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中国金融市场的波动性从来都是备受关注的,本文对2000年1月4日～2010年5月26日沪深两市的收益率数据进行实证研究,得出中国金融市场收益率具有尖峰厚尾的特征和ARCH效应。并检验股市的溢出效应与杠杆效应等一系列特征,得出深市具有单向的溢出效应以及沪深两市具有正的杠杆效应。最后结合中国的股市现状给出相关分析与建议。
The volatility of China’s financial market has always been of great concern. This paper conducts an empirical study on the yield data of Shanghai and Shenzhen from January 4, 2000 to May 26, 2010, and concludes that China’s financial market has a sharp peak in the yield Thick tail features and ARCH effects. And examines a series of characteristics of the stock market such as spillover effect and leverage effect. It concludes that the Shenzhen stock market has a one-way spillover effect and the Shanghai and Shenzhen stock markets have a positive leverage effect. Finally, the paper gives the relevant analysis and suggestions based on the current situation of China’s stock market.