系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2015年
6期
1416~1424
,共null页
风险-收益 股权分置改革 ARCH-M 信息扩散
風險-收益 股權分置改革 ARCH-M 信息擴散
풍험-수익 고권분치개혁 ARCH-M 신식확산
risk-return;share structure reform;ARCH-M;information diffusion
本文针对上证指数构建了基于信息扩散的风险因子,检验了其与指数收益率之间的实证关系;并对比了传统ARCH-M类模型中条件方差对收益率的解释力度.结果表明,基于信息扩散的风险因子能够更好地解释上证指数在不同发展阶段的定价和波动特征,并且对股指收益率具有更好的解释/预测效果.本文的研究揭示了波动作为信息的载体是有价的,佐证了中国股市定价机制在股权分置改革后出现了从投机市、政策市逐渐向基本面回归的转变,同时也捕捉到了股市波动特征自2014年以来出现的一些新变化.
本文針對上證指數構建瞭基于信息擴散的風險因子,檢驗瞭其與指數收益率之間的實證關繫;併對比瞭傳統ARCH-M類模型中條件方差對收益率的解釋力度.結果錶明,基于信息擴散的風險因子能夠更好地解釋上證指數在不同髮展階段的定價和波動特徵,併且對股指收益率具有更好的解釋/預測效果.本文的研究揭示瞭波動作為信息的載體是有價的,佐證瞭中國股市定價機製在股權分置改革後齣現瞭從投機市、政策市逐漸嚮基本麵迴歸的轉變,同時也捕捉到瞭股市波動特徵自2014年以來齣現的一些新變化.
본문침대상증지수구건료기우신식확산적풍험인자,검험료기여지수수익솔지간적실증관계;병대비료전통ARCH-M류모형중조건방차대수익솔적해석력도.결과표명,기우신식확산적풍험인자능구경호지해석상증지수재불동발전계단적정개화파동특정,병차대고지수익솔구유경호적해석/예측효과.본문적연구게시료파동작위신식적재체시유개적,좌증료중국고시정개궤제재고권분치개혁후출현료종투궤시、정책시축점향기본면회귀적전변,동시야포착도료고시파동특정자2014년이래출현적일사신변화.
This paper builds information-diffusion-based risk factors for Shanghai Composite Index and examines the relationship between these factors and the index returns.In comparison,the paper studies the explanatory power of the conditional variance for returns derived from ARCH-M type models.The results show that the information diffusion-based risk factors well capture the fluctuation features of Shanghai Composite Index across different development stages of Chinese stock market,and possesses superior explanatory/predicting power for the index returns.It is revealed that volatility risk as a conveyor of information should be priced.This study implies a structural shift in the pricing mechanism after the share structure reform,from speculation and policy driven market to fundamental based market,and also captures some new changes in the dynamics of volatility risk after 2014.
