CAJ | 학술논문

本文选取2006年1月4日到2008年12月31日期间上证综合价格指数日收益率和收益波动率的数据,建立二者变量指标的GARCH模型、AGARCH模型、EGARCH模型,对我国牛熊市轮替过程中股票市场波动的非对称性和杠杆效应进行实证分析。结果发现,股改后牛熊市期间我国股票市场的波动表现出显著的长记忆性、非对称性和杠杆效应,股票市场波动性对＂利好＂和＂利空＂消息呈现出不平衡性反应,我国股票市场出现了强市恒强、弱市恒弱现象。最后,从投资者心理预期、过度反应与反应不足、投资者构成和交易机制等方面对该结论进行了分析。
본문선취2006년1월4일도2008년12월31일기간상증종합개격지수일수익솔화수익파동솔적수거,건립이자변량지표적GARCH모형、AGARCH모형、EGARCH모형,대아국우웅시륜체과정중고표시장파동적비대칭성화강간효응진행실증분석。결과발현,고개후우웅시기간아국고표시장적파동표현출현저적장기억성、비대칭성화강간효응,고표시장파동성대＂리호＂화＂리공＂소식정현출불평형성반응,아국고표시장출현료강시항강、약시항약현상。최후,종투자자심리예기、과도반응여반응불족、투자자구성화교역궤제등방면대해결론진행료분석。
This paper uses the sample data about the daily stock return and the fluctuation ratio in the period from January 4,2006 to December 31,2008,and establishes the GARCH model,AGARCH model and EGARCH model to study the non-symmetry and the leverage effect of China＇s stock market volatility in great bull and bear market srotation process.The result indicates that China＇s stock market volatility shows significant long memory,non-symmetry and leverage effect during the bull and bear markets,and there are imbalance reaction in response to the good and bad information.A phenomenon that the strong stock market will be stonger and the weak will be weaker is appeared in China＇s stock market.Finally,it analyzes these conclusions from the following perspectives：the psychological expectation of investor,over-reaction and lack of response,the composition of investor,the trading mechanism and so on.