基于GARCH模型的A股与香港股市行业板块波动性分析
Volatility Analysis of Industry Sector in A-share and Hong Kong Stock Market Based on GARCH Model
摘要: 选取2013年6月3日至2018年6月3日间中国大陆A股中证300行业指数和香港股市恒生行业指数，利用GARCH族模型对大陆A股和香港股市不同行业板块的日收益率序列进行波动性建模分析，结果表明：大陆A股和香港股市各行业板块收益率的波动均存在较强的聚集性与持续性，且波动的衰减较慢，而A股市场的波动持续性强于港市；香港股市各行业板块对当日信息的敏感度整体水平比大陆股市高，但具体行业反应存在较大的差异性；大陆A股与香港股市相同行业板块间的联动性不强，同步联动的行业板块明显少于异动性板块；大陆A股与香港股市的部分板块存在非对称性，并且，大陆股市的行业板块受好消息的影响程度更大，而香港股市的行业板块受坏消息的影响程度更大。投资者可以依据A股与香港股市不同行业板块波动性的特征配置其投资组合。
Abstract: This paper uses GARCH family model to analyze the volatility of daily return series of different sec-tors in mainland A-share market and Hong Kong stock market by selecting CSI 300 industry index and Hang Seng industry index from June 3, 2013 to June 3, 2018. The results show that the volatility of the returns of different sectors in mainland A-share and Hong Kong stock markets has strong aggregation and persistence, and the decline of volatility is slow, while the volatility of A-share market is more persistent than that of Hong Kong stock market. Hong Kong stock market is more sensitive than the mainland stock market to the information of the day, but there are great differ-ences in specific industry reactions. The linkage between Mainland A-share and Hong Kong stock market is not strong, and the synchronous linkage between the same industry sectors is signifi-cantly less than that of the heterogeneous sectors. There is asymmetry to some sectors in mainland A-share market and Hong Kong stock market, and the industry sectors of mainland A-share market are more greatly affected by good news, while the industry sectors of Hong Kong stock market are more greatly affected by bad news. Investors should allocate their portfolios according to the vola-tility characteristics of different sectors in A-share and Hong Kong stock markets.
文章引用：何菊香, 吴宇晨. 基于GARCH模型的A股与香港股市行业板块波动性分析[J]. 现代管理, 2019, 9(5): 677-690. https://doi.org/10.12677/MM.2019.95083

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