收益波动与随机冲击的非对称性影响：中国与美国股票市场的对比

通过讨论股票收益与随机;中击之间的关系,对中国股票市场和美国股票市场进行了对比研究。研究中使用了中国上海和深圳股票市场1990年12月31日至2005年12月30日的两市A股算术平均周指,以及美国股票市场1973年1月2日至2004年月12月30日的标准普尔500周指。在进行经验研究的过程中,分别使用了线性GARCH模型和GJR—GARCH模型计量股票收益的条件波动——即模型中的条件方差。研究发现,中国股票市场自1990年——1995年波动剧烈,之后波动趋于平缓,而美国股票市场在研究期间内收益波动一直处于一定范围内。同时还发现,美国股票市场的随机冲击对股票收益产生非对称性影响,即负冲击使股票收益产生的波动大于正冲击。而在中国股票市场却找不到相似的证据。鉴于对中国股票市场收益波动的研究结果,在剔除1996年以前的数据之后又进行了扩展研究,但是似然比率检验结果表明,正冲击对股票收益的影响还要略强于负冲击。     

Equity Risk Premium Puzzle: Evidence from Indonesia and Sri Lanka

This paper investigates the equity risk premium puzzle in the Indonesian and Sri Lankan stock markets in order to identify the relationship between the volatility of excess returns and the equity risk premium. The asymmetric impact of negative shocks on the equity risk premium is also examined using threshold and exponential GARCH-M models. We analyse data on the excess returns of the Indonesian and Sri Lankan stock markets from 2004 to 2013, and we find that the impact of the conditional volatility of excess returns on the equity risk premium is not significant in either country. Instead, we find an impact from negative return shocks on the equity risk premium only in Sri Lanka. Therefore, we conclude that investors are not compensated for the conditional volatility of the excess returns in these two markets, while Sri Lankan investors are compensated for the risk of negative shocks.     

基于不同分布假设GARCH族模型对上证指数波动性分析的比较研究

股票市场的波动性研究已经成为众多研究者和投资者广泛关注的焦点。以上证股票收益率为研究对象,在三种不同的分布假设下,利用GARCH族模型对上证指数波动性进行了比较研究,分析表明:上证股票收益率具有显著的条件异方差性,且基于GED分布的GARCH(1,1)模型是消除该条件异方差性的最佳模型;上证股票收益率具有正的风险溢价,且基于GED分布的GARCH(1,1)-M模型是反映风险溢价情况的最优模型;上证股票收益率存在着明显的不对称性(杠杆效应),利空消息比利好消息更容易引起大的波动,且基于标准正态分布的EGRCH(1,1)模型是揭示该不对称性的最佳模型。     

Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches

Abstract

The paper examines the short-run spillover effects of daily stock returns and volatilities between the Standard & Poor's (S&P) 500 stock index in the US and the Shanghai Stock Exchange (SSE) index in China. First, we find that a structural break occurred in the SSE stock return mean in December 2005. Second, by analyzing modified general autoregressive conditional heteroscedasticity (GARCH)(1,1)-M models, we find evidence of a symmetric and asymmetric volatility spillover effect from the US to the China stock market in the post-break period. Third, we observe the symmetric volatility spillover effect from China to the US in the post-break period.     

Examining Stock Volatility in the Segmented Chinese Stock Markets: A SWARCH Approach

Abstract

This study adopts the SWARCH model to examine the volatile behavior and volatility linkages among the four major segmented Chinese stock indices. We find strong evidence of a regime shift in the volatility of the four markets, and the SWARCH model appears to outperform standard generalized autoregressive conditional heteroskedasticity (GARCH) family models. The evidence suggests that, compared with the A-share markets, B-share markets stay in a high-volatility state longer and are more volatile and shift more frequently between high- and low-volatility states. In addition, the relative magnitude of the high-volatility compared with that of the low-volatility state in the B-share markets is much greater than the case in the two A-share markets. B-share markets are found to be more sensitive to international shocks, while A-share markets seem immune to international spillovers of volatility. Finally, analyses of the volatility spillover effect among the four stock markets indicate that the A-share markets play a dominant role in volatility in Chinese stock markets.     

Correlations in Returns and Volatilities in Pacific-Rim Stock Markets

Most studies on the correlations in stock returns and volatilities focus on the contemporaneous relationships and spillover effects in major stock markets such as the US and Japan. This paper adds to the literature by focusing on the dynamic relationship in the volatilities of the returns in the Pacific-Rim stock markets. The causality in variances test method of Cheung and Ng (1996), a multivariate GARCH model and VAR analyses are employed to model conditional volatilities and study the dynamic responses of volatilities to innovations in conditional variances. The results suggest that while the stock markets are correlated in returns and volatilities contemporaneously and with lags, idiosyncratic factors play important roles in national stock markets. In addition, the dynamic adjustment of the market return volatilities can take a much longer time than previously reported in some of the countries studied.     

