收入差距与股市波动率  

Income Inequality and Stock Market Volatility

作　　者：张学勇[1] 陶醉[1] 

机构地区：[1]中央财经大学金融学院,邮政编码100081

出　　处：《经济研究》2014年第10期152-164,共13页Economic Research Journal

基　　金：国家自然科学基金项目(项目编号:71003113);教育部"新世纪优秀人才支持计划";中央财经大学"青年科研创新团队支持计划"资助

摘　　要：股市的波动性是资本市场的基本特征,关系到投资者进行股票估值和资产配置。近年来,随着世界各国收入差距扩大,全球股市的波动率也呈现出逐渐增大的趋势。本文从理论和实证两个方面研究各国收入分配不平等程度对股市长期波动率的影响及其内在机理。理论分析表明,由于存在参与成本,当收入分配不平等程度加重时,股票市场参与率降低,由此导致风险分担不足,进而当股市发生内生或外生扰动时,将出现较大波动。实证分析发现:一国收入分配不平等程度的增加将导致其股市波动加剧,且这一关系在发展中国家表现得更为明显。Volatility is a common characteristic of stock market, it has an important impact on the decision of capital allocation and valuation. Over the past three decades, income distribution around the world has shown a trend of deteriorating. Meanwhile, stock market volatility has also increased dramatically. This paper investigates into the relationship between income inequality and long-term stock market volatility both theoretically and empirically. Theoretical analysis shows that in the presence of entry cost, deterioration of income distribution will decrease stock market participation, which will reduce risk sharing between shareholders. Endogenous or exogenous disturbance will cause stock market to he more volatile. Empirical results document a strong positive relationship between cross-country stock market volatility and cross-country income inequality, and such relationship is stronger in developing countries than in developed countries.

关 键 词：收入差距 股市波动率 资产定价 

分 类 号：F832.51[经济管理—金融学] F124.7