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运用GARCH/TGARCH模型及印度孟买证券交易所股指数据研究印度证券市场在对外资开放过程中收益波动率的变化情况,并重点讨论了杠杆效应与波动冲击持久性等收益非对称性波动特征。实证显示:证券市场波动率较开放前有所降低,市场的有效性在开放后有所增强。汲取印度的成功经验,我国资本账户开放应该继续保持审慎渐进的资本账户开放模式,并且在证券市场对外开放过程中不断完善监管措施与相关制度。
This paper uses the GARCH / TGARCH model and the stock index data of Bombay Stock Exchange of India to study the changes of the returns volatility in the Indian securities market during the process of opening up to foreign capital. The asymmetric volatility of earnings such as the leverage effect and the persistence of volatility shocks is also discussed. The empirical study shows that the volatility of the stock market has been reduced compared with that before the opening up, and the market effectiveness has been enhanced after the opening up. Drawing on the successful experience of India, China’s capital account liberalization should continue to maintain a cautious and gradual opening mode of capital account and continuously improve the regulatory measures and relevant systems during the process of opening up the securities market.