宏观冲击对股市波动率及联动性影响的实证分析

发布时间：2018-07-29 06:59

【摘要】：本文受到心理学研究中关于注意力是一种有限的认知资源的启发，分析了在动态资产定价中注意力分配的作用。特别是在投资者注意力有限的条件下，资产价格波动与信息流的关系。通过最大化投资者的效用，在注意力有限的条件下，投资者当期的注意力分配问题就是最小化下一期股息支付的方差。最小化未来的不确定性使得投资者能更有效地做出消费决策。当市场因素的不确定性相对于行业因素以及资产自身因素更大时，投资者会分配更多的注意力在市场因素上。因为这样所带来的效用更大。在实证分析部分，本文用国债指数的每日已实现的波动率来衡量增加市场层面不确定性的宏观经济冲击，上证指数每天已实现波动率用来衡量市场的波动率，个股已实现方差中的特质性方差与个股总方差比率用来衡量资产价格与市场的联动性。分布作宏观冲击对市场波动率以及个股与市场联动性的向量自回归，通过它们的脉冲响应图发现，当宏观冲击到来时，市场波动率以及个股与市场联动性会先增加，然后减小，，最后发生反转。因此，投资者的注意力确实在进入市场的信息流改变时发生了转移，这也说明投资者的注意力是有限的。此实证结果基本与基于理论分析的结果保持一致，即当市场层面不确定性增加时，注意力有限的投资者会把更多的注意力转移到市场因素不确定性的信息处理上，当几天后市场层面不确定性减小后，投资者又会把注意力转移回资产自身因素的信息处理上。
[Abstract]:Inspired by the psychological research that attention is a limited cognitive resource, this paper analyzes the role of attention allocation in dynamic asset pricing. Especially under the condition that investor's attention is limited, the relation between asset price fluctuation and information flow. By maximizing the utility of the investor, under the condition of limited attention, the problem of investor's attention distribution in the current period is to minimize the variance of the next dividend payment. Minimizing uncertainty in the future allows investors to make more effective consumer decisions. When market factors are more uncertain than industry factors and assets themselves, investors will assign more attention to market factors. Because this brings greater utility. In the part of empirical analysis, this paper uses the daily realized volatility of the national debt index to measure the macroeconomic shocks that increase the uncertainty at the market level, and the daily realized volatility of the Shanghai stock index is used to measure the volatility of the market. The ratio of idiosyncratic variance to total variance of individual stock is used to measure the linkage between asset price and market. The distribution is the vector autoregression of the market volatility and the linkage between individual stock and market. Through their impulse response diagram, it is found that when the macro shock comes, the market volatility and the interaction between individual stock and market will first increase and then decrease. Finally, a reversal occurs. As a result, investors' attention does shift as the flow of information flows into the market changes, suggesting that investors' attention is limited. The empirical results are basically consistent with those based on theoretical analysis, that is, when uncertainty increases at the market level, investors with limited attention will shift more attention to the information processing of uncertainty of market factors. When uncertainty at the market level lessens a few days later, investors turn their attention back to the processing of information about the assets themselves.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224

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