上证指数波动持久性在牛熊市的差异

中国管理科学 ›› 2011, Vol. 19 ›› Issue (2): 57-62.

上证指数波动持久性在牛熊市的差异

祖垒¹, 崔志伟², 李自然³, 张锦⁴

1. 中央财经大学管理科学与工程学院, 北京 100081;
2. 北京航空航天大学经济管理学院, 北京 100191;
3. 中国科学院数学与系统科学研究院, 北京 100190;
4. 对外经济贸易大学国际贸易学院, 北京 100029

收稿日期:2010-06-30 修回日期:2010-12-25 出版日期:2011-04-30 发布日期:2011-04-30
作者简介:祖垒(1975- ),男(汉族),河北乐亭人,中央财经大学管理科学与工程学院讲师,研究方向:博弈论、金融管理。
基金资助:
中央财经大学“211工程”三期重点学科建设项目(NSFC71003094);中央高校基本科研业务费专项资金资助项目(YWF-10-02-103,YWF-10-02-027)

The Volatility Features of Shanghai Composite Index Between Bull and Bear Markets

ZU Lei¹, CUI Zhi-wei², LI Zi-ran³, ZHAHG Jin⁴

1. School of Management Science and Engineering, Central University of Finance and Economics, Beijing 100081, China;
2. School of Economics and Management, Beihang University, Beijing 100191, China;
3. Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;
4. School of International Trade and Economics, University of International Business and Economics, Beijing, 100029, China

Received:2010-06-30 Revised:2010-12-25 Online:2011-04-30 Published:2011-04-30

摘要/Abstract

摘要： 国外研究表明,股市波动持久性在熊市会表现出比牛市更高的倾向,本文运用CGARCH模型检验了中国上证指数的波动持久性在牛熊市的差异。样本划分为3个熊市和4个牛市区间,并考虑了涨跌停板等政策变量的影响。实证结果表明,股市在熊市阶段的波动持久性较低,在牛市波动持久性较高。鉴于以往研究通常把波动持久增大作为美国股市走熊的一种解释,我们的研究说明,这种解释在中国股市并不成立。我们更倾向于从投资者情绪的角度解释波动持久性变化的成因。

关键词: 波动持久性, CGARCH, 牛市, 熊市

Abstract: Based on the market index trend,the sample data is divided into four bulls and three bears,and each is examined by CGARCH model.The empirical results show that the volatility persistence is relatively lower in bear markets than that in bull markets.In contrast to some previous findings of high volatility persistence in US bear stock market,our results imply that the cause of China's bear stock market is not attributable to the change of volatility persistence.We prefer to explain the observed differences of volatility dynamics across bull and bear markets in terms of investor sentiment.

Key words: volatility persistence, CGARCH model, bull market, bear market

中图分类号:

F830.9

祖垒, 崔志伟, 李自然, 张锦. 上证指数波动持久性在牛熊市的差异[J]. 中国管理科学, 2011, 19(2): 57-62.

ZU Lei, CUI Zhi-wei, LI Zi-ran, ZHAHG Jin. The Volatility Features of Shanghai Composite Index Between Bull and Bear Markets[J]. Chinese Journal of Management Science, 2011, 19(2): 57-62.