ISSN 1008-2204
CN 11-3979/C

中国股市非对称的波动性实证研究

王春峰, 巩兰杰, 房振明

王春峰, 巩兰杰, 房振明. 中国股市非对称的波动性实证研究[J]. 北京航空航天大学学报社会科学版, 2008, 21(2): 5-7.
引用本文: 王春峰, 巩兰杰, 房振明. 中国股市非对称的波动性实证研究[J]. 北京航空航天大学学报社会科学版, 2008, 21(2): 5-7.
WANG Chun-feng, GONG Lan-jie, FANG Zhen-ming. An Empirical Study of Asymmetric Volatility of Chinese Stock Market Based on Different Liquidity[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2008, 21(2): 5-7.
Citation: WANG Chun-feng, GONG Lan-jie, FANG Zhen-ming. An Empirical Study of Asymmetric Volatility of Chinese Stock Market Based on Different Liquidity[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2008, 21(2): 5-7.

中国股市非对称的波动性实证研究

详细信息
    作者简介:

    王春峰(1966-),男,河北隆光人,教授,博士,研究方向为金融工程与金融风险管理.

  • 中图分类号: F832.5

An Empirical Study of Asymmetric Volatility of Chinese Stock Market Based on Different Liquidity

  • 摘要: 关于金融资产收益的非对称的波动性,许多学者用GARCH类模型对低频数据进行了研究,而 从高频数据及流动性分组角度进行考察的较少。文章以上证A股的5分钟高频数据为研究对象 ,在流动性分组的基础上,分析股票波动的非对称性。实证结果表明,对流动性好的股票而 言,好消息增大波动性,坏消息减小波动性;而对流动性差的股票而言,好消息减小波动性 ,坏消息增大波动性。
    Abstract: Asymmetric volatility of return of financial asset has been studied by many scho lars by using GACH model, but less from the view of high frequent data and liqui dity difference. This paper attempts to analyse asymmetric volatility of Chinese stock market based on different liquidity using 5-minute data. Empirical resul ts show that good news can increase the volatility and bad news can reduce the v olatility for stocks with good liquidity, while good news can reduce the volatil ity and bad news can increase the volatility for stocks with bad liquidity.
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出版历程
  • 收稿日期:  2006-11-07
  • 发布日期:  2008-06-24

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