CAJ | 학술논문

由于不同的经济环境以及市场运行机制，不同区域股票市场的风险收益关系往往也不尽相同。文章选取4个具有代表性的股票市场，运用半参数 GARCH-M模型对它们的风险收益关系进行了实证分析研究。结果表明，半参数 GARCH-M数模型在4个股票市场的表现都优于相应的参数 GARCH-M模型。估计的均值函数曲线表明，4个市场风险收益关系都呈非线性关系且有着各自的特点。其中，英国股票市场的股价指数波动率变化范围最小，而中国大陆市场上证指数的最大风险溢价在4个股价指数中是最低的。
유우불동적경제배경이급시장운행궤제，불동구역고표시장적풍험수익관계왕왕야불진상동。문장선취4개구유대표성적고표시장，운용반삼수 GARCH-M모형대타문적풍험수익관계진행료실증분석연구。결과표명，반삼수 GARCH-M수모형재4개고표시장적표현도우우상응적삼수 GARCH-M모형。고계적균치함수곡선표명，4개시장풍험수익관계도정비선성관계차유착각자적특점。기중，영국고표시장적고개지수파동솔변화범위최소，이중국대륙시장상증지수적최대풍험일개재4개고개지수중시최저적。
Due to the different economic environments and different mechanisms of market operation,risk-return relationships of the stock markets in different regions are often not the same.This paper uses semiparametric GARCH-Mmodel to study the risk-return relationship between four different regional stock markets.The results indicated that the semiparametric GARCH-M models perform better than the corresponding parameter GARCH-Mmodel in all of the four stock markets.From the estimated mean function curve,we say that the four risk-re-turn relationships are all nonlinear relationship,and they all have their own characteristics.Among them, British stock market volatility of stock price index has the minimal range,and the Chinese market's biggest risk premium was the lowest in the four stock index.