摘要
Abstract
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.关键词
市场有效性理论/波动性/ARCH模型/限售股解禁Key words
efficient market hypothesis/ volatility/ Autoregressive Conditional Heteroscedasticity model/ restricted stock circulation分类
管理科学
