中国利率与股市间波动溢出效应的实证研究

采用多变量EGARCH模型分别对中国利率与沪深股市间的波动溢出效应进行的实证研究表明,股票收益率对利率收益率有着显著的短期动态影响;利率与沪深股市间存在着显著的双向波动溢出,除了利率对深圳市场的方向外,其他方向的波动溢出均存在着不对称性.     

Structural effects and spillovers in HSIF, HSI and S&P500 volatility

We adopt a BEKK-GARCH framework and employ a systematic approach to jointly examine structural breaks in the Hong Kong cash index and index futures volatility and volatility spillovers from the S&P 500 cash and futures. Multiple switching dummy variables are included in the variance equations to test for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market. Abolishment of the up-tick rule, increase of initial margins and electronic trading of the Hang Seng Index Futures (HSIF) are found to have significant impact when US market spillovers are excluded from a restricted model. Volatility spillovers from the US market are found to have a significant impact and account for some mis-specification in the restricted model.     

Optimal investments in volatility

Volatility has evolved as an attractive new asset class of its own. The most common instruments for trading volatility are variance swaps. Mean returns of DAX and ESX variance swaps over the time period of 1995 to 2004 are strongly negative, and only part of the negative premium can be explained by the negative correlation of variance swap returns with stock market indices. We analyze the implications of this observation for optimal portfolio composition. Mean-variance efficient portfolios are characterized by sizable short positions in variance swaps. Typically, the stock index is also sold short to achieve a better portfolio diversification. To capture heterogeneous preferences for higher moments, we use a variant of the polynomial goal programming method. We assume that investors strive for a high Sharpe ratio, high skewness, and low kurtosis. Our analysis reveals that it is often not possible to achieve a balanced tradeoff between Sharpe ratio and skewness. Investors are advised to hold the extreme portfolios (Sharpe ratio driven, skewness driven, or kurtosis driven) and avoid the middle ground. This “all-or-nothing” characteristic is reflected in jumps of asset weights when certain thresholds of preference parameters are crossed. These empirical findings can explain why many investors are so reluctant to implement option-based short-selling strategies.

Price discovery of subordinated credit spreads for Japanese mega-banks: Evidence from bond and credit default swap markets

This paper investigates the determinants and dynamics of subordinated credit spreads for Japanese mega-banks using the bond and credit default swap (CDS) spreads. The main findings are as follows. Subordinated bond and CDS spreads are cointegrated in most cases, and the CDS spread plays a more dominant role in price discovery than the bond spread. In addition, there are significant volatility spillovers from the CDS to bond spread. This information leadership for the CDS spread can largely be explained by stronger reactions of the CDS spread to some financial market variables and bank-specific accounting variables than the bond spread.     

Modeling the time varying volatility of housing returns: Further evidence from the U.S. metropolitan condominium markets

This study extends the literature on modeling the volatility of housing returns to the case of condominium returns for five major U.S. metropolitan areas (Boston, Chicago, Los Angeles, New York, and San Francisco). Through the estimation of ARMA models for the respective condominium returns, we find volatility clustering of the residuals. The results from an ARMA‐TGARCH‐M model reveal the absence of asymmetry in the conditional variance. Dummy variables associated with the housing market collapse unique to each metropolitan area were statistically insignificant in the conditional variance equation, but negative and statistically significant in the mean equation. Condominium markets in Los Angeles and San Francisco exhibit the greatest persistence to volatility shocks.     

Exchange-rate volatility and industry trade between the U.S. and Malaysia

Previous research that investigated the impact of exchange rate volatility on the trade flows of Malaysia concentrated only on the aggregate exports of Malaysia to the rest of the world. In this paper we first concentrate on the trade flows between Malaysia and the U.S. After showing that exchange rate volatility has neither short-run nor long-run effect on the trade flows between the two countries, we disaggregate the trade data by industry and consider the experience of 101 U.S. exporting industries to Malaysia and 17 U.S. importing industries from Malaysia. While exchange rate volatility seems to have significant short-run effects on the trade flows of most industries, short-run effects translate into the long run only in a limited number of small industries.     

