摘要
风险与收益关系一直是金融经济学关注的热点问题。本文以入世后沪深股价指数为样本,考察中国股票市场中风险与收益之间的动态关系。结果发现,沪深两市日收益与时变波动率之间呈显著的正相关关系,而周收益与时变波动率之间的正相关关系在统计上不显著。基于扩展GARCH-M系列模型的研究进一步发现,交易量对股票收益具有一定的预测能力,能够为风险与收益关系估计带来有用信息。本文还证实,中国股市存在显著的方差持续效应,CGARCH-M技术对中国股市风险与收益关系的拟合效果相对优于其他模型,而有关波动率非对称现象的研究结论尚不明确。
The dynamic relation~,;hip between risk and return is always an important issue in financial economy. With a sample ranging over the period after the entry into WTO, this paper explores the risk-return tradeoff in the Chinese emerging stock markets. The empirical results show that the daily returns significantly positively relate to the conditional volatility in both Shanghai and Shenzhen stock markets while the positive relationship becomes insignificant for the weekly return. The Aug-GARCH-M type model reveals that trading volume does represent valuable information flow to be used in the prediction of risk-return tradeoff. A significant persistent effect of the conditional variance is found in both markets, regardless of the fre- quency of data. This study supports that the CGARCH-M technology might be a more reasonable model to use among the GARCH-M type models.
出处
《投资研究》
北大核心
2013年第11期138-149,共12页
Review of Investment Studies
基金
教育部新世纪优秀人才支持计划项目(NECT-11-0029)
全国统计科学研究计划项目(2012LZ042)
教育部人文社会科学研究规划基金项目(13YJA630005
12YJC910005)
中央高校基本科研业务费专项资金(2012WZD02
105504GK)的资助
