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基于改进的AR(1)-EGARCH(1,1)-M模型,从收益率和波动性两个方面考察各类宏观信息宣告对股票市场价格行为的影响.结果表明,居民消费价格指数和商品零售价格指数对股票市场的收益有负向影响;国内生产总值、社会消费品零售总额、公开市场操作利率变动率和企业景气指数对股票市场的收益有正向影响;公开市场操作公告会导致股票市场条件收益率显著增加;其余各类宏观信息因素对股票市场收益的波动性并不存在显著影响.
Based on the improved AR (1) -EGARCH (1,1) -M model, this paper investigates the impact of various types of macroeconomic information on the stock price behavior from two aspects: the return rate and the volatility. The results show that the consumer price index and the commodity The retail price index has a negative impact on the stock market returns; the gross domestic product, the total retail sales of social consumer goods, the rate of change of the open market operating rate and the business climate index have a positive impact on the returns of the stock market; the announcement of the open market operation will cause the stock Market conditions yield significantly increased; the rest of the various types of macroeconomic information factors on the stock market returns volatility does not have a significant impact.