摘要
股权分置改革中股市的波动性受到各方因素的影响。文章运用ARCH类模型,对股权分置改革中的上证指数进行分时段拟合分析,发现改革前的市场有更大的波动性并存在反向杠杆效应,且不及股改后的市场有效率。
In the stock rights splitting reform, stock market＇s undulation receives all quarterly influence from seasonal factors. The article applies ARCH models to the Shanghai Security Index in the stock rights splitting reform. The analysis is done for different time intervals. There are some interesting findings thatbefore the reform the market has a bigger undulation and have the reverse lever effect. And it is inferior to the market after reform.
出处
《统计与信息论坛》
2006年第6期89-92,共4页
Journal of Statistics and Information
关键词
股权分置改革
ARCH效应
波动性
效率
stock rights splitting reform
ARCH effect
volatility
efficiency