Modeling structural changes in the volatility process

GARCH-type models have been very successful in describing the volatility dynamics of financial return series for short periods of time. However, the time-varying behavior of investors, for example, may cause the structure of volatility to change and the assumption of stationarity is no longer plausible. To deal with this issue, the current paper proposes a conditional volatility model with time-varying coefficients based on a multinomial switching mechanism. By giving more weight to either the persistence or shock term in a GARCH model, conditional on their relative ability to forecast a benchmark volatility measure, the switching reinforces the persistent nature of the GARCH model. The estimation of this benchmark volatility targeting or BVT-GARCH model for Dow 30 stocks indicates that the switching model is able to outperform a number of relevant GARCH setups, both in- and out-of-sample, also without any informational advantages.     

Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period

In this paper we explore the nature of the mean, volatility and causality transmission mechanism between stock and foreign exchange markets for the United States and some major European markets for the periods pre- and post-euro. The asymmetric volatility transmission is described by an extended Multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model. The results support the asymmetric and long-range persistence volatility spillover effect and show strong evidence of causality in the mean and variance between foreign exchange rate and stock price for both pre- and post-euro periods. However, the stock price has a more significant effect on foreign exchange rate for the two subsamples. These results are robust to the cross-correlation function test suggested by Cheung and Ng. The implication is particularly important for international portfolio managers when devising hedging and diversification strategies for their portfolios.     

Negative Libor rates in the swap market model

We apply Stroock and Varadhan’s support theorem to show that there is a positive probability that within the Swap Market Model the implied Libor rates become negative in finite time. Mataix-Pastor received support from the Instituto Credito Oficial (ICO), Spain, and Fundación Caja Madrid.     

Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain

This paper examines whether the emerging Gulf markets of Saudi Arabia and Bahrain in conjunction with the US market exhibit cointegrating relationship. Additionally, the transmission of information and volatility spillover between the Gulf markets is explored using a bivariate EGARCH model. We find that although the markets are not cointegrated, the Gulf markets do share information flows. Specifically, we observe an asymmetric spillover of volatility from the smaller though more liberal and accessible Bahraini market to the larger and less accessible Saudi market. The observed difference in information processing may partly be due to a well-developed Bahraini financial sector that encourages wider participation by international investors who play a significant role in assimilating new information.     

Conditional volatility persistence and volatility spillovers in the foreign exchange market

I investigate the magnitudes and determinants of volatility spillovers in the foreign exchange (FX) market, using realized measures of volatility and heterogeneous autoregressive (HAR) models. I confirm both meteor shower effects (i.e., inter-regional volatility spillovers) and heat wave effects (i.e., intra-regional volatility spillovers) in the FX market. Furthermore, I find that conditional volatility persistence is the dominant channel linking the changing market states of each region to future volatility and its spillovers. Market state variables contribute to more than half of the explanatory power in predicting conditional volatility persistence, with the model that calibrates volatility persistence and spillovers conditionally on market states performing statistically and economically better. The utilization of market state variables significantly extends our understanding of the economic mechanisms of volatility persistence and spillovers and sheds new light on econometric techniques for volatility modeling and forecasting.     

当前经济形势与互换利率走势判断

2010年上半年,利率互换市场交投活跃。随着市场对经济增长和政策运用预期的不断修正,互换利率继1月创出新高后一路振荡下行。预计下半年,在基本面、政策面、资金面和利率自身波动节奏的相互作用下,市场参与者的预期将反复进行修正,互换利率将呈现宽幅震荡。     

利率互换市场交易结构与交易行为影响简析

由于利率互换兼有套期保值、投机和套利三种交易功能,交易动机的多样性导致了研判市场价格走势的复杂性。当前会计准则要求对IRS敞口进行市场公允价值盯市并确认当期损益,该文根据IRS历史价格波动分析,提出IRS业务压力测试的方法,并结合市场常见的交易策略和套利行为,剖析市场价格波动的影响因素,以期为客观评价及控制交易策略风险提供一些参考。     

The leverage effect and the basket-index put spread

Benchmark models that exogenously specify equity dynamics cannot explain the large spread in prices between put options written on individual banks and options written on the bank index during the financial crisis. However, theory requires that asset dynamics be specified exogenously and that endogenously determined equity dynamics exhibit a “leverage effect” that increases put prices by fattening the left tail of the distribution. The leverage effect is larger for puts on individual stocks than for puts on the index, thus increasing the basket-index spread. Time-series and cross-sectional variation in the leverage effect explains option prices well.     

