中国股票市场的收益与波动关系  

Analyzing the Relation between Return and Volatility:Evidence from China's Stock Market

作　　者：游宗君[1] 王鹏[2] 石建昌[3] 

机构地区：[1]西南财经大学金融学院,成都610074 [2]西南交通大学经济管理学院,成都610031 [3]西南财经大学公共管理学院,成都610074

出　　处：《系统管理学报》2010年第2期183-190,共8页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70771097);西南财经大学"211工程"三期建设资助项目

摘　　要：在考察现有的2种收益与波动关系模型(GARCH-M和SV-M)差异的基础上,运用更具理论优势的SV-M模型,研究了实行涨跌幅限制制度前后中国股市收益与波动关系的不同状况,并结合波动反馈效应理论,探讨了中国股市预期收益与波动之间的跨期关系。研究表明:中国股市的收益与同期波动之间存在负相关关系,这一关系在实行涨跌幅限制制度后变得更为显著;中国股市存在波动反馈效应,且预期收益与波动之间的跨期关系为正;涨跌幅限制制度不仅限制了沪深股市的暴涨暴跌现象,而且增加了股指收益率的自相关性和波动的持续性。Taking daily return series of two representative China stock indices as sample,this paper comprehensively investigates the contemporaneous relation between return and volatility of China stock market before and after price constrains using SV-M model.Combining empirical results with volatility feedback effect theory,the inter-temporal relation between expect return and volatility is discussed.We find negative relation between return and contemporaneous volatility which is more significant after price constrains and positive relation between expected return and inter-temporal volatility in China stock market.This study is significant to investment decision and policy support for financial authorities.

关 键 词：收益 波动 SV-M模型 波动反馈效应 涨跌幅限制 

分 类 号：F830[经济管理—金融学]