中国股市非对称的波动性实证研究

详细信息

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

Financial Engineering Research Center,Tianjin University, Tianjin 30 0072, China

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。
- 非对称的波动性 /
- 杠杆效应 /
- 流动性 /
- 高频数据
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.
- Asymmetric Volatility /
- leverage effect /
- liquidity /
- high-frequency data

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