摘要
论文针对沪深股市牛熊市中所呈现出的波动非对称性的差异,从牛熊市中投资者对信息反应的差异角度予以解释。论文以非预期交易量变化率作为投资者对信息冲击反应的代理变量,研究显示投资者在牛市行情中的过度反应,是造成沪深股市牛市行情波动正向非对称性的重要原因。与此同时论文通过对比美国、香港和沪深股市上牛熊市波动非对称性差异,进一步验证沪深市场上不完善的市场机制加剧了投资者在牛市行情中的过度反应,进而导致牛市行情中的波动正向非对称性。
This paper tries to explain the different asymmetric volatility phenomenon between the bull stock market and the bear stock market of Chinese Mainland from the aspect of the response of investors to the information shocks measured by unexpected trading volume in the different periods of stock market of Chinese Mainland. This paper uses the unexpected trading volume change rate as the proxy of the response of investors on the information shock. The results from the empirical study show that the over- response of investors in bull market are the main cause for the positive asymmetric volatility phenomenon of bull market. Meanwhile we compare the different asymmetric volatility phenomenon between America, Hong Kong and the Chinese Mainland to verify the fact that the imperfect market mechanism exacerbates the over-response of investors in the bull period, which lead to the styled positive asymmetric volatility phenomenon of bull market in Chinese Mainland stock market.
出处
《数理统计与管理》
CSSCI
北大核心
2013年第3期533-544,共12页
Journal of Applied Statistics and Management
基金
国家社会科学基金重大项目(08&ZD036)
浙江省青年资助计划(SF01000450)
浙江省社科联研究课题(2012N076)
关键词
投资者过度反应
波动正向非对称性
the over-response of investors, the positive asymmetry in volatility
