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一般认为中国股指涨跌由资金推动,短期资金流动引起股市价格的波动。本文开头通过成交额和沪深300指数之间两个变量进行回归,发现二者之间在较长时间段并不存在显著相关性。本文认为政策变量的冲击是引起波动的主要原因。通过TARCH模型和EGARCH模型对沪深300指数样本数据进行实证检验,发现这种政策变量的冲击存在非对称性,并提出建议减轻政策冲击。
Generally believed that the Chinese stock index up and down by the funds to promote short-term capital flows caused by fluctuations in stock prices. At the beginning of this article, the two variables of turnover and the CSI300 Index are used to regress, and it is found that there is no significant correlation between them over a long period of time. This paper argues that the impact of policy variables is the main reason for volatility. Through the empirical test of the sample data of Shanghai and Shenzhen 300 Index by TARCH model and EGARCH model, it is found that there is asymmetry in the impact of such policy variables and the suggestions to mitigate the policy shocks.