基于多标度分形理论的金融资产收益非对称性测度方法研究

基于多标度分形理论，提出了一种新的更适用于实际金融资产收益数据的非对称性测度方法——两阶段非对称性检验法（Two-step asymmetry testing，TAT），并运用Monte Carlo模拟考察了其与传统的偏度系数检验法的非对称性判定结论差异。实证结果表明：总体来讲，本文提出的两阶段非对称性检验法在常用检验水平下取得了较偏度系数法更为准确的金融资产收益非对称性判定结论，且两阶段非对称性检验法较偏度系数法更适用于具有非独立、非正态特性数据的非对称性检验。

Testing Asymmetry in Financial Asset Return Based on Multifractal Theory

Asymmetry in financial asset returns is not only one factor should be considered in asset pricing and portfolio selection, but also related to risk measurement and derivatives pricing. In traditional study, the common approach to test asymmetry in asset return distributions is using the coefficient of skewness which is defined as the standardized third central moment. However, when using the coefficient of skewness to test asymmetry, the key to make the conclusion right and effective is that not only asset prices are independent of each other, but also the asset return should obey normal distribution. In this paper, a new asymmetry test based on multifractal theory, two-step asymmetry testing (TAT), is proposed. A Monte Carlo study showed that this test is competitive with coefficient of skewness test in common significance levels generally and that, for dependent and non-normal data, TAT testing work more properly.