中文摘要：

资产价格向内在价值回归的过程具有必然性和非对称性特征,金融危机的形成就是资产泡沫积累后的快速回归均值的过程,即资产泡沫快速破裂现象。本文以股票市场为例,使用ANST-GARCH模型对世界几个最主要股票指数进行实证检验,结果表明这些股价指数都存在着显著的非对称回归现象,利空消息冲击下的均值回归速度要比利好信息冲击下的均值回归速度快,即负的回归快于正的回归。金融危机正是这种非对称均值回归的特殊表现形式。

英文摘要：

The process which asset prices return to the intrinsic value is inevitable and asymmetric. The financial crisis is the process that the asset bubble reverse rapidly after the accumulation,which is rapid breakdown phenomenon of the asset bubble. This paper takes the stock market as an example,and uses ANST-GARCH model to empirically test the world＇s major stock index. The results show that the stock index has asymmetric regression phenomenon obviously,under the impact of the bad news the mean regression rate is faster than under the impact of positive news,namely the negative regression is faster than the positive one. Financial crisis is a special form of this asymmetric mean reversion.