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重大事件下中国股市的跳跃特征
Chinese stock market's jumping characteristics under the major events
重大事件发生时, 中国股市是否会发生跳跃?跳跃的特性是怎样的呢?该文应用动态Jump-Garch模型, 分别对不同类型(分为政策性事件、经济事件及自然灾害类事件)的重大事件发生时, 股票市场指数跳跃大小的条件均值、条件方差以及跳跃强度、幅度的变化情况进行了综合分析. 结果发现政策性事件的跳跃强度与幅度最大, 但滞后性、 持续性很弱; 自然灾害类事件跳跃强度与幅度最小, 但持续性和滞后性最大; 经济事件则位于二者之间.
Do jumps happen in the Chinese stock market when major events occur? What are the feature of these jumps? In this article, we adopted dynamic Jump-Garch model and analysize conditional mean, conditional variance, intensity and amplitude changes of jump. The result shows that jump intensity and amplitude of political events is greatest, together with weak hysteresis quality and endurance; natural disaster perform contrarily; economic events are placed in the middle.
重大事件 / 动态Jump-Garch / 跳跃次数 / 跳跃强度 / 跳跃幅度 {{custom_keyword}} /
major events / dynamic Jump-Garch / jump frequency / jump intensity / jump amplitude {{custom_keyword}} /
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国家自然科学基金(71071071, 11101205); 教育部人文社会科学研究规划项目(09YJA790100, 12YJAZH020); 江苏省高校哲学社会科学项目(09SJB790013); 南京财经大学研究生课程建设项目(Y1204)
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