The Long-run and Short-run Analysis of Price Volatility for China Stock Market

[[abstract]]本文使用Component GARCH-M模型探討中國上海及深圳A、B四個股市價格模式，樣本取自1994年11月25日至2006年9月29日的股價指數日資料。結果顯示，這四個股市股價風險與報酬均一致地支持基本財務理論所認定的正向關係。總報酬指數對B股有正向顯著且幅度較A股大的影響，隱含在中國國內投資者的訊息可能較國外投資者缺乏。而匯率只對上海B股報酬具負向顯著影響，並不影響其它市場。在股價波動實證上，以交易量落後項作為資訊傳遞速度的替代變數顯著降低上海A股與B股短期波動持續性、增加深圳A股與B股短期波動持續性，降低深圳B股的長期波動持續性，卻顯著的保持著它三個市場的長期波動持續性。匯率的改變，只對上海A股的長期波動呈負向顯著影響，對其它三個市場的短期或長期波動影響均不顯著。總報酬指數的改變，對A股短期波動具正向顯著影響，但在B股市場卻呈現不顯著，對四個股市的長期波動也都沒有顯著影響。[[abstract]]Exploiting Component GARCH-M model to detect Chinese stock market, we use daily close of four stock price indices(Shanghai and Shenzhen A and B market indices) from November 25, 1994 to September 29, 2006. The results have shown a significantly positive risk-return relation exists in four markets. Total Return Index has a much significantly positive effect on B shares than A shares, implying domestic investors may have less information than foreign investors in Chinese stock market. The change of exchange rate negatively affects returns of Shanghai B market while has not obvious effect on other markets. In terms of conditional volatility of returns, on applying the lagged volume variable as a proxy for information arrival time in the variance specification, we discovered that the persistence of short-run conditional volatility has reduced in Shanghai A and B markets while has increased in Shenzhen A and B markets. The persistence of long-run conditional volatility has remained strong in all markets except in Shenzhen B market. It reveals that an increase in exchange rate causes a decrease in lasting volatility of Shanghai A shares but brings about no distinct effect in both transient and lasting volatility of other three markets. In short-run, Total Return Index has a significantly positive effect on conditional volatility of A shares but has no significantly effect on B shares, while there is no distinct effect on conditional volatility of four markets in long-run