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本文以港台股市为研究对象,通过构建EGARCH模型进行实证研究来比较港台股市在危机前后波动的非对称性效应,实证结果表明:危机前,台湾股市波动的非对称效应强于香港股市;危机后,香港股市波动的非对称效应略强于台湾股市;两市在危机后波动的非对称性效应都强于危机前。
This paper takes Hong Kong and Taiwan stock market as the research object, and through the empirical study of EGARCH model to compare the volatility asymmetry between Hong Kong and Taiwan stock markets before and after the crisis. The empirical results show that before the crisis, the asymmetry effect of stock market volatility in Taiwan was stronger than that of Hong Kong stock market. After the crisis, the asymmetric effect of Hong Kong stock market volatility was slightly stronger than that of Taiwan stock market. The asymmetric effect of the volatility of both cities after the crisis was stronger than before the crisis.