中国股票市场的随机杠杆效应研究  

Study of the stochastic leverage effects in Chinese stock markets

作　　者：吴鑫育[1] 杨文昱[2] 马超群[2] Wu Xinyu;Yang Wenyu;Ma Chaoqun(School of Finance, Anhui University of Finance and Economics, Bengbu 233030, China;Business School, Hunan University, Changsha 410082, China)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030 [2]湖南大学工商管理学院,湖南长沙410082

出　　处：《系统工程学报》2017年第6期749-760,共12页Journal of Systems Engineering

基　　金：国家自然科学基金重点资助项目(71431008);国家自然科学基金创新研究群体资助项目(71221001);教育部人文社会科学基金资助项目(14YJC790133);安徽省自然科学基金资助项目(1408085QG139);安徽省高等学校省级优秀青年人才基金资助项目(2013SQRW025ZD)

摘　　要：构建了一个具有随机杠杆的随机波动率(SV-SL)模型,对中国股票市场的随机杠杆效应进行了研究.采用已实现波动率测度作为隐波动率的代理变量,建立了基于有效重要性抽样的极大似然(EIS-ML)参数估计方法,并通过蒙特卡罗模拟实验说明了参数估计方法的有效性.采用上证综合指数和深证成份指数数据进行实证研究,结果表明:总体上,中国股票市场的杠杆效应并不显著,但存在显著的随机杠杆效应;杠杆效应的方向性与股票市场行情存在密切联系,熊市阶段存在显著的杠杆效应,牛市阶段存在显著的反向杠杆效应.This paper constructs a stochastic volatility model with stochastic leverage （SV-SL model） to study the stochastic leverage effects in Chinese stock markets. Using the realized volatility measure as a proxy for the latent volatility, an efficient importance-sampling-based maximum likelihood （EIS-ML） estimation method is developed to estimate the parameters of the model. Monte Carlo simulations validate the proposed estimation approach. Finally, an empirical study for the Shanghai Stock Exchange composite index and Shenzhen Stock Exchange component index is presented. The results suggest no evidence of significant leverage effects in Chinese stock markets in general. However, significant stochastic leverage effects in Chinese stock markets are uncovered. In addition, the direction of leverage effects is closely related to the performance of stock market. Specifically, leverage effects exist in ＂bear＂ markets, while reverse leverage effects exist in ＂bull＂ markets.

关 键 词：随机杠杆效应 随机波动率 已实现波动率 有效重要性抽样 极大似然 

分 类 号：F830.9[经济管理—金融学]