贵州财经大学学报
貴州財經大學學報
귀주재경대학학보
Journal of Guizhou College of Finance and Economics
2014年
2期
43~49
,共null页
股市 GARCH 异常值 结构突变
股市 GARCH 異常值 結構突變
고시 GARCH 이상치 결구돌변
Stock Market; GARCH ; Outliers; Structural Breaks
基于1996年12月至2013年7月间的日度时间数据,并加入异常值对方差的结构突变检测影响,运用修正的ICSS算法探究中国股市波动的结构突变性.实证表明,异常值的产生往往与一些政策事件相关,这印证了中国资本市场的“政策市”特点;剔除异常值的影响后,沪深股市收益的波动分别出现了5次结构突变,波动存在轻微的伪持续性现象,突变的时点也与一些重大经济事件相对应,这反映出中国资本市场的不稳定性及政策效应.因此,监管层有必要完善市场机制建设,谨慎应对各种国内外政策冲击等引起的市场风险.
基于1996年12月至2013年7月間的日度時間數據,併加入異常值對方差的結構突變檢測影響,運用脩正的ICSS算法探究中國股市波動的結構突變性.實證錶明,異常值的產生往往與一些政策事件相關,這印證瞭中國資本市場的“政策市”特點;剔除異常值的影響後,滬深股市收益的波動分彆齣現瞭5次結構突變,波動存在輕微的偽持續性現象,突變的時點也與一些重大經濟事件相對應,這反映齣中國資本市場的不穩定性及政策效應.因此,鑑管層有必要完善市場機製建設,謹慎應對各種國內外政策遲擊等引起的市場風險.
기우1996년12월지2013년7월간적일도시간수거,병가입이상치대방차적결구돌변검측영향,운용수정적ICSS산법탐구중국고시파동적결구돌변성.실증표명,이상치적산생왕왕여일사정책사건상관,저인증료중국자본시장적“정책시”특점;척제이상치적영향후,호심고시수익적파동분별출현료5차결구돌변,파동존재경미적위지속성현상,돌변적시점야여일사중대경제사건상대응,저반영출중국자본시장적불은정성급정책효응.인차,감관층유필요완선시장궤제건설,근신응대각충국내외정책충격등인기적시장풍험.
Based on the time serial daily data between December 1996 and July 2013 ,this paper incorporate the effect of Outliers on the structural breaks, using the modified ICSS algorithm investigated sudden changes in volatility. We have determined that the i- dentification of Outliers is generally associated with most political events,it show that the policy has a significant effect on the market. Removing the Outliers,we find evidence of structural breaks in the unconditional variance of the stock markets, such a sudden changes is also associated with some important political events,this reflects the instability of the stock market and the policy effect. Therefore,the government should construct the market mechanism and deal with the market risk carefully when it caused by the kinds of domestic or foreign policies.
