我国股票市场收益率的波动性区制估计与区制转移分析*

付一婷 王 勇

长春工程学院 吉林大学数量经济研究中心 吉林长春 130012

内容摘要：通过使用随机波动性模型，我们发现在我国沪市股票市场收益率的时间序列中，无论是无条件方差序列还是条件方差序列，都存在显著的区制划分和区制转移现象，这表明我国股票市场的收益和风险特征不仅在某些阶段内具有稳定性，也在某些阶段内具有动态性。股票市场波动性的区制持续性和转移性表明，我国的宏观经济调控对股票市场收益水平和风险水平产生了重要影响，同时股票市场运行态势也对宏观经济发展产生了一定的反馈作用。

关键词：股票收益率；条件波动性；区制转移；转移概率

中图分类号：                文献标识码：A                  文章编号：

 

英文标题与摘要：

Analysis of the Conditional Volatilities and Regime Switching in the Stock Returns of China’s Stock Markets

Fu Yiting Wang Yong

Changchun Institute of Technology, Quantitative Research Center of Economics in Jilin University, Changchun, 130012

Abstract: By using the stochastic volatility models, we find that there are significant evidences showing the existences of regimes switching both in the variances and conditional variance in the stock return series for Shanghai Stock Market. This finding is supporting the suggestions that there are both steady running stages and dynamic changing stage in the stock return and market risk. It means that macroeconomic control has impact on the stock market, and the stock market has played the feedback roles on economic growth.

Key words: stock returns; conditional volatility; regimes switching; transition probability

 

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