中国股市收益波动的实证研究

采用GARCH类模型，利用上证综合指数对中国股市收益波动进行了实证研究。以前的研究显示中国股市波动存在反向的不对称性或不对称性不显著，并归因于中国股市的高投机性。而本研究的TARCH模型和EGARCH模型的实证结果首次提出了新的不同证据。说明中国股市存在显著的不对称性。对杠杆效应和波动反馈效应在中国股市的作用进行理论分析，认为波动反馈效应更能说明中国股市波动的不对称性。

An empirical study of the volatility on China's stock markets

The volatility of China's stock markets is investigated using GARCH type models. It is shown by previous studies that there existed negative volatility asymmetry or insignificant volatility asymmetry in China's stock markets, which is attributed to the high speculation involved. The results from the TARCH model and EGARCH model presented in this paper have provided different new evidence for the first time, showing that there exists appreciable asymmetry on China's stock markets. A theoretical analysis is made of the role of two explanations about asymmetry, that is, the leverage effect and volatility feedback effect, on China's stock markets. It is suggested that the volatility feedback effect should be able to better explain the asymmetry of volatility on China's stock markets.