CAJ | 학술논문

本文应用MCMC方法估计了上证综指的MS—TGARCH模型，并得出中国股市的波动率存在双重不对称性。其一，每个波动状态中，中国股市的波动率都存在不对称性，其中高波动状态的波动率对“好消息”的反应显著大于“坏消息”，而低波动状态则刚好相反；其二，不同状态之间，中国股市波动率的不对称性刚好相反，并且高波动状态伴随着显著大于0的平均收益率。最后，本文从投资者心理、行为以及中国经济大环境等角度进行了解释。
본문응용MCMC방법고계료상증종지적MS—TGARCH모형，병득출중국고시적파동솔존재쌍중불대칭성。기일，매개파동상태중，중국고시적파동솔도존재불대칭성，기중고파동상태적파동솔대“호소식”적반응현저대우“배소식”，이저파동상태칙강호상반；기이，불동상태지간，중국고시파동솔적불대칭성강호상반，병차고파동상태반수착현저대우0적평균수익솔。최후，본문종투자자심리、행위이급중국경제대배경등각도진행료해석。
The paper constructs Markov-switching TGARCH model to analyze the volatility pattern in the Chinese stock market, with the model estimated via MCMC methods. As conclusions, the authors find the existence of double asymmetry of volatility in the Chinese stock market. There are asymmetric reactions of volatility not only in each volatility regime, but also between the regimes. As reasons to these unique patterns in the Chinese stock market, the explanation based on psychology and investment behavior of the Chinese investors is given finally.