摘要
本文使用经过调整后的TARCH模型,对股权分置改革前后我国股票市场的波动性进行了检验,检验的结果发现股权分置改革之后,无论是上升阶段还是下降阶段,我国A股市场的整体波动性明显加剧。我们的实证分析排除了由于检验时间长短所造成的可能,也排除了由于牛熊市转换对波动性造成影响的情况。文章结尾分析了股权分置改革后股票市场波动加剧的可能原因,包括股权分置改革带来的股票市场供给的不确定性,机构投资者超常规发展带来的问题,以及国际资产价格波动的外部冲击等。本文对于正确理解当前我国资本市场的发展状况,并制定适宜的政策措施具有参考价值。
In this paper, the author uses TARCH model with a MA （1） error term as a variant of the event study methodology to explore the effect of nontradable shares reform on the Chinese A - share market returns. It offers robust empirical evidence that the market volatility of aggregate stock returns prominently increased during both the ascending and slumping periods after the reform. The paper excludes the possibilities of time horizon effects and bull market vs. bear market exchange effects by empirical analyses and then discusses some possible reasons that caused the increased volatility, which include uncertainty about market supply change because of the reform, the abnormal expansion of institutional investors and outside shock from the international assets markets. The results provide good reference for understanding current Chinese stock markets and taking effective measures to stabilize the market.
出处
《金融研究》
CSSCI
北大核心
2009年第5期84-92,共9页
Journal of Financial Research
基金
中国博士后基金二等资助金(第42批)
中国博士后基金特别资助金(第一批)资助
关键词
股权分置改革
股价波动
TARCH模型
nontradable shares reform, stock prices volatility,TARCH model
