中国股市高阶矩风险及其对投资收益的冲击

发布时间：2018-02-25 20:18

本文关键词： 高阶矩风险投资收益 NAGARCHSK模型状态空间模型　出处：《统计研究》2017年10期 　论文类型：期刊论文

【摘要】：本文首先建立NAGARCHSK模型,推算市场收益率的条件高阶矩序列,在此基础上建立引入高阶矩风险的收益-风险时变四因子状态空间模型,并基于2000—2016年中国股票市场的收益率数据,实证探究不同时期市场高阶矩风险对投资收益的冲击。结果显示:我国股票市场收益受到高阶矩风险的影响,并且条件高阶矩序列表现出时变和波动聚集的特征,大规模的全球性金融危机和国内市场的重大风险事件均会使股市收益的条件高阶矩序列出现持续的异常波动。在未出现极端金融危机的稳定时期,市场收益率的条件方差会趋于对投资收益产生正向影响,条件偏度和条件峰度对投资收益的影响在正向和负向之间不断交替,增加了投资收益的不确定性。然而在全球性的极端金融危机时期,市场收益率的条件方差会转而对投资收益产生负向影响,条件峰度则会对投资收益带来持续的正向影响。
[Abstract]:This paper establishes the NAGARCHSK model, calculate the market yield conditions of higher moments'series, established on the basis of the introduction of high moments risk return and risk factor of four time-varying state space model, and based on the 2000 2016 Chinese return rate of stock market data, empirical research is not at the same time, the market risk of higher order moments of return on investment the impact of income. The results showed that China's stock market is affected by the higher moments risk, characteristics and conditions of high order moment sequences exhibit time-varying volatility clustering and the scale of the global financial crisis and the domestic market of major risk events will make the stock market return conditions higher moments'series abnormal volatility persistence. In the stable period did not appear extreme financial crisis, conditional variance of market yields will tend to have a positive effect on investment income, conditional skewness and kurtosis conditions influence on the investment income We alternate between positive and negative, increase the investment income uncertainty. However, in the extreme global financial crisis period, conditional variance of market yields will in turn have a negative impact on the investment income, the conditional kurtosis will bring sustained positive impact on investment income.

【作者单位】：西南财经大学;西南财经大学统计学院;
【基金】：国家自然科学基金项目“离散值金融时间序列建模研究及其在资本市场的应用”(71171166) 西南财经大学金融大数据研究基地(JBK140403)资助
【分类号】：F832.51

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