基于半参数方法的股票市场风险收益关系研究  

The research of risk-return relationship between stock markets based on semiparametric model

作　　者：江雨婷 张兴发[1] 李元[1] 

机构地区：[1]广州大学数学与信息科学学院/岭南统计科学研究中心,广东广州510006

出　　处：《广州大学学报（自然科学版）》2015年第4期9-16,共8页Journal of Guangzhou University:Natural Science Edition

基　　金：国家自然科学基金资助项目(11271095;11401123);高等学校硕士学科点专项科研基金资助项目(20124410110002)

摘　　要：由于不同的经济环境以及市场运行机制,不同区域股票市场的风险收益关系往往也不尽相同.文章选取4个具有代表性的股票市场,运用半参数GARCH-M模型对它们的风险收益关系进行了实证分析研究.结果表明,半参数GARCH-M数模型在4个股票市场的表现都优于相应的参数GARCH-M模型.估计的均值函数曲线表明,4个市场风险收益关系都呈非线性关系且有着各自的特点.其中,英国股票市场的股价指数波动率变化范围最小,而中国大陆市场上证指数的最大风险溢价在4个股价指数中是最低的.Due to the different economic environments and different mechanisms of market operation,risk-return relationships of the stock markets in different regions are often not the same.This paper uses semiparametric GARCH-Mmodel to study the risk-return relationship between four different regional stock markets.The results indicated that the semiparametric GARCH-M models perform better than the corresponding parameter GARCH-Mmodel in all of the four stock markets.From the estimated mean function curve,we say that the four risk-re-turn relationships are all nonlinear relationship,and they all have their own characteristics.Among them, British stock market volatility of stock price index has the minimal range,and the Chinese market's biggest risk premium was the lowest in the four stock index.

关 键 词：风险收益 半参数GARCH-M模型 股票市场 

分 类 号：O212.7[理学—概率论与数理统计]