我国A股市场的模糊性溢价——基于日内高频数据的分析

doi:10.16381/j.cnki.issn1003-207x.2020.0317

Abstract

Abstract: Embedding the ambiguity uncertainty into the Choquet expected utility model, and using uncertainty model framework proposed by Izhakian(2020), the uncertainty expectational utility model with ambiguity uncertainty is established using the ambiguity averse function and perceived probability, and the measure of ambiguity of risky market is obtained and the uncertainty premium is decomposed into risk premium and ambiguity premium. The evidence from the high frequency data in Chinese stock market are done. This is the first work to check the ambiguity premium in the A-share market of China.

Key words: ambiguity measurement; ambiguity premium; risk premium; ambiguity preference

CLC Number:

F830.9

HU Zhi-jun, LING Ai-fan, YANG Chao. The Ambiguity Premium in China’s A-shares Market——The Analysis from Intra-day High Frequency Data[J]. Chinese Journal of Management Science, 2022, 30(1): 42-53.

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The Ambiguity Premium in China’s A-shares Market——The Analysis from Intra-day High Frequency Data

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