我国A股市场中的波动性之谜与市场情绪

本文使用Campbell和Shiller(1988)基于对数线性RVF的VAR非线性Wald检验方法对我国A股1994-2009期间的数据进行实证研究,结果表明样本期间我国A股股价相对其基础价值表现出"过度波动"的迹象,无论是常数超额收益率模型还是V-CAPM模型都无法对此进行解释。通过进一步定义市场情绪指数来分析这种"波动性之谜"现象的原因,结果发现市场情绪和股市"过度波动"之间存在相互作用机制,市场情绪能够对股价波动提供额外的解释。     

Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years

After more than 15 years of Chinese equity markets, we study how variance, covariance, and correlations have developed in these markets relative to world markets, based on the dynamic conditional correlation (DCC) model of Engle [Engle, R., 2002. A dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics 20(3), 339–350.]. Chinese markets offer A-shares to domestic investors and otherwise identical B-shares to foreign investors. We find that the volatility of A-shares has declined over the past decade. We find no asymmetric volatility relative to world markets in China. Contrary to the global trend of increasing cross-country correlations, we find stationary correlations for China. A-share indices have never been correlated with world markets, and B-share indices exhibit a low degree of correlation with Western markets (0–5%) and a slightly higher degree of correlation with other Asian markets (10–20%). We interpret these findings using Gordon's growth model.     

The effect of index futures trading on volatility: Three markets for Chinese stocks

This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with Chinese index futures traded in Singapore and Hong Kong. Our results indicate that Chinese index futures decrease spot market volatility in all three spot markets considered. In contrast, we do not obtain the same results for the companion index futures markets in Hong Kong and Singapore. China's stock market is relatively young and largely dominated by private retail investors. Nevertheless, our evidence is favorable to the stabilization hypothesis usually confirmed in mature markets.     

Mean‐reverting and Asymmetric Volatility Switching Properties of Stock Price Index,Exchange Rate and Foreign Capital in Taiwan*

The main purpose of the present study is to explore the relationships among stock price index, exchange rate and foreign capital in Taiwan and to detect whether the mean‐reverting and asymmetric volatility switching properties exist in these markets. The multivariate asymmetric nonlinear smooth transition generalized autoregressive conditional heteroskedastic in mean model is used in this study. The empirical results indicate that overbuy and oversell rates of foreign capital influence the movements of the stock price index and the exchange rate. All three conditional means exhibit asymmetric mean‐reverting behavior, with negative returns reverting quicker than positive returns in terms of both speed and magnitude. The empirical results also demonstrate that the conditional heteroskedasticities of these markets are asymmetric, generating different volatility persistence under a prior positive and negative return shock.     

特质波动、风险溢价与学习效应

本文是一项实证研究,分析中国证券市场中股票特质波动性(Idiosyn-cratic Volatility)的风险溢价问题。我们发现较高波动性的投资组合在下一期收益率反而较低,为了解释这个看起来反常的现象,我们引入投资人逐步了解、发现上市公司盈利能力的学习过程。类似Lucas(1978)的一般均衡定价公式说明,不完全信息和学习过程会导致股票价格出现均值回归的现象(Mean Reversion),并且盈利能力不确定性越高的公司,股价向均值回归的趋势越明显,由此导致下一期收益率的反转。     

Evaluating the performance of futures hedging using multivariate realized volatility

This paper investigates the performance of a conditional hedging model using the realized covariance measure (RCM) with noisy high-frequency data. We employ a bivariate realized exponential GARCH (BREG) model with some RCMs to estimate conditional optimal hedge ratios in the Japanese stock and futures markets. The bivariate Student’s t-distribution as well as the bivariate normal distribution are used for the return distribution. The out-of-sample results show that the BREG model outperforms the DCC-EGARCH model and the OLS approach using daily returns for a short hedge in the period without unpredictably large fluctuations in returns such as the Lehman aftermath and the economic impact of the Great East Japan Earthquake. The BREG model with a Student’s t-distribution is likely to be superior to that with a normal distribution. The use of RCMs with methods reducing bias induced by microstructure noise and non-synchronous trading improves the performance. We also find that the joint model of returns and RCM such as the BREG model yields better performance for a short hedge than a model in which RCM is included as an exogenous variable.     

上海A、B股市场收益率波动性对比研究及预测

运用GARCH(1,1)-M模型对样本期内上海A、B股市场收益率波动性进行了对比研究及预测。结果显示:上证A、B股指数收益率序列均存在"ARCH/GARCH现象";上海A、B股市场中,期望收益与期望风险正向变动;上海A股市场记忆期长于B股市场;长期中,上海B股市场预期收益将超过A股市场。进一步结合基本面情况可知,上海B股市场具有相对较高的长线投资价值。     

基于Copula-GARCH模型的原油市场和股票市场相关性研究

由于原油市场和股票市场之间的联动性日益增强,因此研究两个市场之间的关联特征,分析原油价格波动对股市的影响,有助于规避风险,保证经济持续平稳地增长.采用Copula-GARCH模型对WTI原油价格的收益率序列和NASDAQ股指的收益率序列进行实证分析.结果表明,GARCH(1,1)-t模型拟合两个序列的条件边缘分布效果最好,时变SJC Copula模型比常相关Copula模型能更好地刻画两个市场之间的相关关系.两个收益率序列之间存在正的相关关系,且相关关系具有时变性,相关结构具有一定的不对称性,上尾相关系数小于下尾相关系数,即两个市场同时出现价格极端下跌的可能性更大.这为中国金融市场风险管理,规避油价波动对股市的冲击提供一定的参考依据.     

