长短期市场波动率对股票收益率影响的实证研究

发布时间：2018-01-16 01:35

本文关键词：长短期市场波动率对股票收益率影响的实证研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文主要研究了市场波动率对股票横截面收益率的影响,通过CGARCH-M模型将市场波动率分解为长期成分和短期成分,分别研究长期波动率和短期波动率对股票横截面收益率的影响。本文以沪深两市作为研究对象,以沪深300指数作为市场的代理变量。文章采用Fama-French三因子定价模型里的方法来构造股票组合,将沪深300指数的300只成分股按照规模和账市比两维指标分成5*5个股票组合,然后运用经典的Fama-Macbeth两阶段法来研究市场长期波动率新值和短期波动率新值对股票组合横截面收益率影响,计算相应的因子载荷及风险价格。本文发现整体市场波动率的因子载荷显著为正,短期波动率新值具有显著为正的风险溢价,而长期波动率新值的因子载荷为负。此外,小盘股对短期波动率敏感度更高,具有显著为正的因子载荷；而大盘股对短期波动率敏感度较低,而且因子载荷倾向于为负值,可见,短期波动率风险可以有效地解释“规模溢价”异象。通过对传统的CAPM模型、Fama-French三因子模型以及本文设定的添加了市场波动率风险因子的CAPM扩展模型的对比,发现本文设定的波动率分解模型的解释能力优于其他传统模型。
[Abstract]:This paper mainly studies the influence of market volatility on the cross-section return of stock, and decomposes the market volatility into long-term and short-term components by CGARCH-M model. This paper studies the impact of long-term volatility and short-term volatility on the cross-section return of stock. This paper takes the Shanghai and Shenzhen stock markets as the research object. Taking the CSI 300 index as the proxy variable of the market, this paper uses the method of Fama-French three-factor pricing model to construct the stock portfolio. The 300 component stocks of the CSI 300 index were divided into 5 * 5 stock combinations according to the scale and the two dimensional index of book-market ratio. Then using the classical Fama-Macbeth two-stage method to study the market long-term volatility new value and short-term volatility new value on the cross-section return of stock portfolio. In this paper, we find that the factor load of overall market volatility is significantly positive, and the new value of short-term volatility has a significant positive risk premium. The factor load of the new value of long-term volatility is negative. In addition, small-cap stocks are more sensitive to short-term volatility and have significantly positive factor loads. However, the sensitivity of large-cap stocks to short-term volatility is low, and the factor load tends to be negative, which shows that short-term volatility risk can effectively explain the "scale premium" anomaly. Through the traditional CAPM model. The comparison of Fama-French three-factor model and CAPM expansion model with market volatility risk factor is given in this paper. It is found that the volatility decomposition model is superior to other traditional models.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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