西安交通大学学报：社会科学版
西安交通大學學報：社會科學版
서안교통대학학보：사회과학판
Journal of Xi'an Jiaotong University(Social Sciences)
2015年
2期
16~21
,共null页
过度关注 噪音交易 波动聚集性 GARCH模型
過度關註 譟音交易 波動聚集性 GARCH模型
과도관주 조음교역 파동취집성 GARCH모형
overattention ; noise trade ; volatility clustering; GARCH model
依据过度关注假说,建立了基于过度关注的噪音交易理论模型,模型刻画了股票收益率与历史波动的关系,认为过度关注能够产生股价波动聚集性.通过对全球19只发达和新兴国家地区股票指数的收益率数据进行GARCH族实证,结果表明收益波动的聚集性与过度关注有关,新兴国家的历史股票收益率与波动能够预测未来的股票收益率和波动,且收益率的波动对历史波动具有非对称性反应,而发达国家股票收益率波动则不受历史波动的影响.
依據過度關註假說,建立瞭基于過度關註的譟音交易理論模型,模型刻畫瞭股票收益率與歷史波動的關繫,認為過度關註能夠產生股價波動聚集性.通過對全毬19隻髮達和新興國傢地區股票指數的收益率數據進行GARCH族實證,結果錶明收益波動的聚集性與過度關註有關,新興國傢的歷史股票收益率與波動能夠預測未來的股票收益率和波動,且收益率的波動對歷史波動具有非對稱性反應,而髮達國傢股票收益率波動則不受歷史波動的影響.
의거과도관주가설,건립료기우과도관주적조음교역이론모형,모형각화료고표수익솔여역사파동적관계,인위과도관주능구산생고개파동취집성.통과대전구19지발체화신흥국가지구고표지수적수익솔수거진행GARCH족실증,결과표명수익파동적취집성여과도관주유관,신흥국가적역사고표수익솔여파동능구예측미래적고표수익솔화파동,차수익솔적파동대역사파동구유비대칭성반응,이발체국가고표수익솔파동칙불수역사파동적영향.
Based on the hypothesis of over attention, this paper establishes a theoretical model of noise trade which contains an over attention theory. The new model depicts the relationship between stock returns and historical volatility, arguing that over attention can cause volatility clustering. By using the data of 19 developed and emerging countries＇stock index,this paper investigates the rate of return based on GARCH model. The empirical results show that the volatility clustering associates with over attention. Historical stock returns and volatility in emerging countries can predict future stock returns and volatility, and the volatility of return has asymmetric reaction to the historical volatility, while in the developed countries the volatility of stock return is not affected by the historical volatility.
