波动性是衡量股市稳定性程度的一个重要指标,也是股市是否成熟有效的一个重要标志.中国股市自2005年9月实施股权分置改革之后,已开始进入全流通时代.伴随着股市中流通股比例的增加,股市中纯投机因素应有所抑制,股市的波动性应有所减弱.对于这一过程的波动性变化,本文采用ARCH模型对一系列已开始解禁限售股的股票进行研究,试图验证限售股解禁对股市波动性的影响.实证结果表明,限售股解禁对股价的波动性虽有一定程度的抑制作用,而且短期因素对股价波动的影响变小,但这些变化还不十分明显,这说明股权分置改革后中国股市的其它配套改革措施有必要尽快跟进,这样才能减少股市的波动性,使股市更加成熟有效.%Volatility is an important indicator to measure the degree of stock market stability, and an important sign of its maturity and effective. Since the beginning of non-tradable share reform in September 2005, China's stock market has entered the full circulation times. With the increase in the proportion of outstanding shares, purely speculative factors should be inhibited, and volatility should be weakened in stock market. In order to understand the change of volatility in this process, Autoregressive Conditional Heteroscedasticity Model is used to study a series of stocks whose restricted stock have circulated, and wetry to verify the volatility of stock is affected by restricted stock circulation. The results showon that restricted stock circulation could weaken the volatility of stock to a certain degree, and the influences on stock price fluctuations which come from short-term factors have decreased, but these changes are not sigrificant. It indicates that, after the non-tradable share reform, other supporting reform measures are should follow up as soon as possible, so as to weaken the volatility of the stock market and make it more mature and effective.
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