沪深A股市场的波动性和收益率分析

该文通过对沪深300发布以来的每日收盘指数进行ARCH效应、收益率和非对称性信息冲击的分析,中国股市存在ARCH效应,具有波动性;2005年以来,沪深A股市场的收益率与高风险高收益的假设相违背,对于非对称性信息冲击,也和传统假说相矛盾,表现为利好消息的冲击大于等量的利空消息的冲击。     

沪深A股市场的波动性和收益率分析

该文通过对沪深300发布以来的每日收盘指数进行ARCH效应、收益率和非对称性信息冲击的分析,中国股市存在ARCH效应,具有波动性;2005年以来,沪深A股市场的收益率与高风险高收益的假设相违背,对于非对称性信息冲击,也和传统假说相矛盾,表现为利好消息的冲击大于等量的利空消息的冲击.     

基于股市行情的股票收益率波动性实证分析

文章用ARCH模型簇对股票收益率波动性进行建模,在充分考虑到股市行情对均值方程的影响后,用ARCH模型簇对最能反映中国股市波动情况的指数之一--深证成指股票对数收益率的波动进行建模.经过实证分析,中国的股市存在杠杆效应,在充分考虑到影响均值方程的股市行情后,得出EGARCH(1,1)模型是最优的拟合模型.     

我国企业债券市场收益率的波动性研究

债券市场收益率是债券投资者关心的重要指标。本文主要采用平滑转移门限自回归（STAR）模型刻画上证企债收益率,并对其波动性进行分析和预测,结果表明：以Logistic函数作为转换函数的STAR模型能很好地描述企业债券市场收益率的走势;同时,基于此模型得出的收益率预测结果显示,用该模型预测得到的收益率走势和现实的情况是总体...     

我国房地产指数收益率波动性的实证研究

本文利用ARCH类模型对我国房地产指数增长率的波动性进行了实证研究。结果表明房地产指数存在着明显的ARCH效应;GARCH模型更能准确地描述房地产指数的波动特征,且其波动性是对称,持续性的;房地产指数不存在明显的杠杆效应。     

国内外期货市场之间的波动溢出效应研究

本文借助于双参数AR-EGARCH(t)模型,利用日间数据对国内外期货市场铜、铝、大豆、豆粕、小麦期货价格的波动溢出效应进行了经验研究。研究结果表明:相关商品国内外期货价格以及波动性之间存在较为密切的联系,相对于铝、豆粕和小麦市场,铜和大豆的国内外期货价格之间和波动性之间的联系更为紧密;对铜、铝、大豆、豆粕来说,国际期货市场对国内期货市场的影响力要大于国内期货市场对国际期货市场的影响力;但就小麦而言,国际市场的价格波动对国内市场的影响较弱,而国内市场的价格波动对国外市场的影响却较强。     

经济政策不确定性与股票市场波动性之间的跨类及跨国关联：来自中美两国的经验证据

文章基于时域溢出指数、频域溢出指数以及非对称溢出指数,对中美两国3种类型经济政策不确定性和股票市场波动性之间的跨类及跨国关联进行了静态和动态分析。研究结果表明：第一,在中美两国国内,财政政策不确定性与货币政策不确定性之间的跨类关联度最高;在中美两国之间,经济政策不确定性的跨国关联主要通过贸易政策不确定性实现,而且两国贸易政策不确定性的关联度在中美贸易摩擦爆发后大幅上涨。第二,中美两国经济政策不确定性和股票市场波动性之间产生的跨类及跨国关联效应在长期和短期具有截然不同的变化特征,同时各变量之间的关联效应大多是在长期形成的。第三,中国或美国股票市场的波动性与其本国货币政策不确定性的关联度明显高于其他两类经济政策不确定性,但随着中美贸易摩擦的爆发,美国贸易政策不确定性对中国股票市场波动性造成了较强的溢出效应。第四,不同类型经济政策不确定性对中美股票市场波动性都存在非对称溢出效应,在两国股票市场波动最为剧烈的时期,经济政策不确定性对股票市场“坏的波动”的总体溢出效应均大于“好的波动”。     

