中国股票市场“特质波动率之谜”研究  

Research on “the idiosyncratic volatility puzzle” in Chinese stock market

作　　者：潘群星 张艳雯 冯胡娟 Pan Qunxing;Zhang Yanwen;Feng Hujuan(School of Finance,Nanjing University of Finance&Economics,Nanjing,Jiangsu,210023)

机构地区：[1]南京财经大学金融学院,江苏南京210023

出　　处：《市场周刊》2021年第2期127-130,共4页Market Weekly

基　　金：教育部人文社会科学研究项目“贸易摩擦背景下中美股市波动若干典型事实特征和跨国风险传染性研究”(项目编号:20YJAZH080);江苏高校哲学社会科学研究项目“贸易摩擦下中美股市波动的不对称性、记忆性及关联性问题研究”(项目编号:2019SJA0258)。

摘　　要：在熔断机制“自熔断”和中美贸易摩擦等重大事件冲击的背景下,论文以融资融券业务启动(2010年4月1日)至2018年12月31日A股市场上3439家公司为对象,采用投资组合和Fama-Macbeth横截面回归分析法研究了我国股票市场“特质波动率之谜”(即特质波动率和预期收益率负相关)现象。研究发现:我国股票市场确实存在“特质波动率之谜”,而且价格极差和表征异质信念的换手率会降低股票预期收益率与特质波动率的负相关关系。从异质信念视角出发,利用第四、五次融资融券扩容标的建立双重差分模型,还发现融资融券的开展能够降低异质信念水平和特质波动率水平。Under the impact of major events such as circuit breaker and Sino-us trade conflicts,this paper on the basis of the date of 3439 listed companies from April 1,2010(margin trading started)to December 31,2018 in A-share market,using the portfolio analyses method and Fama-Macbeth cross-sectional regression analyses,and we find that“the idiosyncratic volatility puzzle”does exist in China's stock market.There is negative correlation between idiosyncratic volatility and stock expected returns.Range of price and turnover will reduce the negative correlation where turnover is a substitute variable of heterogeneous belief.From the perspective of heterogeneous beliefs,using the fourth and fifth rounds of margin trading target to difference-in-differences model,we find margin trading can reduce heterogeneous beliefs and idiosyncratic volatility.

关 键 词：特质波动率 投资组合分析 Fama-Macbeth回归 异质信念 融资融券 

分 类 号：F830.91[经济管理—金融学]