摘要
为了度量我国股票市场的信息不平衡效应,文章采用Engle&Ng(1993)提出的符号检验方法对我国沪市和深市对信息的不平衡反应进行检测,并估计了不同的GARCH模型,得到关于我国股市价格运行的两点特征:沪市和深市的价格反应模式并不相同,深市表现出明显的负杠杆效应,而沪市则没有表现出明显的杠杆效应。
In order to measure the leverage effect in Chinese stock market, this paper adopts the methods raised in Engle ＆ Ng （1993） to explore the asymmetric effect on the stock market and estimates different GARCH models. It is found that the effect of information on the stock price volatility differs in Shenzhen stock market and Shanghai stock market, showing that leverage effect exists in Shenzhen stock market, but does show up in Shanghai stock market.
出处
《华中科技大学学报（社会科学版）》
2005年第2期97-101,共5页
Journal of Huazhong University of Science and Technology(Social Science Edition)
关键词
杠杆效应
符号检验
正符号检验
负符号检验
leverage effect
sign test
negative size bias test
positive size bias test
