股票市场有效性对风险收益关系的动态影响——基于信息交换和信息不对称视角

发布时间：2018-01-01 07:24

本文关键词：股票市场有效性对风险收益关系的动态影响——基于信息交换和信息不对称视角　出处：《财经问题研究》2017年08期 　论文类型：期刊论文

【摘要】：经典金融理论指出,金融市场整体的风险与收益呈正相关关系,但很多实证结果都背离了这一理论假设。笔者认为,实证结果与理论不一致的原因在于,风险收益关系不是静态的,而是随着市场有效性的变化而变化的。由此,笔者构建了非线性变系数风险收益模型,采用交易量代表信息交换行为的活跃度,用大宗交易股票数量来度量市场上的信息不对称性,使用上海股票市场2010—2015年的高频数据进行实证研究发现,上海股票市场的整体收益与风险始终存在显著的正相关关系,但单位风险所产生的收益则随着市场有效性的变化而变化。当市场有效性差时,信息交换减少,信息不对称性增加,这时收益的自相关性增强,风险对收益的解释能力减弱。
[Abstract]:It is pointed out that the classical financial theory, financial market's overall risk associated with positive earnings, but many empirical results deviate from the assumptions of this theory. The author believes that the reason is not consistent with the theory of the empirical results, the relationship between risk and return is not static, but changes with the effectiveness of the market. Thus, the author constructed the nonlinear variable coefficient of risk return model, the volume of transactions on behalf of information exchange behavior activity, with a large number of transactions to measure of stock market information asymmetry, high frequency data of Shanghai stock market from 2010 to 2015. The empirical results show that there always exists significant positive correlation between the overall income and risk of the stock market in Shanghai, but which unit risk return will change with the market validity and change. When the market efficiency, reduce the information asymmetry of information exchange. In addition, the autocorrelation of income increases, and the ability to explain the risk to the income is weakened.

【作者单位】：上海财经大学经济学院;
【分类号】：F832.51
【正文快照】： 一、问题的提出从1990年上海证券交易所成立至今,我国的股票市场经历了飞速的发展,根据我国证监会的统计数据,截至2016年11月1日,我国股票市场的总市值已经达到50.900万亿元,其中流通市值达到39.300万亿元。相比定期存款、国债等投资手段,股票市场具有高风险—高收益的特点。

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