论文部分内容阅读
本文采用EGARCH模型分析我国1998年1月5日至2007年12月28日的上证综合指数及深圳成分指数的日收盘价,考察利好消息和利空消息对我国股市波动的非对称性影响程度的差异。研究结果认为同等程度的利好消息比利空消息对我国股票市场的波动影响更大,最后从投资者特征、投资者心理、市场结构和交易机制等方面阐述这一结果形成的原因。
This article uses EGARCH model to analyze the daily closing prices of SSE Composite Index and Shenzhen Composite Index from January 5, 1998 to December 28, 2007 in China, and to investigate the differences in the impact of the positive and negative news on the asymmetry of China’s stock market volatility . The result of the study shows that the same good news is more influential on the stock market volatility in China than the negative news, and finally elaborates the reasons for the result from the characteristics of investors, investor psychology, market structure and trading mechanism.