利率调整对我国股市不同状态波动性的影响

基于马尔可夫结构转换模型研究利率调整对我国股市在不同波动状态情况下波动性的影响,特别在2014年~2015年沪市波动为上涨和下跌状态下的影响.考虑股市波动存在结构转换及杠杆效应,选用马尔可夫结构转换EGARCH(RS-EGARCH)模型对上证综指进行收益和波动率建模.结果显示沪市在上涨状态利好消息与同等程度利空消息冲击具有相同影响;在下跌状态利空消息冲击比利好消息的影响更大,这异于通常的杠杆效应.通过在RS-EGARCH模型均值和波动率方程中引入虚拟变量研究自2012年时隔两年后首次利率调整对沪市波动性的影响,研究发现利率下调在沪市上涨状态显著增加了收益率和波动率;而在下跌状态收益率显著降低.但通过对比研究,在2006年的利率调整对于2006年~2008年期间沪市上涨和下跌状态的波动性没有显著影响.

The impact of interest rate adjustment on the volatility of China's stock market with different regimes

Based on Markov regime-switching model,the paper investigates the impact of interest rate adjustment on the volatility of China's stock market with different regimes,especially when the volatility regimes of Shanghai Composite Index were classified into two states from 2014~2015: the falling and the rising.Considering the regime switching and leverage effect of volatility in the stock market,Markov RS-EGARCH model is used to model the return and volatility of Shanghai Composite Index.The result shows that the shock of good news has the same effect on the volatility of Shanghai Composite Index as the bad news in the rising state;the shock of bad news has a larger impact on the volatility of Shanghai Composite Index than the good news in the falling state,which is different from the usual leverage effect.Then,the impact of the interest rate adjustment after 2012 on the volatility of Shanghai Composite Index has been examined by introducing the a dummy variable into the mean and volatility equation of the RS-EGARCH model.The conclusion shows that the interest rate cut has resulted in the increase of return and volatility of Shanghai Composite Index in the rising state,and the decrease of the return in the falling state.On the contrary,the interest rate adjustment in 2006 has no significant effect on the volatility of Shanghai Composite Index in both the two states.