量国内投资者涌入B股市场，对B股市场的风险结构产生了不可忽略的影响．对2001年2月19日前后2个阶段的深圳B股指数收益序列以及整个考察期内B股指数收益序列建立恰当的GARCH模型，比较模型的参数估计，从实证的角度证实了分阶段的合理性和必要性，同时发现中国B股市场的投资环境在逐渐变好，并且越来越遵循市场规范，正在向较成熟市场发展．
2001년2월19일，중국B고시장대국내거민정식개방，대량국내투자자용입B고시장，대B고시장적풍험결구산생료불가홀략적영향．대2001년2월19일전후2개계단적심수B고지수수익서렬이급정개고찰기내B고지수수익서렬건립흡당적GARCH모형，비교모형적삼수고계，종실증적각도증실료분계단적합이성화필요성，동시발현중국B고시장적투자배경재축점변호，병차월래월준순시장규범，정재향교성숙시장발전．
On Februay 19,2001, the B-share market of China was open to domestic residents legally. A larger number of domestic investors pour into the B-share market, which has produced dramatic effect on the risk structure of the B-share market. In this paper,the family of GARCH model was applied in modeling and analyzing Shenzhen B-share market,which was divided into two stages from Februay 19,2001 and the total review period samples. According to the comparison and study of the basic statistical results and the estimators of the model＇s parameters of the return series, the necessity and rationality of phased modeling are proved. The phased GARCH model has found that the investment environment of Chinese B-share market has changed gradually for the better, and become more and more regulated, it is becoming a mature stock market.