股市波动的杠杆效应检验:一种新的方法

中国管理科学 ›› 2012, Vol. 20 ›› Issue (5): 31-37.

股市波动的杠杆效应检验:一种新的方法

陈永伟

中南财经政法大学统计与数学学院, 湖北武汉 430073

收稿日期:2011-07-27 修回日期:2012-08-06 出版日期:2012-10-29 发布日期:2012-10-27
基金资助:
国家自然科学基金资助项目(71001107)

Examining the Leverage Effect in China’s Stock Markets: A New Approach

CHEN Yong-wei

School of Statistics and Mathematics, Zhongnan University of Economics and Law, Wuhan 430073, China

Received:2011-07-27 Revised:2012-08-06 Online:2012-10-29 Published:2012-10-27

摘要/Abstract

摘要： 股市波动的非对称性特征一直是金融研究中关注的焦点问题。本文首次构建了一个非平衡似无关波动模型,从个股角度对波动的非对称性进行检验。通过与综合指数的对比研究,本文揭示了市场因素对波动非对称性的影响。实证结果表明,我国深证成份指数波动存在杠杆效应,而成份股波动却表现出反向杠杆效应。市场同时存在的共同因素和异质因素,是导致成份股波动和成份指数波动表现不一致的原因。进一步的研究结果表明,在消除共同因素影响后,成份股波动的反向杠杆效应会表现更明显。

关键词: 收益, 波动, 杠杆效应, 似无关模型

Abstract: The asymmetric relationship between stock return and volatility in financial research. An unbalanced seemingly unrelated regression model is proposed in this paper to examine the individual firms’ stock return volatility. It is discovered that the volatility of Shenzhen constituent stocks show the reversed leverage effects. Compared with the Component Index, which exposes insignificant leverage effect, we find the impact of market factors on volatility asymmetry is found. Specifically, there exits common factors and idiosyncratic factors in stock market, that should account for the difference between the Component Index and the constituent volatility. After removing the effect of common factors, the reversed leverage effect is more significantly.

Key words: return, volatility, leverage effect, SUR

中图分类号:

F830.91

陈永伟 . 股市波动的杠杆效应检验:一种新的方法[J]. 中国管理科学, 2012, 20(5): 31-37.

CHEN Yong-wei. Examining the Leverage Effect in China’s Stock Markets: A New Approach[J]. Chinese Journal of Management Science, 2012, 20(5): 31-37.

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