中国股票市场波动性的实证分析

为了正确理解中国股票市场的波动性，采用无条件波动性估计方法和条件波动性模型对波动性进行度量和建模，并对中国股票市场长期波动性的特征进行动态分析和实证检验．结果表明：中国股票市场历史上确实存在较高的波动性，但是进入2000年以后波动性呈现逐年下降的趋势；较高的波动性总是出现在股市的上涨时期．而较低的波动性则出现在股市下跌时期，这种波动方式与成熟市场的波动方式存在显著差异；上海和深圳股票市场的波动性都表现出一定程度的时间依赖性和非对称性，其中深圳市场具有更显著的杠杆效应和波动性；上海市场的有效性要强于深圳市场，上海市场能够提供更高的风险溢价．

Empirical analysis of volatility in Chinese Stock Market

In order to accurately understand the volatility in Chinese stock market, unconditional volatility estimation and conditional volatility models are used to measure and model the volatility,and an dynamic and empirical analysis of characteristics of long-term volatility in Chinese stock market is provided. Empirical results show that high volatility existed in Chinese stock market in the past, but has gradually decreased since 2000;high volatility is accompanied with upside market, while low volatility is accompanied with downside market, which is quite different from the volatility pattern of foreign market. The behaviour of volatility exhibits time dependence and asymmetries in Shanghai and Shenzhen stock market,whereas there are more significant leverage effect and volatile in Shenzhen stock market. Shanghai stock market displays more efficiency than Shenzhen stock market and provides more risk premiums.