| 中国证券市场波动性的实证分析 |
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| 引用本文： | 袁源.中国证券市场波动性的实证分析[J].系统工程,2008,26(6). |
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| 作者姓名： | 袁源 |
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| 作者单位： | 中南大学商学院,湖南长沙410083 |
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| 摘 要： | 考虑了中国证券市场的股权分置、企业规模、信息不对称等实际因素,通过对均衡价格中各因素的分析得到了一个波动性模型.实证研究表明,股本规模越小的公司,波动性越大,且股权分置改革将有助降低市场波动性.
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| 关 键 词： | 微观结构 全流通预期 波动性 非流通股比例 股本规模 |
An Empirical Analysis of the Volatility in China's Stock Market |
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| YUAN Yuan.An Empirical Analysis of the Volatility in China's Stock Market[J].Systems Engineering,2008,26(6). |
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| Authors: | YUAN Yuan |
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| Institution: | School of Business;Central South University;Changsha 410083;China |
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| Abstract: | In this paper,a volatility model have been obtained through the analysis of the factors of equilibrium price,in view of split share structure,enterprise scale,asymmetric information,and other practical factors in China's stock market.The empirical analysis shows that the smaller the equity scale of a listed company,the more volatile it is and that the split share structure reform will improve the volatility of market. |
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| Keywords: | Market Microstructure Split Share Structure Volatility The Proportion of Non-circulation Stocke Equity Scale |
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