摘要
波动性是诸多经济和金融研究的一个重要方面。本文采用三种具有代表性的模型对中国股票市场的波动率进行了估计。根据中国股票市场在投资者结构和交易规则方面的特性———以散户投资者为主和存在个股涨跌停板限制———本文提出 :1 .相对于系统风险 ,总风险更能反映中国股票市场绝大多数投资者承担的风险 ;2 .消除涨跌停板对波动率估计影响的两种方法 ;3 .用波动性的相对稳定性进一步分析波动性特性。并与S&P50 0成分股的波动性进行了比较研究。结果表明 1 998年以后中国股票市场的总风险已与成熟市场相当 ,但系统风险所占比重一直很大 ,相对稳定性明显差于成熟市场。本文的结论反映了中国股票市场的波动性特性 ,有助于寻找稳定证券市场的途径。
Volatility plays an important role in economic and financial studies. Three typical models are used to estimate the volatility in China's stock market. Base on the special characters of China's market on investor structure and trading rule (individual investors dominant and individual stock price limit), we put forward that: (1) comparing with systematic risk, total risk is more suitable to measure the risk borne by most investors in China's stock market. (2) Two methods deal with the price limit during volatility estimation and (3) study the volatility features further trough relative stability. We also do some comparative studies with S&P 500. The empirical results show that the total risk in China's stock market is similar to that in mature market since 1998. But systematic risk is larger all along and relative stability is worse obviously in China's market than in mature market.
出处
《金融研究》
CSSCI
北大核心
2003年第4期13-22,共10页
Journal of Financial Research
