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王晓莉, 韩立岩. QFII制度下中国A,B股市场波动性特征比较[J]. 北京航空航天大学学报社会科学版, 2008, 22(3): 4-6.
引用本文: 王晓莉, 韩立岩. QFII制度下中国A,B股市场波动性特征比较[J]. 北京航空航天大学学报社会科学版, 2008, 22(3): 4-6.
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WANG Xiao-li, HAN Li-yan. A Comparative Analysis of Volatility in Chinese A- and B- Shares Market in QFII[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2008, 22(3): 4-6.
Citation: WANG Xiao-li, HAN Li-yan. A Comparative Analysis of Volatility in Chinese A- and B- Shares Market in QFII[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2008, 22(3): 4-6.
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QFII制度下中国A,B股市场波动性特征比较

A Comparative Analysis of Volatility in Chinese A- and B- Shares Market in QFII

    摘要
  • 摘要: 文章采用GARCH模型,从实证的角度对比分析QFII制度实施以后沪深A,B股市场的波动性特 征。结果发现,引入QFII制度后,沪深A股指数收益率的波动性明显低于B股指数的波动性。

     

    Abstract: GARCH model is used in this paper to analyze volatility comparatively in Chinese A- and B- shares market in QFII empirically. The empirical case shows that vo latility of daily yield of Chinese A- share index is remarkably lower than vola tility of daily yield of Chinese B- share index in Shanghai Stock Exchange and Shenzhen Stock Exchange in QFII.

     

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