摘要
本文运用GARCH族法,从股指波动特征和信息冲击反应两方面分析了沪深股市的关联特征。研究认为,整体上,沪深股市均存在簇群性,且对正负信息冲击反应上均出现"负大正小"的状态,但深市较沪市对信息更为敏感和理性。
Using the method of GARCH, this article analyzed the association characteristics of Shanghai and Shenzhen stock market from the stock index fluctuation characteristics and information impact response. Research thought that ,on the whole , There are clusters of Shanghai and Shenzhen stock markets, on the positive and negative impact and response were ＇＂ negative was small＂ state, but Shenzhen stock market was more sensitive and rational than the Shanghai stock market.
出处
《贵州财经学院学报》
北大核心
2013年第2期34-38,共5页
Journal of Guizhou College of Finance and Economics
关键词
沪深股市
信息冲击
股票收益率
股市关联
Shanghai and Shenzhen stock market
impact of information
stock yield
stock market association
