摘要
基于Izhakian(2020)不确定性概率分布下的预期效用理论框架,本文实证研究了我国A股市场的模糊性溢价问题。利用上证综指的日内高频收益数据估计日收益率分布,以月度内日收益率分布的波动性衡量月度市场模糊性,并对模糊性-风险-收益的权衡关系进行实证检验。结果发现:(1)我国A股市场存在时变的模糊性,其模糊性溢价不总是正数,而是依赖于投资者对市场的预期;(2)模糊性溢价和风险溢价受到市场预期的影响,好的市场预期有正的模糊性溢价(模糊厌恶)和负的风险溢价(风险爱好),不好的市场预期有负的模糊性溢价(模糊爱好)和正的风险溢价(风险厌恶)。这些发现不同于当前文献中的许多结果,可以很好地解释市场中的"追涨杀跌"现象。
Embedding the ambiguity uncertainty into the Choquet expected utility model,and using uncertainty model framework proposed by Izhakian(2020),the uncertainty expectational utility model with ambiguity uncertainty is established using the ambiguity averse function and perceived probability,and the measure of ambiguity of risky market is obtained and the uncertainty premium is decomposed into risk premium and ambiguity premium.The evidence from the high frequency data in Chinese stock market are done.This is the first work to check the ambiguity premium in the A-share market of China.Methods.Consider a probability measure setΠ,using the model of Izhakian(2020),we establish the measure of ambiguity uncertainty is established,■Where Xis a real interval including all possible values of r.The uncertainty premium is further decompose as■Finally,an empirical equation for ambiguity premium is gotten:■Data.The intraday five minutes high frequency return data of Shanghai Exchange Index(SSE)from Jan 2000to April 2019are used.There are 232months,4,681trading days and 224,688five minutesreturn data.Results.The empirical findings show that(1)there exists the time-vary ambiguity in China’s A-share market and the ambiguity premium that is dependent on the expectation of market is not always positive;(2)the ambiguity premium and risk premium are dependent on the expectation of the market,there are positive ambiguity premium and negative risk premium for the good expectational market,and negative ambiguity premium and positive risk premium for the bad expectational market;(3)in the market with risk and ambiguity uncertainties,the risk and ambiguity aversions of investors are determined by the expectation of the market,and investors are ambiguity averse and risk preference in the good expectation of market,and are ambiguity preference and risk averse in the bad expectation of market.The empirical evidence is different from the many results in literature and can explain well the phenomenon of“chasing ups and downs”.
作者
胡志军
凌爱凡
杨超
HU Zhi-jun;LING Ai-fan;YANG Chao(School of Finance,Jiangxi University of Finance and Economics,Nanchang 330013,China)
出处
《中国管理科学》
CSSCI
CSCD
北大核心
2022年第1期42-53,共12页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71771107,72071098,72063015,71703062)
国家社会科学基金资助重大项目(21ZDA045)
江西省教育厅科技项目一般项目(GJJ190263)。
关键词
模糊性度量
模糊性溢价
风险溢价
模糊性偏好
ambiguity measurement
ambiguity premium
risk premium
ambiguity preference
