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本文采用动态面板数据系统GMM方法,以股票收益率的标准差作为股票市场波动性的衡量指标,对发展中国家和发达国家在1995-2007年期间股票市场的波动状况进行实证研究。发现金融全球化程度的提高降低了新兴市场国家股票收益率的波动性。分样本研究也基本证实金融全球化发展有熨平股票市场波动的能力。同时研究发现,股票交易周转率对发达国家和发展中国家股市波动性均不产生影响。实际GDP增长率对发达国家股票市场波动性不产生影响,但对发展中国家股票市场波动性存在负相关,说明发展中国家实际GDP增长率越高,股市收益的波动程度越稳定。
In this paper, we use the dynamic panel data system GMM method to take the standard deviation of stock returns as a measure of the volatility of the stock market, empirical research on the volatility of the stock market in developing countries and developed countries during 1995-2007. Found that the increase of financial globalization reduced the volatility of stock returns in emerging market countries. Sub-sample studies also basically confirm the financial globalization has the ability to smooth the stock market volatility. At the same time, it is found that the turnover of the stock transaction has no effect on the volatility of the stock market in both developed and developing countries. The real GDP growth rate has no effect on the volatility of stock markets in developed countries, but it is negatively correlated with the volatility of developing countries’ stock markets. This shows that the higher the real GDP growth rate of developing countries, the more stable the volatility of stock market returns.