The Korean stock market volatility during the currency crisis and the credit crisis

This paper studies the volatility of the Korean stock market during the Asian currency crisis of 1997–1998 and the global credit crisis of 2008–2009. We use a fad model with Markov switching heteroskedasticity, which was first proposed by Kim and Kim (1996). Using the monthly data from January 1980 to October 2009, we find that the volatility of the transitory component of the stock return, or fads, increased during the currency crisis, but did not rise much during the credit crisis. It implies that the stock price fluctuations were not driven by irrational sentiments during the recent global crisis as much as during the former crisis. However, when we consider the dollar value of the Korean stock index in order to estimate the volatility that foreign investors confront, we find that the volatility of the transitory component was raised during the credit crisis as well as during the currency crisis. That is, foreign investors experienced greater volatility than domestic investors in the recent financial market turmoil. This asymmetric volatility that domestic and foreign investors face is one of the characteristics of the credit crisis.For more detailed analysis, the same model was applied to the weekly data from January 2005 to October 2009 and provided the result that the data measured by won–dollar exchange rates were more increased than the raw data. It holds that foreign investors confronted much greater volatility than domestic investors while the stock volatility was relatively lower in the credit crisis state than in the currency crisis state.     

Stock return seasonalities and investor structure: Evidence from China's B-share markets

This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environment. We show that day-of-the-week effects are attenuated after the market entrance of Chinese individual investors who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period.     

信息、政策冲击和中国股票、债券及外汇市场一体化——基于AG-DCC模型的金融市场动态相关性分析

本文运用Cappiello et al．（2006）提出的AG—DCC模型对中国金融市场的研究发现,中国股票、债券和外汇市场间存在明显的动态相关性 ,虽然“正向冲击”和“负向冲击”对金融市场波动并不产生明显的非对称效应,但对市场间动态相关性有着显著的影响,而且信息和政策冲击反映在动态相关性的结构变化上。最后,用平均动态相关性作为一体化指标对中国金融市场的考察发现,相对于欧盟市场间,中国股票市场一体化程度相当高,但股票和债券、股票和外汇以及债券和外汇市场间的一体化程度有待提高。     

Exchange rate exposure of sectoral returns and volatilities: Evidence from Japanese industrial sectors

Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the correlation between volatilities of stock returns and exchange rate changes. In this paper, we employ a bivariate GJR-GARCH model to examine all such aspects of exchange rate exposure of sectoral indexes in Japanese industries. Based on a sample data of fourteen sectors, we find significant evidence of exposed returns and its asymmetric conditional volatility of exchange rate exposure. In addition, returns in many sectors are correlated with those of exchange rate changes. We also find support for the “averaged-out exposure and asymmetries” argument. Our findings have direct implications for practitioners in formulating investment decisions and currency hedging strategies.     

Examining Volatility Persistence and News Asymmetry in Soybeans Futures Returns

Four alternative generalized autoregressive conditional heteroscedasticity (GARCH), and three asymmetric GARCH models (EGARCH, TGARCH and APARCH) are used to examine the presence of volatility persistence and news asymmetry in soybeans futures data. Presence of fat tails in the data series resulted in applying Student’s-t and generalized error distributions in addition to Gaussian normal distribution. The results reveal that soybean return series exhibit volatility characteristics typical of a financial time series. The findings of this study indicate that the leverage effect was absent for soybeans suggesting that positive news causes more volatility to the commodity than negative news. Results further suggest that the fit of the GARCH models is improved by applying t-distribution errors. The diagnostic tests reveal that GARCH models are correctly specified and among all the competing models, APARCH (1,3) model with t-distribution performed best in capturing the volatility.     

LONG MEMORY IN SOUTHERN AFRICAN STOCK MARKETS

The paper examines long memory in equity returns and volatility for stock markets in Botswana, South Africa and Zimbabwe using the ARFIMA‐FIGARCH model in order to assess the efficiency of these markets in processing information. The findings are diverse. Significant long memory is demonstrated in the equity returns of Botswana; while, in South Africa this result is not statistically different from zero. For Zimbabwe returns are characterised by an anti‐persistent process. Furthermore, all the markets investigated provide evidence of long memory in volatility with the exception of Botswana where there is no evidence of volatility persistence and hence the return from taking risk in this market cannot be predicted on the basis of previous values.