商业研究
商業研究
상업연구
Commercial Research
2015年
3期
9~17
,共null页
金融危机 非对称均值回归 股市泡沫 ANST-GARCH模型
金融危機 非對稱均值迴歸 股市泡沫 ANST-GARCH模型
금융위궤 비대칭균치회귀 고시포말 ANST-GARCH모형
financial crisis; asymmetric mean reversion; the stock market bubble; ANST-GARCH model
资产价格向内在价值回归的过程具有必然性和非对称性特征,金融危机的形成就是资产泡沫积累后的快速回归均值的过程,即资产泡沫快速破裂现象。本文以股票市场为例,使用ANST-GARCH模型对世界几个最主要股票指数进行实证检验,结果表明这些股价指数都存在着显著的非对称回归现象,利空消息冲击下的均值回归速度要比利好信息冲击下的均值回归速度快,即负的回归快于正的回归。金融危机正是这种非对称均值回归的特殊表现形式。
資產價格嚮內在價值迴歸的過程具有必然性和非對稱性特徵,金融危機的形成就是資產泡沫積纍後的快速迴歸均值的過程,即資產泡沫快速破裂現象。本文以股票市場為例,使用ANST-GARCH模型對世界幾箇最主要股票指數進行實證檢驗,結果錶明這些股價指數都存在著顯著的非對稱迴歸現象,利空消息遲擊下的均值迴歸速度要比利好信息遲擊下的均值迴歸速度快,即負的迴歸快于正的迴歸。金融危機正是這種非對稱均值迴歸的特殊錶現形式。
자산개격향내재개치회귀적과정구유필연성화비대칭성특정,금융위궤적형성취시자산포말적루후적쾌속회귀균치적과정,즉자산포말쾌속파렬현상。본문이고표시장위례,사용ANST-GARCH모형대세계궤개최주요고표지수진행실증검험,결과표명저사고개지수도존재착현저적비대칭회귀현상,리공소식충격하적균치회귀속도요비리호신식충격하적균치회귀속도쾌,즉부적회귀쾌우정적회귀。금융위궤정시저충비대칭균치회귀적특수표현형식。
The process which asset prices return to the intrinsic value is inevitable and asymmetric. The financial crisis is the process that the asset bubble reverse rapidly after the accumulation,which is rapid breakdown phenomenon of the asset bubble. This paper takes the stock market as an example,and uses ANST-GARCH model to empirically test the world＇s major stock index. The results show that the stock index has asymmetric regression phenomenon obviously,under the impact of the bad news the mean regression rate is faster than under the impact of positive news,namely the negative regression is faster than the positive one. Financial crisis is a special form of this asymmetric mean reversion.
