反馈交易、投资者情绪与波动性之谜

摘要：反馈交易理论是金融市场最经典的理论之一,长期以来,对这一理论的研究与建模并不多见。本文给出了在一个具有反馈交易特征的市场中,情绪冲击对资产价格的长期影响模型。我们发现,总的来说,反馈交易会影响认知偏差效应和交易诱导效应,认知偏差效应随反馈交易系数递增。但是,交易诱导效应并不与反馈交易系数呈简单的单调关系,交易诱导效应在一定情形下随着反馈交易系数减小。     

灾难风险与中国股市波动性之谜

"股市波动之谜"自Campbell提出之后,尽管已有大量的研究,一直没有得到较好的解释,Reitz和Barro将罕见灾难引入资产定价模型,较好地解释了高股权溢价和股市波动之谜。相对于我国低红利、无风险利率波动率及平滑的消费增长,我国股市表现出高波动性,本文首先基于非线性对数框架验证我国的确存在"股市波动之谜",将广义期望效用函数和时变罕见灾难风险引入无套利资产定价模型,结果显示模型可以很好地解释我国现实数据的股市高波动性,尤其股市熊市时灾难模型更能体现灾难对投资者投资行为的影响从而影响资产价格波动,并且验证了灾难视角下股利价格比可以有效预测股票超额收益,这为今后解决股票、债券、期权等更多金融资产定价和价格波动之谜,提供了新的解决方法和研究框架。     

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...     

基于GARCH模型的我国股市权重股波动性研究

我国股市权重股中国石油,该股不管是市值规模、基本面经营情况,还是在股市中的号召力都是首屈一指,每一轮股市行情的开始与终结都是由这只股票提前给出指示信号,带动其他权重股和整个市场,关键时刻的护盘更是离不开该股票,是整个股市的定海神针。文章以该股中国石油(601857)2012年11月3日至2015年11月4日交易日股价收盘价数据为样本,首先用OLS法进行建模,对统计量进行分析发现该模型的误差项具有条件异方差性,因此采用GARCH(1,1)模型拟合并检验,得到权重股股价波动分析GARCH模型,在此基础上得出相关结论,并为监管部门和金融机构提出一些政策建议。     

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.     

投资者情绪作用下的市场之谜：基于中国A股市场的实证分析

传统金融学理论认为,风险和收益成正相关关系为金融学分析框架为指导,通过对中国股票市场的实证分析显著影响：当投资者情绪高涨时,随着非系统性风险的递增风险的增加,收益波动上升。但这一理论无法解释高风险低收益等市场异象。本文以行发现投资者情绪对期望收益和非系统性风险两者的关系有收益先增加后减少;当投资者情绪低落时,随着非系统性     

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。     

基于非参数模型的股市波动性研究综述

随着金融行业的发展和金融市场的不断完善,证券市场与人们的生活息息相关,而波动性作为股票市场赖以存在和发展的基础,越来越成为金融经济学研究的热点。但这些研究的角度、方法和结论都不尽相同。本文通过集中梳理最近二十年国内外对于股市波动性的研究文献,对这些文献进行了一定的总结,并提出了以往研究中存在的问题。     

印花税率变动对我国股票市场波动性的影响分析

随着我国股票市场的发展和壮大,股票市场收益率波动特征及其影响因素的研究一直是现代金融领域研究的重要问题之一。由印花税和佣金为主构成的交易成本直接影响股票市场大盘收益的波动性,有些学者认为提高股票交易印花税将增加交易成本,降低股票的流动性,从而使股票市场大盘收益波动性。也有的学者认为提高股票交易印花税会降低股票市场大盘收益波动性。本文分析了我国股市从1997年到2008年历次股票交易印花税税率变动对股票市场波动性的影响,并对其进行了实证检验。     

Transmission of Stock Prices and Volatility from the Influential Major Markets on the Emerging Market: A Case Study of the Korean Stock Market

Abstract

This study investigates how the 1997 crisis has changed the Korean market by focusing on price and volatility spillovers from the US, Chinese, and Japanese markets. Using the exponential general autoregressive conditional heteroskedastic (EGARCH) model, new information on stock prices originating in the US market was transmitted to the Korean market for all periods. The price spillover effect from the Japanese market to the Korean market became stronger from the crisis period. Asymmetry in the spillover effect on market volatility was more pronounced in the Korean market after the financial crisis.     