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。     

比特币和莱特币价格波动及风险溢出效应研究

比特币发展已有十年之久,莱特币虽起步较晚,但其发展不可小觑,这使得研究两者价格波动特征及其风险溢出效应显得尤为重要.基于2017年5月1日至2019年7月11日的日收盘价,建立GARCH类模型及VaR和CoVaR模型研究比特币和莱特币的日收益率序列.结果发现,比特币和莱特币的波动具有明显的协同趋势,它们均为高风险高回报的金融资产.此外,在样本考察期内并未发现其杠杆效应,且莱特币较比特币表现出更高的风险水平和风险溢出强度.     

人民币离岸市场与境内市场之间收益率及波动的溢出效应研究

本文基于2010年8月23日—2013年12月31日香港离岸可交割人民币外汇市场(CNH市场)和境内人民币外汇市场(CNY市场)的统计数据,采用二元VARBEKK-MVGARCH模型,实证研究了人民币离岸市场与境内市场收益率溢出效应和波动溢出效应。结果表明:当选择人民币汇率收盘价计算境内人民币外汇市场收益率时,人民币离岸市场与境内市场之间存在显著的双向收益率溢出效应和双向波动溢出效应;当选择人民币汇率中间价计算境内人民币外汇市场收益率时,仅存在人民币离岸市场对境内市场的单向收益率溢出效应和人民币境内市场对离岸市场的单向波动溢出效应。     

Modeling exchange rate return volatility of RMB/USD using GARCH family models

The paper examines volatility of RMB exchange rate return of onshore and offshore markets. The onshore rate covered 4/01/2008–5/09/2016 while offshore spanned 31/12/2008-22/09/2016, the returns were not normally distributed and were integrated of order zero I(0). The Ljung-Box Q statistics depicts the presence of autocorrelation in return series and Ljung-Box Q² statistics of power transformed for conditional heteroscedasticity for lags of 6, 12 and 20 all indicated the presence of conditional heteroscedascity. The exchange rates volatility was persistent in both markets. However, offshore return was more persistent while leverage effects exist in both markets. Asymmetry power Autoregressive conditional Heteroscedastic (APARCH) model was the best model for forecasting purposes in both markets while Glosten, Jogannathan and Rankle, Generalized Autoregressive conditional Heteroscedastic (GJR-GARCH) model and Integrated Generalized Autoregressive conditional Heteroscedastic (I-GARCH) were the worst models in onshore and offshore return markets respectively. APARCH model should be adopted for future studies.     

恒生股指期货与现货市场波动溢出效应实证分析

本文是针对股指期货市场的波动溢出效应所做的研究。使用香港交易所上市的恒生股指期货和恒生指数作为研究对象,首先利用各种计量检验,探讨了期货市场和现货市场之间的联动关系;其次利用GARCH模型探讨和刻画了期货市场封现货市场的溢出效应,最后得出了相关的结论。     

Intraday return and volatility spillover mechanism from Chinese to Japanese stock market

We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index more strongly than does the TOPIX (the market index of the Tokyo Stock Exchange). This result suggests that China has a large impact on Japanese stocks via China-related firms in Japan. Furthermore, we find evidence that this response has become stronger as the Chinese economy has gained importance in recent years.     

Tax reforms and stock return volatility: The case of Japan

Although global financial turmoil in recent years has resulted in renewed interest in taxing financial markets, the existing evidence is inconclusive regarding the effect of stock transaction taxes (STT) on stock return volatility. In this respect, Japan provides an excellent opportunity to address the issue, as the country enacted major tax reforms during the long recession beginning in the early 1990s, not only abolishing STT in 1999, but also reducing the capital gains and dividend taxes in 2003. The present paper exploits these tax reform episodes and examines whether and how they affected stock return volatility. In so doing, it employs GARCH-type models using standard daily stock data, as well as HAR models based on realized volatility constructed from high-frequency, intraday data. The estimation results are consistent with the views that, in line with some earlier findings, the STT abolition in 1999 reduced volatility, and that the tax reforms in 2003 also reduced volatility through a cut in the dividend tax, but not in the capital gains tax.     

