摘要
为了检验国际股市对上海股市的影响,选取2000—2011年国际主要股票市场与中国股票市场日收盘数据,分别假定模型扰动项服从正态分布、学生t分布或广义误差分布(GED),根据极大似然函数值准则和赤池信息准则选择最优的非对称GARCH模型,研究了标准普尔500(SP500)、恒生指数(HIS)、伦敦富时(FTSE)、日经(N225)对上证综指(SSEC)的影响。结果表明:香港市场和英国市场对上海市场均存在正向影响,美国市场与上海市场负相关,香港市场的影响最为显著,日本股市对上海股市不存在明显影响。同时发现上证综指收益率波动存在杠杆效应,利空消息对股市的冲击大于利好消息对股市的冲击。
To test the impact of international stock markets on Shanghai stock market, assuming respectively that the model disturbance obeys normal distribution, student＇s t distribution or generalized error distribution （GED）,EGARCH and GJR-GARCH were used separately to study the main indices of international stock markets--including SPS00,HIS,N225,FTSE--and Shanghai composite index during 2000--2011. Then the fittest model was chosen according to the maximum likelihood function value criterion and the Akaike information criterion. The result of empirical analysis shows that the Hong Kong market and the U.K. market have positive influences on Shanghai market, while the United States market and Shanghai market are negatively correlated. The Hong Kong market has the most significant effect on the stock market of Shanghai, while the Japanese stock market has no obvious effect. Meanwhile it also shows the SSEC has lever effect, that is to say, it appears to be more volatile in response to negative shocks than to positive shocks.
出处
《北京理工大学学报（社会科学版）》
CSSCI
2012年第1期32-37,共6页
Journal of Beijing Institute of Technology：Social Sciences Edition
基金
教育部科技创新工程重大项目培育资金资助项目(708015)
关键词
股票市场
国际股市
杠杆效应
stock market
international stock market
spillover effect
