中美股市投资者风险偏好的联动性研究——基于风险-收益关系视角  

Linkages of investor risk preferences in the Chinese and US stock markets:A perspective from risk-return relationship

作　　者：贺志芳 董天琪 HE Zhifang;DONG Tianqi(School of Business,Jiangnan University,Wuxi 214122,China)

机构地区：[1]江南大学商学院,无锡214122

出　　处：《系统工程理论与实践》2023年第9期2556-2569,共14页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金后期资助项目(21FJYB003)。

摘　　要：股票市场上投资者的风险偏好可以通过市场上投资者承担风险所需要的收益补偿来体现,也可以理解为股市风险与收益之间的关系.本文以中美股票市场为研究对象,基于时变参数广义自回归条件异方差(TVP-GARCH-M)模型分别得到中国股票市场和美国股票市场上的投资者风险偏好,并采用Granger因果检验方法考察中美股市投资者风险偏好之间的因果关系,研究发现美国股市投资者风险偏好的变动能够引起中国股市投资者风险偏好的变动,而中国股市投资者风险偏好不能影响美国股市投资者风险偏好.进一步运用时变参数向量自回归(TVP-VAR)模型探讨美国股市投资者风险偏好对中国股市投资者风险偏好的影响过程,结果表明:美国股市投资者风险偏好对中国股市投资者风险偏好具有显著的负向影响作用,并且表现出明显的时变特征,其短期的影响程度要大于中期和长期的影响程度.同时,该影响在不同时点上也存在差异,在2018年中美贸易摩擦期间的影响程度最大,说明中美贸易摩擦在中美股市投资者风险偏好的联动性中发挥重大作用.The risk preference of investors in stock markets can be reflected by the return compensation required by investors for risk-taking,which refers to the risk-return relationship in stock markets.This paper takes the Chinese and US stock markets as research objects,and captures the investors’risk preferences of the Chinese and US stock markets based on the time-varying parameter generalized autoregressive conditional heteroskedasticity in the mean(TVP-GARCH-M)model.Then,the causality relationship between investors’risk preferences of Chinese and American investors is investigated by Granger causality tests.It is found that changes in investors’risk preferences in the US stock market can cause changes in investors’risk preferences in the Chinese stock market,while investors’risk preferences in the Chinese stock market cannot affect those in the US stock market.Furthermore,the time-varying parameter vector auto regression(TVP-VAR)model is used to explore the impact of the investors’risk preference in the US stock market on that in the Chinese stock market.The results show that investors’risk preference in the US stock market has a significant negative impact on the investors’risk preference in the Chinese stock market,and the impact shows obvious time-varying characteristics.The short-term impact is greater than the medium-term and long-term impacts.Meanwhile,the impact also varies at different time points and is the largest during the US-China conflict in 2018,indicating that the 2018 US-China conflict plays a significant role in the comovement of investor risk preferences in the Chinese and US stock markets.

关 键 词：中美股市 风险偏好 GARCH-M TVP-VAR 

分 类 号：F832.5[经济管理—金融学]