摘要
在控制沪、深两市信息溢出效应的条件下,两阶段ARMA-EGARCH模型的实证研究结果表明,沪市对我国的三支保险股票有显著的溢出效应,上证综指在收益上对三支保险股有拉升作用,在波动上有平抑作用。三支保险股之间也存在显著的溢出效应,呈现"板块联动"的特征,其中中国人寿的影响力最大,中国平安次之,中国太保最弱。"四万亿财政刺激计划"提升了保险股的收益率,降低了其波动性。
This paper analyses the return and volatility spillover effects among three insurance stocks after controlling the information transmission from Shanghai and Shenzheng main board markets.It shows that the information transmission from Shanghai stock markets imposes significant return and volatility spillover effects on these three insurance stocks,purporting their returns and mitigating their volatility.There also exist return and volatility spillover effects among the mentioned insurance stocks.The most noteworthy impacts are those form Chinese life Insurance to the other two stocks,followed by that form Ping An,influences arising from Taibao are of the least importance.This paper discovers that the impact from the so called ＂4 trillion yuan worth fiscal stimulating plan＂ have been boosting the prices and easing the volatility of these three insurance stocks.
出处
《福建江夏学院学报》
2013年第1期1-8,共8页
Journal of Fujian Jiangxia University
基金
闽江学院"促进海西经济发展和提升自主创新能力的政策及技术研究"专项计划(YHZ10003)
福建省教育厅2011年人文社科项目(JA11205S)
闽江学院2011年社科启动项目(YSQ1102)
关键词
保险股票
信息溢出
收益波动
insurance stocks
information spillover
volatility of return
