摘要
为了解决股权分置的难题,中国证监会在2005年对上海证券交易所与深圳证券交易所的上市公司进行了全流通改革。由此,利用上证综合指数日收益率和深证成份指数的日收益率数据,采用GARCH(1,1)-M模型与EGARCH(1,1)-M模型对收益率的波动性进行研究。研究结果显示上海证券市场存在较明显的"杠杆效应",且股权分置改革对上海证券市场的影响较大,对深圳证券市场的影响较小;同时也显示沪深证券市场的期望收益与期望风险存在正向关系。
In 2005, CSRC（China Securities Regulatory Commission） carried out the Reform of Non-tradable Shares in the Shanghai and Shenzhen stock market so as to solve the problems of Non-tradable share. It is necessary to study how the Reform of Non-tradable Shares influences the possible risk in the domestic security market. Based the data of daily Shanghai Composite Index return and daily Shenzhen Component Index retum, the author uses the model of GARCH （1,1） -M and EGARCH（1,1） -M to analyze the volatility of the yield rate. The paper shows that there is obvious leverage effect in the Shanghai stock market, the Reform of Non-tradable Shares has notable effect to the Shanghai stock market but little effect to the Shenzhen stock market; and expected return has positive relation with expected risk in the Shanghai and Shenzheng stock market.
出处
《税务与经济》
CSSCI
北大核心
2009年第1期49-53,共5页
Taxation and Economy
关键词
GARCH模型
证券市场风险
波动性
股权分置改革
GARCH Model
risk in security market
the volatility
the reform of non-tradable shares
作者简介
孙伶俐（1980-），男，湖南邵阳人，上海财经大学金融学院博士研究生。
