中国A股市场的风险-收益关系:基于隔夜和日内两时段的研究  

The Return-risk Relationship in China's A-share Market:A Study Based on Overnight and Intraday Periods

作　　者：高雅[1] 任慧婷 熊熊[2,3] GAO Ya;REN Huiting;XIONG Xiong(School of Economics and Management,Dalian University of Technology,Dalian 116024,China;Laboratory of Computation and Analytics of Complex Management Systems,Tianjin University,Tianjin 300072,China;College of Management and Economics,Tianjin University,Tianjin 300072,China)

机构地区：[1]大连理工大学经济管理学院,大连116024 [2]天津大学复杂管理系统实验室,天津300072 [3]天津大学管理与经济学部,天津300072

出　　处：《计量经济学报》2024年第6期1483-1514,共32页China Journal of Econometrics

基　　金：国家自然科学基金(72471044,72141304,72001033,72401224);科技部重点研发项目(2022YFC3303304);中央高校基本科研业务费(DUT23RW105)。

摘　　要：自资本资产定价模型提出以来,资产回报的风险收益关系一直是学术研究的重点问题,但当前关于CAPM模型有效性的争论仍在继续且结论并不统一.本文在已有研究的基础上,综合考虑中国A股市场隔夜与日内时段在交易机制、交易特征和投资者类型等方面的差异,创新性地将整日时段分解为隔夜和日内两部分,并采用分组构建投资组合及Fama-MacBeth回归分析手段,分时段检验了Beta系数代表的系统性风险与个股收益间的关系,得出了时段异质性对A股市场风险-收益关系检验的影响.实证结果表明:整日时段和日内时段Beta系统性风险与收益正相关,而这一现象在隔夜时段并不存在,甚至会表现为一定的高风险-低收益现象.即已有基于整日回报计算的A股市场风险收益关系主要揭露了市场主要交易时段的表现,未能揭示集合竞价阶段个股系统性风险无法在价格中有效反馈的现象,本文研究有效补充了这部分内容.进一步,本文研究发现,整日和日内时段正向的风险-收益关系在市值较小、流动性较差及具有高特质风险的股票中更为显著,市场中投资者情绪变化和套利限制指标对这一结果也具有显著影响.此外,本文结果在基于不同因子模型调整、不同Beta测度方法和各类子样本检验中均稳健存在.本文研究对于投资者进一步认识CAPM模型、了解风险收益关系在不同时段的表现和完善风险-收益评估框架具有重要意义,研究结论有助于监管者完善相关政策和定价机制,实现我国A股市场系统性风险的有效衡量.Since the proposal of the capital asset pricing model(CAPM),the riskreturn relationship has always been a key issue in academic research.However,the current debate on the effectiveness of the CAPM model is still ongoing,and the conclusions are not unified.Based on existing studies,this paper comprehensively considers the differences in trading mechanisms,trading characteristics,and investor types between the intraday and overnight periods,innovatively introduces a time heterogeneity perspective to decompose the daily trading period into two parts,and further studies the risk-return relationship in China.Specifically,we use the portfolio-sort way and Fama-MacBeth regressions to test the relationship between systematic risk(proxied by the beta coefficient) and stock returns and find positive correlations from the daily and intraday betas.This positive relationship does not exist in overnight periods and may even display a high-risk but low-return phenomenon.The previous studies based on the daily data mainly display findings from the intraday trading period but fail to reveal the role of overnight trading,and this paper tries to supply them.In addition,the positive relationship is stronger in stocks with small market capitalization,poor liquidity,and high idiosyncratic risk,and investor sentiment and arbitrage limitation also play an essential role.Our results are robust under the adjustment of different factor models,alternative beta measurements,and various subsamples.This paper is of great importance for investors to further understand the CAPM model,understand the heterogeneous performances at three periods,and improve the risk-return evaluation framework.Our paper also helps regulators revise the related policies and pricing mechanisms and achieve effective measurement of systemic risk in China's A stock market.

关 键 词：CAPM 系统性风险 隔夜收益 日内收益 

分 类 号：F832.5[经济管理—金融学]