证券市场回报与风险的国际比较

International Comparison Between Return and Risk of Stock Market

采用变形的资本资产定价模型,利用广义矩估计的方法测量我国证券市场与世界成熟以及新兴证券市场的回报和风险之间关系。实证结果表明,各国市场回报率的波动性趋势存在着巨大的差异,并呈现出随时间变化而变化的特征。新兴证券市场的期望回报不但不能对风险进行补偿,反而随着市场波动性的加剧,市场的期望回报更低,而成熟市场则恰恰相反。

A transformative capital asset pricing model is utilized and the relationship between return and risk is measured by generalized method of moments among Chinese stock markets, mature and emerging markets in the world. The empirical results disclose that volatility of different stock markets shows enormous difference and characteristics that change with time. The expected return in emerging stock markets can not compensate risk, and expected return becomes smaller with volatility bigger. On the other hand, mature markets show the contrary trend.