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| 文章编号：1672-3104(2007)05−0568−05 |
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我国股票市场价格波动的非对称性及其国际比较 |
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吴毅芳，彭丹 |
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（湖南省国立投资控股有限公司，湖南长沙，410007；湖南大学工商管理学院，湖南长沙，410082） |
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| 摘 要： 以7个国家的综合指数(包括我国上证指数与深成指数)为样本，以EGARCH模型系统研究我国股票市场上价格波动的非对称性以及这种非对称性与成熟市场上的差别。结果发现，与成熟的股票市场相比，我国股票市场上价格波动的非对称较弱，这可能是由于我国股票市场的特殊结构与贷款利率缺乏刚性所造成的。 |
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| 关键词： 杠杆效应；综合指数；成熟市场；EGARCH模型 |
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The Asymmetry of Chinese stock markets’ price variability and its international counterparts |
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WU Yifang, PENG Dan |
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（Hunan State Investment Holding Co., Ltd., Changsha 410007, China；
College of Business Administration, Hunan University, Changsha 410082, China） |
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| Abstract: This paper systemmatically studies the asymmetry of the price variability of Chinese stock markets and contrasts it with those variabilities on mature markets, with composite indexes from seven countries (including Shanghai Composite and Shenzhen Component) as samples, and EGARCH models as the research tool. The research findings are that, compared with mature stock markets, the asymmetry of the price variability of the Chinese stock markets is rather weak, which might result from the unique structure of the Chinese stock markets and the lack of rigidity of the loan interest.
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Key words: leverage effect; composite index; mature stock market; EGARCH |
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