中国股市存在“特质波动率之谜”吗?  

Is There an Idiosyncratic Volatility Puzzle in China's Equity Market?

作　　者：邓雪春[1] 郑振龙[2] 

机构地区：[1]中国人民银行厦门市中心支行,福建厦门361004 [2]厦门大学经济学院,福建厦门361005

出　　处：《商业经济与管理》2011年第1期60-67,75,共9页Journal of Business Economics

摘　　要：文章讨论了中国股市是否存在"特质波动率之谜",实证结果表明,滞后的特质波动率并不是预期特质波动率的一个好的估计值。所谓"特质波动率之谜"是由于研究者错误地使用滞后的特质波动率来取代预期特质波动率而出现的伪现象。文章采用对每支股票的对数特质波动率序列建立ARMA模型的方法提取预期特质波动率,并利用横截面回归研究预期特质波动率与预期收益率之间的关系,研究结果表明两者之间存在显著的正向关系,这种正向关系即使在考虑了各种控制变量并经过稳健性检验之后仍然成立。This paper investigates the idiosyncratic volatility puzzle in China＇s equity market.The empirical result shows that lagged idiosyncratic volatility is not a good estimate of expected idiosyncratic volatility,and idiosyncratic volatility puzzle arises when researchers irrelevantly use the lagged volatilities as proxies for expected ones.This paper calculates the expected idiosyncratic volatilities via ARMA models,and tests the relationship between the expected idiosyncratic volatilities and the expected returns.The result suggests that there is a significant positive relationship between the expected returns and the expected idiosyncratic volatilities,even when various controlled variables are taken into consideration.

关 键 词：特质波动率 预期收益率 异质信念 

分 类 号：F830.91[经济管理—金融学]