摘要
股票市场的波动受到宏观经济政策的影响。本文研究2007年1月—2019年10月的月度数据,其结论如下:(1)主效应的经济政策不确定性越高,我国股市波动率越低;(2)在惯性因素上我国股市波动率会显著受到滞后波动率的影响;(3)在结构性断点上我国股市波动率在2008年金融危机和2010年融资融券交易处存在结构性断点;(4)在交互效应上2010年融资融券交易制度的建立降低了股市波动率对于经济政策不确定性的敏感程度。本文的研究结论拓展了研究边界,为宏观政策制定及资本市场投资提供了思路参考。
The volatility of the stock market is affected by macroeconomic policies. This article studies the monthly data from January2007 to October 2019. The conclusions are as follows:(1) the higher the uncertainty of the main effect of economic policies, the lower the volatility of China’s stock market;(2) the volatility of China’s stock market on the basis of inertia factors The rate will be significantly affected by the lagging volatility;(3) structural breakpoints in China’s stock market volatility in the financial crisis in 2008 and the 2010 margin trading and securities trading structure breakpoints;(4) in the interactive effect of 2010 The establishment of the annual margin trading system reduces the sensitivity of stock market volatility to economic policy uncertainty. The research conclusions in this article expand the research boundary and provide a reference for macro policy making and capital market investment.
作者
闵诗筠
Min Shiyun(School of Business,Nanjing Normal University,Nanjing 210023,China)
出处
《江苏商论》
2020年第3期88-92,共5页
Jiangsu Commercial Forum
关键词
股市波动
经济政策不确定性
上证指数
stock market volatility
economic policy uncertainty
Shanghai Stock Index
