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本文针对中国股权分置改革以来股市运行的现实,通过对非平稳非线性ARCH模型的扩展,揭示并解释了股市收益波动的特征:短期内波动存在ARCH效应但集聚性相对较弱,这说明中国股市的短期风险在加剧;成交量以非线性逻辑函数予以解释和确定,这意味着股改后中国股市的长期风险在减弱。基于此本文认为,股改后中国尤其应加强短期风险管理,强化对市场的监管,长期风险的减弱意味着股改使股市的承载能力增强,因而可适时适度扩大股市规模,以此缓解流动性过剩和减弱短期风险。
This paper aims at the reality of stock market operation since the reform of non-tradable shares in China. Through the expansion of non-stationary ARCH model, the characteristics of stock returns volatility are revealed and explained: there is ARCH effect in the short-term but the agglomeration is relatively weak, which shows that China The short-term risks of the stock market are aggravating; the volume is explained and determined by a non-linear logic function, which means the long-term risk of the Chinese stock market is weakened after the share reform. Based on this, this paper argues that China should strengthen short-term risk management and strengthen supervision of the market especially after the reform of the share reform. The reduction of long-term risk means that stock reform will enhance the carrying capacity of the stock market, so that the scale of the stock market can be moderately expanded to mitigate the excess liquidity and Reduce short-term risk.