International macroeconomic announcements and intraday euro exchange rate volatility

The short-run reaction of Euro returns volatility to a wide range of macroeconomic announcements is investigated using 5-min returns for spot Euro–Dollar, Euro–Sterling and Euro–Yen exchange rates. The marginal impact of each individual macroeconomic announcement on volatility is isolated whilst controlling for the distinct intraday volatility pattern, calendar effects, and a latent, longer run volatility factor simultaneously. Macroeconomic news announcements from the US are found to cause the vast majority of the statistically significant responses in volatility, with US monetary policy and real activity announcements causing the largest reactions of volatility across the three rates. ECB interest rate decisions are also important for all three rates, whilst UK Industrial Production and Japanese GDP cause large responses for the Euro–Sterling and Euro–Yen rates, respectively. Additionally, forward looking indicators and regional economic surveys, the release timing of which is such that they are the first indicators of macroeconomic performance that traders observe for a particular month, are also found to play a significant role.     

Linkage between stock volatility and corporate bond yield spread in Thailand

This paper studies the relationship between stock volatility and corporate bond yield spread in Thai market by using Campbell and Taksler （2003） panel data regression approach. The results show that the equity volatility＇s variables, such as finn＇s idiosyncratic risk, market risk, individual stock return and market return, are matter to explain the corporate bond yield spread. Surprisingly, these variables could explain the spread better than credit rating variables. Furthermore, during bear market period, only corporate bond yield spreads in financial finns are increasing significantly. Some of the deterministic yield spread parameters such as level and slope of interest rate also alter from bull market period.     

Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility

This paper presents new empirical evidence on the effectiveness of Bank of Japan's foreign exchange interventions on the daily realized volatility of USD/JPY exchange rates using high frequency data. Following Huang and Tauchen (2005) and Barndorff-Nielsen and Shephard, 2004, Barndorff-Nielsen and Shephard, 2006, we use bi-power variation to decompose daily realized volatility into two components: the smooth persistent and the discontinuous jump components. We model exchange rate returns, the different components of realized volatility and the central bank intervention using a system of simultaneous equations. We find strong support that interventions by Bank of Japan had increased both the continuous and the jump components of daily realized volatility. This suggests that the interventions by Bank of Japan had increased market volatility which not only caused short-lived positive jumps, but were also persistent over time. We did not find any evidence that interventions were effective in influencing the exchange rate returns for the entire sample period.     

Global commodity prices and global stock market volatility shocks: Effects across countries

We investigate the time-varying dynamics of global stock market volatility, commodity prices, domestic output and consumer prices. We find (i) stock market volatility and commodity price shocks impact each other and the economy in a gradual and endogenous adjustment process, (ii) impact of commodity price shock on global stock market volatility is significant during global financial crises, (iii) effects of global stock market volatility on the US output are amplified by endogenous commodity price responses, (iv) effects of global stock market volatility shocks on the economy are heterogeneous across nations and relatively larger in twelve developed countries, (v) four developing/small economies are more vulnerable to commodity price shocks.     

基于GARCH族模型的深证成分指数波动性研究

基于GARCH族模型对深证成分指数的波动性进行实证研究。用学生-t分布的GARCH(1,1)模型分析了尖峰厚尾和波动聚集特征,用基于CED分布的GARCH-M(1,1)模型研究了风险溢价情况,以及用基于标准正态分布的EGARCH(1,1)模型分析股市波动的杠杆效应。结果显示,残差确实存在异方差性,股市中收益与风险成正比,同等单位的利空消息对股市冲击更大。最后根据实证研究给出结论与建议。