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本文选取上证指数1997年1月2日至2008年12月31日的收盘价交易数据,以印花税调整作为调整变量,通过指数自回归条件异方差模型(EGARCH)来检验我国股市是否受货币政策和财政政策的影响,以此研究股票市场的波动。结果表明印花税调整对我国股票市场波动性影响显著且存在明显的杠杆效应,并提出了规避股票市场因货币政策调整所导致的风险的建议。
In this paper, the transaction data of the closing price of the SSE Composite Index from January 2, 1997 to December 31, 2008 are selected and the stamp tax adjustment is used as the adjustment variable to test whether China’s stock market is subject to the monetary policy and the stock market volatility through the index autoregressive conditional heteroscedasticity model (EGARCH) The impact of fiscal policy in order to study the volatility of the stock market. The results show that the adjustment of stamp duty has a significant impact on the volatility of China’s stock market and there is a clear leverage effect. Some suggestions are put forward to avoid the risk caused by the monetary policy adjustment in the stock market.