摘要
在金融市场的风险管理过程中,对其波动特性研究是进行风险识别、监测、计量与控制的重要前提。金融资产价格波动往往具有杠杆效应,表现为坏消息比同等程度好消息带来更强烈的波动冲击。本文以我国A股四个市场指数作为研究对象,建立不同形式的非对称GARCH族模型,对当前我国资本市场的杠杆效应进行实证分析。研究表明,一是我国沪市主板的杠杆效应不明显,新息对成熟市场的冲击呈对称性;二是我国沪市中小板、深市主板和创业板存在明显的杠杆效应,投资者应关注利空消息对市场波动带来的更大冲击,审慎决策。三是相比大多数学者采用的标准GARCH模型而言,PARCH模型既可捕捉指数波动的杠杆效应,又能够进一步降低模型的信息准则。
Volatility of financial assets is often described as leverage effect,which is characterized as the fact that bad news brings a stronger volatility shock than good news of the same degree.Studying the leverage effect has important theoretical and practical significance for financial risk management.In the context of a horizontal consolidation market in recent years,is there a leverage effect on stock price at different levels of China’s capital markets?Can the asymmetric GARCH models describe these features?The article strives to answer this question,taking China’s four market indexes as research objects,establishing different forms of asymmetric GARCH models,and empirically analyzing the current leverage effect of China’s capital market.Research shows that,first,the leverage effect of the main board of the Shanghai stock market in China is not obvious,and the impact of innovation on mature markets is symmetrical.Second,there is a significant leverage effect in the small and medium-sized board of the Shanghai stock market,the main board of the Shenzhen stock market and the GEM,investors should pay attention to the greater impact on market volatility brought by the negative innovation,and prudent decision-making.Third,compared with the standard GARCH model adopted by most scholars,the PARCH model can not only capture the leverage effect of volatility,but also further reduce the information criterion of the models.
作者
张胜杰
ZHANG ShengJie(Gradute School of Chinese Academy of Social Science,Beijing 102488)
出处
《西部金融》
2021年第1期34-39,共6页
West China Finance
作者简介
张胜杰(1985.09-),男,河北石家庄人,博士研究生,现就读于中国社会科学院。
