北京航空航天大学学报(社会科学版) ›› 2009, Vol. 22 ›› Issue (1): 6-10.

• 论文 • 上一篇    下一篇

中国股票市场特质波动率与横截面收益研究

杨华蔚, 韩立岩   

  1. 北京航空航天大学 经济管理学院, 北京 100191
  • 收稿日期:2007-09-04 出版日期:2009-03-25 发布日期:2010-05-11
  • 作者简介:杨华蔚(1965-),女,河南开封人,副教授,博士研究生 ,研究方向为金融市场、金融工程和数理金融.

An Empirical Study of the Relationship between the Idiosyncratic Volatility and Cross-sectional Return

YANG Hua-wei, HAN Li-yan   

  1. School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China
  • Received:2007-09-04 Online:2009-03-25 Published:2010-05-11

摘要:

对中国证券市场高特质波动率有异常低横截面预期回报现象进行分析,应用截面回归和时间序列分析方法验证了特质波动率异常收益对各种风险因子以及非流动性、交易成本、信息延迟度等市场摩擦的稳健性。研究发现,与成熟市场不同,特质波动率异常收益与构造投资组合的权重无关,控制换手率的影响会减弱特质波动率对收益回报的解释能力。分析认为,这是由于中国证券市场存在大量散户投资者以及卖空机制的缺失等交易者结构与制度限制所致 。

关键词: 特质波动率, 卖空限制, 风险溢价, 换手率

Abstract:

We confirm that the negative relation between lagged idiosyncratic volatility an d future average returns cannot be explained by exposure to various cross-secti onal risk factors and market frictions such as illiquidity, trading cost and pri ce delay. Different from studies in US stock markets, we find that the negative relation is stronger with equal-weighted idiosyncratic volatility quintile port folios than value weighted portfolios. We also find that the abnormal low future returns with high past idiosyncratic volatility is not significant after contro lling for turnover effect in Chinese stock market. We propose that short sale co nstraints and retail investors dominating trading in Chinese stock market can he lp to explain the differences.

Key words: idiosyncratic volatility, short sale constraints, risk premium, turnover

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