带有市场交易信息和随机微观噪声下的杠杆效应研究

doi:10.16381/j.cnki.issn1003-207x.2018.1363

Abstract

Abstract: Leverage effect is a widespread existence in risk management, which is also an important topic in financial econometrics. On the other hand, it is valuable for us to study leverage effect based on the market trade information and the stochastic noise model, since that rich information is available and not viewed as the stochastic noise in high-frequency financial market. In this paper, the leverage effect combining trading information with stochastic microstructure noise model is studied, and the new estimator of leverage effect is proposed, which has the convergence rate n^1/8. The variance and the relative theorems are also provided. A simulation is conducted to study that leverage effect could be estimated more efficiently and more accurately via the general market microstructure information. Simulation results show the leverage effect estimator performs better asymptotic normal property and smaller biases. An empirical study has been carried out to demonstrate that leverage effect is significant in forecasting volatility, which provides a useful theoretical basis for relevant financial departments to conduct financial guidance.

Key words: leverage effect, high frequency data, market microstructure information, quadratic covariation, volatility

CLC Number:

O212

Yuan Hui-ling, XU Lu, Zhou Yong. Leverage Effect Combining Trading Information with Stochastic Microstructure Noise[J]. Chinese Journal of Management Science, 2020, 28(9): 12-22.

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Leverage Effect Combining Trading Information with Stochastic Microstructure Noise

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