中国股票市场的非对称波动——一个新的分析框架  

Non-symmetric Volatility in China's Stock Market:A New Analytic Framework

作　　者：毛前友[1] 

机构地区：[1]中国人民大学财政金融学院金融系,北京100872

出　　处：《当代财经》2010年第8期53-60,共8页Contemporary Finance and Economics

基　　金：中国人民大学研究生科学研究基金项目资助(10XNH001)

摘　　要：基于资产定价模型推导出的非对称波动模型,存在股利增长和股利波动两个独立的状态变量,能同时捕捉杠杆效应和波动反馈效应。用SNP-EMM方法对模型进行估计,其结果表明,中国股票市场存在波动的非对称性特征,反馈效应在经济上和统计上都表现为显著。而基于中国股票市场的数据表明,杠杆效应对非对称波动的贡献更大,且随着杠杆效应的加强,波动反馈效应对非对称系数的贡献缓慢下降。对反馈效应的经济意义作进一步的分析表明,股利冲击和波动反馈均会影响收益率。这为中国股票市场的非对称波动提供了一个新的视角。The non-symmetric volatility model deduced from the asset pricing model has two independent state variables： dividend growth and dividend volatility,which can capture both leverage effect and volatility feedback effect.This model is estimated by the method of SNP-EMM.The results indicate that there exist the non-symmetric characteristics of volatility in China’s stock market,and the feedback effect is significant both statistically and economically.However,the data which is based on China’s stock market shows that the leverage effect contributes more to the non-symmetric volatility;and along with the strengthening of the leverage effect,the contribution of the volatility feedback effect to the non-symmetric coefficient decreases lowly.A further analysis of the economic senses of the feedback effect indicates that both the dividend impact and the volatility feedback will affect the yield.This provides a new perspective to examine the non-symmetric volatility in China’s stock market.

关 键 词：非对称波动 杠杆效应 反馈效应 股利波动 半参数有效矩估计 

分 类 号：F830.91[经济管理—金融学]