摘要
政策对股票市场影响巨大,特别是在股票市场的高峰和低谷时期政策的影响是极其重要的,因为它可能改变股票价格原来的运行方向,从而使价格产生较大的波动。 本文采用EGARCH模型度量了股票市场在转折点时期的政策效应。首先对股市的峰、谷值窗口进行划分,对没有政策影响时的转折点时期的股指收益进行预测,然后将总样本根据研究范围的不同划分9个子样本,将牛、熊市分开,对股市转折点时期的政策效应进行了度量并做显著性检验。所得结果对政府制订政策和投资者投资决策具有一定的意义。
The effect of policy on stock market is great, especially around apex and vale, because it may change the direction of the original price so as to produce great fluctuation in price. Employing the incident research method in EGARCH model, the paper measures the policy effects on stock market at turnovers. First of all, it separates apex from vale, predicting the profits of stock index at turnovers without any policy effects and then it divides the total sample into nine sub-samples according to different research realm, separating the bull market from the bear market, and measures the policy effects on stock market at turnovers and evaluate it with significance test. The result it reaches has certain significance to both the policy making of the government and investment decision making of investors.
出处
《上海财经大学学报》
2004年第1期39-45,共7页
Journal of Shanghai University of Finance and Economics
基金
国家社会科学基金(03CJY024)
国家自然科学基金(70273062)