中国股市开、收盘波动性的比较研究

利用EGARCH模型,对2000年1月至2007年4月间沪深两市具有代表性的股票及指数的开收盘收益率的波动性进行实证分析,结果表明收益率序列有明显的ARCH效应,其波动性具有显著的非对称性的冲击的持续性;在样本期内,上交所的个股和指数未能观察到开盘波动性高于收盘波动性的现象,而深交所个股在2006年7月实施收盘集合竞价机制之后比较明显地观察到开盘波动性高于收盘波动性的现象。     

Intraday volatility and periodicity in the Malaysian stock returns

Many empirical studies using high-frequency intraday data from a variety of markets indicate that PGARCH models give superior return volatility forecasts than those produced from standard GARCH models. This paper investigates into modelling approaches of four versions of PGARCH models of high-frequency data of Bursa Malaysia, in particular where the intraday volatility of double U-shaped pattern. It is examined through half-hourly dummy variables, quarterly-hourly dummy variables, Fourier Functional Form (FFF) based variables and spline-based variables. The non-periodic GARCH models, i.e., GARCH, EGARCH and TARCH are used for comparison of performance of best fit. The analysis show that among the four versions of PGARCH models, the half-dummy and the spline-based versions perform the best. EGARCH produced consistently superior results to other GARCH specifications.     

Understanding the price of volatility risk in carry trades

This paper investigates the cross-sectional pricing ability of the short- and long-run components of global foreign exchange (FX) volatility for carry trade returns. We find a negative and statistically significant factor risk price for the long-run component, but no significant pricing effect due to the short-run volatility component. We also document that the dynamics of the long-run component of global FX volatility are related to US macroeconomic fundamentals. Our results are robust to various parametrizations of the volatility models used to obtain the volatility components and they are invariant to alternative asset pricing testing methodologies and sample periods.     

Financial liberalization and changes in the dynamic behaviour of emerging market volatility: Evidence from four Latin American equity markets

This paper examines whether the dynamic behaviour of stock market volatility for four Latin American stock markets (Argentina, Brazil, Chile and Mexico) and a mature stock market, that of the US, has changed during the last two decades. This period corresponds to years of significant financial and economic development in these emerging economies during which several financial crises have taken place. We use weekly data for the period January 1988 to July 2006 and we conduct our analysis in two parts. First, using the estimation of a Dynamic Conditional Correlation model we find that the short-term interdependencies between the Latin America stock markets and the developed stock market strengthened during the Asian, Latin American and Russian financial crises of 1997–1998. However, after the initial period of disturbance they eventually returned to almost their initial (relatively low) levels. Second, the estimation of a SWARCH-L model reveals the existence of more than one volatility regime and we detect a significant increased volatility during the period of crisis for all the markets under examination, although the capital flows liberalization process has only caused moderate shifts in volatility.     

Exploring the components of credit risk in credit default swaps

In this paper, we test the influence of various fundamental variables on the pricing of credit default swaps. The theoretical determinants that are important for pricing credit default swaps include the risk-free rate, industry sector, credit rating, and liquidity factors. We suggest a linear regression model containing these different variables, especially focusing on liquidity factors. Unlike bond spreads which have been shown to be inversely related to liquidity (i.e., the greater the liquidity, the lower the spread), there is no a priori reason that the credit default swap spread should exhibit the same relationship. This is due to the economic characteristics of a credit default swap compared to a bond. Our empirical result shows that all the fundamental variables investigated have a significant effect on the credit default swap spread. Moreover, our findings suggest that credit default swaps that trade with greater liquidity have a wider credit default swap spread.