【摘要】 股票市场上的信息通过改变交易者的预期,使股票价格发生变化,从而对波动性产生影响。本文以上海股票市场为例,选择合适的 ARCH 族模型检验了市场上每一天的所有信息对市场波动性总的影响。研究结果表明,不论是基于总样本还是各个子样本,信息对市场波动性均有统计上显著的影响;但是,在各个子样本期间,信息对波动性的影响是有差异的。在早期实行严格的涨跌幅限制期间,信息对波动性影响的持续时间较短,不存在波动性的非对称效应,即“好消息”与“坏消息”对波动性的影响没有显著差异。而在放开涨跌幅限制和重新实施+-10%的涨跌幅限制期间,信息对波动性的影响会持续相当长的时间,而且出现集中而强烈的新信息冲击的概率很大。但是前者仍然不存在波动性的非对称效应,后者却存在“杠杆效应”,即“坏消息”比“好消息”更能增加市场波动性。更多还原

【Abstract】 Stock price changes when new arrival information changed the anticipation of investor.Therefore,the informa- tion may influence the volatility of stock price.In this paper,we research the effect of all information of Shanghai stock market every day on the market volatility with ARCH models.The results indicate that the information statistically significantly influ- enced the market volatility whether based on the whole sample or each sub-sample.However,the effect of information on volatility is different among the sub-samples.In early days,the variation of price was strictly restricted.In this period,the persistence of volatility was short that compared with the whole sample and there was no asymmetric effect of volatility,which means there was no significant difference between the influence of bad news and good news.The variation limit of price was abolished in the period of sub-sample 2,but new limit that allowed lager variation of price was brought into effect in the period of sub-sample 3.In these two periods,the effect of information on volatility was more persistent than that in early days and the probability of concentrated and intense new information arrival was large.There was still no asymmetric effect of volatility in the former period,but there was ‘leverage effect’in the latter period,which means the effect of bad news on the volatility was larger than that of good news.更多还原