摘要
本文运用GARCH族模型,以中国A股市场较有代表性的沪深300指数作为研究对象,对中国股市价格波动中存在的条件异方差性和正负冲击对股价波动影响的不对称性进行检验,结果表明在样本期(2005年4月8日至2009年5月22日)内,我国股价波动存在明显的条件异方差性,但是并未发现正负冲击对股价波动影响的不对称性。
The purpose of this study is to test whether there are conditional heteroscedasticity and asymmetric impact of good news and bad news in Chinese stock price.Our analysis is based on the generalized auto regressive conditional heterockedasticity（GARCH）class of models.We selected Shenzhen and Shanghai 300 index as a proxy of Chinese stock price.We found conditional heterockedasticity in Chinese stock price during the sample,but asymmetric impact of good news and bad news are not found in sample.
出处
《和田师范专科学校学报》
2010年第3期10-12,共3页
Journal of Hotan Normal College
