中国和印度股市波动性的比较研究

摘要

As the members of "BRIC", China and India are highly correlated and there is strong comparability between the two countries' stock market. The comparative analysis of the financial crisis after the stock market volatility characteristics of China and India is of important theoretical and realistic significance for the development of Chinese stock market. This paper makes use of ARCH model to research the characteristics of SSE Index and SENSEX volatility during the period January 2 of 2008 to April 17 of 2013. The paper conducts the comparative analysis of the financial crisis after the stock market volatility characteristics of China and India and the results show that there are obvious characteristics of variability and volatility cluster between the daily return rate of SSE Index and SENSEX , the cohesion and persistence of the volatility in India's stock market is much stronger than that in China; Neither China's stock market nor India's stock market have positive risk premium; both of the daily return rate of SSE Index and SENSEX have characteristics of leverage effect, and the leverage effect in India's stock market is much bigger than in China. It is of great theoretical and practical significance in ensuring the continuous, stable and steady development of the stock market in China.%作为“金砖四国”中的成员，中印两国股票市场具有较强的可比性。比较分析金融危机发生后两国的股市波动性特征，对中国股市发展具有理论和现实双重借鉴意义。文章利用ARCH族模型对上证综合指数和印度孟买30指数日收盘价数据展开实证研究，比较解析金融危机发生后中印两国的股市波动性特质，分析表明可变性和波动集簇性是两国收益率波动均呈现出的明显特质，而且印度比中国有更强的显示度；此外，中印两国股市收益正的风险溢价表现不显著；杠杆效应在上证综合指数收益率和印度孟买30指数收益率中均有体现，而且杠杆效应在印度股市的影响要高于中国股市。这对于确保中国股票和证券市场持续、稳定、强劲发展具有显著的理论说服力及重大的实践意义。