套利限制与中国股票市

发布时间：2018-06-17 04:39

本文选题：套利限制 + 特质波动率　；参考：《北京工商大学学报(社会科学版)》2017年06期

【摘要】：特质波动率与预期收益率之间关系的不确定性,一直是学术研究的热点。文章从套利限制的角度来解释"特质波动率之谜",基于中国A股上市公司数据,构造套利限制指标进行投资组合分析以及采用Fama-Macbeth回归,实证验证中国股票市场是否存在显著的"特质波动率之谜"。研究发现,高套利限制因子情况下"特质波动率之谜"更为显著,而在低套利限制因子情况下"特质波动率之谜"不再显著,从套利限制因子的角度,能够解释中国股票市场的"特质波动率之谜"。进一步,通过分解特质波动率对于收益率影响系数,量化分析了套利限制因子对于"特质波动率之谜"的解释能力。因此,政策制定者在制定相应套利限制政策时需考虑对于股票市场的影响,同时文章结论对于投资者的投资有一定的启示。
[Abstract]:The uncertainty of the relationship between idiosyncratic volatility and expected return has always been a hot topic in academic research. This paper explains "the riddle of idiosyncratic volatility" from the angle of arbitrage restriction. Based on the data of Chinese A-share listed companies, the paper constructs a portfolio analysis of arbitrage restriction index and adopts Fama-Macbeth regression. The empirical results show that there is a remarkable "characteristic volatility puzzle" in China's stock market. The study found that the "riddle of trait volatility" is more significant in the case of high arbitrage restriction factor, but is no longer significant in the case of low arbitrage restriction factor, from the perspective of arbitrage restriction factor, Can explain the Chinese stock market's "idiosyncratic volatility mystery". Furthermore, the paper analyzes quantitatively the explanatory power of arbitrage limiting factor for "the riddle of trait volatility" by decomposing the influence coefficient of idiosyncratic volatility on the return rate. Therefore, the policy makers should consider the impact on the stock market when formulating the corresponding arbitrage restriction policy, and the conclusion of the paper has some implications for investors' investment.
【作者单位】：南京大学商学院;
【基金】：国家自然科学基金项目“注意力配置视角下的资产定价——基于计算实验的研究”(71371096)
【分类号】：F832.51

【相似文献】