Stock Returns, Volatility, and Cointegration among Chinese Stock Markets

I. IntroductionA plethora of research has focused on therelationship between returns and volatility, andcointegration among major, well-established financial markets. It has been found that aninverse relationship exists between an individualfirm’s stock return volatility and itsstockprice. There are two popular explanations: the first one is related to the leverage effect. Itasserts that a decrease in afirm’s stock price increases the firm’s debt ratio (or decreasesthefirm’s equity ratio)…     

机构交易行为与中国股市波动实证研究

本文采用2004年1月至2008年6月中国股票市场机构投资者的季度交易数据分析了机构交易与股票价格波动的相关关系。研究发现,机构投资者并非总是具有稳定股市的功能。机构交易对股价波动的影响随着投资者类型、股票市值和流动性水平、市场结构和环境的变化而变化。在"后股改"时代,市场将面临非流通股股本减持的巨大压力,政策制定部门应将机构与中小股东利益集合起来,针对不同市场情况机构买卖单产生的不同影响,制定公平有效的政策和监管机制。     

融资融券业务与我国股票市场长期波动性

作为我国股票市场交易制度的重大改革举措之一,融资融券业务及其对股票市场的影响一直以来在学界与业界尚存争议。基于融资融券推出前后的市场收益率,结合收益率波动特征,将融资融券业务作为虚拟变量引入GARCH与EGARCH模型进行定量分析。结果表明,融资融券业务对我国股票市场长期波动性影响并不显著,相关性分析发现融资融券业务在发展初期的规模局限或是影响不显著的主因,在有序规制前提下稳步推进融资融券业务规模扩张,是促进其为股票市场带来积极影响的有效路径。     

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.     

Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets

This paper investigates the common volatility structure of stock and exchange rate markets of Taiwan. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the two markets. The unrestricted trading volumes reveal more information regarding the market than price. We find that common volatility does exist in the stock and exchange markets and this fact is uncovered more easily by using trading volume than by using prices.     

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.     

分形市场假说与股票市场的有效性分析

主流的金融计量理论是以价格的随机游走和收益的正态分布假设为基础的.而分形市场研究认为价格是分形,价格遵循有偏随机游走,并用分形分布描述收益的分布规律.在分形研究的框架下,作为主流有效市场假说的替代理论,分形市场假说用不同投资期水平下的投资者对信息的不同评估来解释价格行为的分形机制,也启发我们从动态的和相对的角度去思考股票市场的有效性问题.     

赣州市股票发行市场研究报告

金融理论界早已证明,金融对经济有巨大的促进作用。2006年是中国股票市场迅猛发展的一年,给中国企业融资带来了巨大契机。但这个契机并不是均等的,需要各地区各企业之间激烈争夺而来。2006年全年共发行新股70只,绝大部分分布在东部发达地区,中部则少之又少。因此,本文主要从赣州市的角度出发,阐释其股票发行市场现状,并指出政府如何服务企业上市,为当地经济发展做出贡献。     

Multivariate GARCH Volatility Across Major Industry Groups of the Stock Exchange of Thailand

This paper examines the volatility on the time-series relations among the returns of industry group indices in the stock exchange of Thailand. Does volatility of the return series in one industry group indices necessarily lead to volatility in other industry group indices among the sample of eight industry groups？ This research will be valuable to investors utilizing a better understand diversification needed to get good returns. Daily data （2,116 days） are used in this paper covering data for the nine-year period from January 5, 2004, to August 31, 2012. Multivariate Generalized Autoregressive Conditional Heteroscedasticity was tested consisted of： （1） Diagonal VEC Model; （2） Baba Engle Kraft Kroner Models （BEKK Models）; （3） Vector Autoregressive Moving Average GARCH Model （VARMA GARCH Model）; and （4） Constant Conditional Correlation Model （CCC Model）. The findings indicated that the major result shows that, volatility in one industry group necessarily lead to volatility in other industry group indices in the opposite way and in the similar way.