基于信息扩散模型的上证指数定价和波动特征研究  

Study on the pricing mechanism and fluctuation features for Shanghai Composite Index using information diffusion-based model

作　　者：李自然[1,2] 祖垒[3] 

机构地区：[1]西南财经大学互联网金融创新与监管协同创新中心,成都611130 [2]中国金融期货交易所,上海200122 [3]中央财经大学管理科学与工程学院,北京100081

出　　处：《系统工程理论与实践》2015年第6期1416-1424,共9页Systems Engineering-Theory & Practice

基　　金：上海市智能信息处理重点实验室开放课题(ⅡPL-2014-001);中央高校基本科研业务费重大基础研究项目"互联网金融发展;风险与监管研究"(JBK141117)

摘　　要：本文针对上证指数构建了基于信息扩散的风险因子,检验了其与指数收益率之间的实证关系;并对比了传统ARCH-M类模型中条件方差对收益率的解释力度.结果表明,基于信息扩散的风险因子能够更好地解释上证指数在不同发展阶段的定价和波动特征,并且对股指收益率具有更好的解释/预测效果.本文的研究揭示了波动作为信息的载体是有价的,佐证了中国股市定价机制在股权分置改革后出现了从投机市、政策市逐渐向基本面回归的转变,同时也捕捉到了股市波动特征自2014年以来出现的一些新变化.This paper builds information-diffusion-based risk factors for Shanghai Composite Index and examines the relationship between these factors and the index returns.In comparison,the paper studies the explanatory power of the conditional variance for returns derived from ARCH-M type models.The results show that the information diffusion-based risk factors well capture the fluctuation features of Shanghai Composite Index across different development stages of Chinese stock market,and possesses superior explanatory/predicting power for the index returns.It is revealed that volatility risk as a conveyor of information should be priced.This study implies a structural shift in the pricing mechanism after the share structure reform,from speculation and policy driven market to fundamental based market,and also captures some new changes in the dynamics of volatility risk after 2014.

关 键 词：风险-收益 股权分置改革 ARCH-M 信息扩散 

分 类 号：F830.91[经济管理—金融学]