中文摘要：

以上证指数收益率及其波动特征为研究对象，以实证分析为主要方法。运用GARCH-M，EGARCH等模型对上海市场收益率波动进行分析。实证分析结果表明：上海市场存在显著负的杠杆效应，利空消息引起的波动比同等的利好消息引起的波动要大。

英文摘要：

The investment returns of Shanghai stock market and characteristic of fluctuating is regarded as the research object, analyzed the fluctuation characteristics of the stock index returns in Shanghai using GARCH--M, EGARCH model. The results show that there exists remarkable negative effect of leverage Shanghai stock markets and fluctuation caused by bad news are bigger than those by the same size good news.