| 中国股市非对称的波动性实证研究 |
| |
| 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. |
| |
| 作者姓名： | 王春峰 巩兰杰 房振明 |
| |
| 作者单位： | 天津大学,金融工程研究中心,天津,300072 |
| |
| 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。
|
| 关 键 词： | 非对称的波动性 杠杆效应 流动性 高频数据 |
| 文章编号： | 1008-2204(2008)02-0005-03 |
| 修稿时间： | 2006年11月8日 |
An Empirical Study of Asymmetric Volatility of Chinese Stock Market Based on Different Liquidity |
| |
| 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. |
| |
| Authors: | WANG Chun-feng GONG Lan-jie FANG Zhen-ming |
| |
| Institution: | WANG Chun-feng,GONG Lan-jie,FANG Zhen-ming (Financial Engineering Research Center,Tianjin University,Tianjin 300072,China) |
| |
| Abstract: | Asymmetric volatility of return of financial asset has been studied by many scholars by using GACH model,but less from the view of high frequent data and liquidity difference.This paper attempts to analyse asymmetric volatility of Chinese stock market based on different liquidity using 5-minute data.Empirical results show that good news can increase the volatility and bad news can reduce the volatility for stocks with good liquidity,while good news can reduce the volatility and bad news can increase the vol... |
| |
| Keywords: | Asymmetric Volatility leverage effect liquidity high-frequency data |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
