摘要
我国正处于经济转型升级的重要时期,资本市场改革的不断深化导致金融产品的风险增大,波动行为也具有一定特殊性。因此,加深对我国股指期货波动特征及风险的认识、加快完善股指期货市场体系尤为重要。运用成分GARCH模型对我国沪深300股指期货市场收益率波动的非对称性进行检验,并通过下行风险资本资产定价模型对下行风险进行测量。结果表明:沪深300股指期货收益率波动存在非对称性,即负面冲击会增加收益率波动,而正面冲击会降低收益率波动;沪深300股指期货的下行风险可解释部分收益率的变化,投资者会因为承担下行风险而获得额外的风险补偿;沪深300股指期货协偏度为负说明其收益率与市场波动率负相关,从而投资者会要求更高的预期收益率。因此,由于投资者对风险的厌恶,沪深300股指期货的收益率非对称性波动、高下行风险和负协偏度使其应具有更高的预期收益率。
China is in an important period of economic transformation and upgrading. The deepening reform of the capital market has led to the increasing risk of the financial products and the particularity of the volatility behavior. It is very important to deepen the understanding of the volatility characteristics and risk of the stock index futures in China,and it is also important to accelerate the improvement of the stock index futures market system. We use component GARCH model to test the asymmetry of the return volatility of the CSI300 stock index futures in China and measure the downside risk through downside capital asset pricing model. The result show that the return volatility of the CSI300 stock index futures is asymmetric,i. e. negative shock will increase return volatility and positive shock will reduce return volatility. The downside risk of CSI300 stock index futures can explain part of the return and the investors can obtain risk premium due to the downside risk.The negative coskewness indicates the negative correlation between the return and market volatility,so that the investors demand a high expected rate of return. Therefore,because of the risk aversion of the investors,the asymmetric volatility,high downside risk and negative coskewness of CSI300 should have higher expected return.
作者
邵振文
侯丹
Shao Zhen - wen, Hou Dan(School of Economics, Jilin University, Changchun Jilin 13001)
出处
《经济纵横》
CSSCI
北大核心
2018年第3期108-113,共6页
Economic Review Journal
基金
吉林大学基本科研业务费项目(编号:2016BS012)的成果
