隔夜信息对资本市场收益率及波动性的影响  

The Impact of Overnight Information on the Yield and Volatility of Capital Market

作　　者：王春峰[1] 孙端[1] 房振明[1] 侯旭[1] 

机构地区：[1]天津大学管理与经济学部金融工程研究中心,天津300072

出　　处：《系统工程》2011年第11期1-6,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(70771076)

摘　　要：隔夜信息是资本市场信息的重要组成成分,对股票价格变动有不可忽视的影响。按休市时间长短将隔夜信息分为三部分并以逐步推进的方式将日内交易分为八个时段,研究随后开市一天内隔夜信息对股票收益率和波动性的影响。研究结果表明:隔夜信息对资本市场收益率和波动性均有显著影响并且休市时间长度不同的隔夜信息对收益率和波动性的影响不同;验证了隔夜信息对波动性杠杆效应的存在,此外,结果显示隔夜信息在开盘一小时后可以融入到市场价格中。Overnight information is an important factor in capital markets,and has a significant impact on stock prices.We separate nontrade period into three parts by the length of nontrade hours and investigate the impact of overnight information on the yield and volatility of stock market.First of all,the results show that the impact of overnight information on the yield and volatility is significant while each part of nontrade period has different effect on the yield and volatility.Then,this paper proves the existence of the leverage effect of overnight information on volatility.Furthermore,we find that overnight information can be integrated into the market price in an hour after opening in the morning.

关 键 词：隔夜信息 隔夜收益 随机波动模型 马尔科夫蒙特卡罗模拟 

分 类 号：F830[经济管理—金融学]