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中国股市波动存在显著的长记忆性效应,这表明基于短记忆性过程的建模对股市波动结构的拟合可能是不充分的。本文对股市收益率进行了长记忆ARMA-FIEGARCH建模,并以此研究了利率和准备金率调整对股市波动的影响。研究发现:货币政策的上调和下调对股市波动存在显著的非对称效应,利率或准备金率上调消息公布后,股市波动性显著增加。而利率或准备金率下调消息公布后,市场的波动率没有明显变化;此外利率调整较之于准备金率调整对市场的影响更为显著。研究结果为管理层运用货币政策调控股票市场提供新的决策信息。
There is a significant long memory effect in China stock market volatility, suggesting that the modeling based on short memory processes may not be adequate for the stock market volatility fit. In this paper, a long memory ARMA-FIEGARCH model of the stock market returns is used to study the impact of the interest rate and the reserve ratio adjustment on the stock market volatility. The study finds that the upward and downward adjustments of monetary policy have significant asymmetric effects on the fluctuation of the stock market, and the volatility of the stock market has increased significantly after the announcement of the increase of the interest rate or the reserve ratio. The interest rate or reserve ratio cut announcement, the market volatility did not change significantly; In addition, the interest rate adjustment compared with the reserve ratio adjustment on the market more significant impact. The findings provide management with new policy-making information using the monetary policy to regulate the stock market.