股市预期收益率与波动关系的研究被引量：5

SV-m models-based study on relationship between expected stock returns and volatility

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摘要利用SV_m模型对Koopman等的研究结论进行了验证,对SV_m模型进行了扩展,提出了一种能捕捉非对称效应的A-SV_m模型,并用该模型和SV_m模型对预期收益率与波动的关系进行了实证研究.研究结果与Koopman等人的结论不同,表明预期收益率与波动之间的关系是时变的,而且波动(条件方差)对预期收益率的影响并不显著.结合Harrison、Campbell等人的研究对结果进行了解释. In this paper conclusion of Koopman et al（2002） has been tested using SV-m model. Then, SV-m model is extended and A-SV-m model is proposed, which can catch asymmetry information effect. Boot the old SV-m model and A-SV-m model are used in empirical studies on the relationship between expected returns and volatility. Results are different from Koopman＇s conclusion and show that the relationship between expected returns and volatility is time varying, and the effect the volatility has on the expected retnms is insignificant. Finally, results are explained by using studies of Harrison（1999）,Campbell et al（1996）.

作者黄大海郑丕谔

机构地区天津大学管理学院

出处《管理科学学报》 CSSCI 北大核心 2005年第5期76-81,共6页 Journal of Management Sciences in China

基金国家自然科学基金资助项目(79670064)

关键词股市预期收益率波动风险 SV-M模型 stock market expected returns volatility risk SV-m model

分类号 F830.91 [经济管理—金融学]

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参考文献17

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