上海、香港和纽约股市的波动结构比较

Comparison of the Volatility Structure of Shanghai,Hong Kong and New York Stock Market

为了比较不同市场中信息因素和行为因素对市场波动影响的差异，利用收益率分布主观模型，以投资者对小概率的反应偏差来衡量投资者有限理性程度，以资产内在价值波动代表资产信息，建立波动结构实证模型。利用1991年-2004年上证综指、香港恒生指数和道琼斯指数对上海、香港和纽约市场的波动结构进行比较分析，结果表明市场间的波动程度差畀来自于行为因素差异，上海市场的市场波动和非理性程度在3个市场中相对最大．但与香港市场无显著差异，且上海市场呈现独有的新兴市场发展特征，行为因素对市场波动的影响与市场发达程度负相关，市场的过度波动主要源于行为因素。

Aimed at comparing the influence of the difference of information and behavior to volatility in different markets, using subjective distribution model of returns, taking the degree that investor reaction to small probability affairs to measure the investor irrational bias, and taking foundation volatility as asset information, the paper builds up an empirical verify model of volatility structure. Using the empirical data of Shanghai Composite Index, Hong Kong Hengsheng Index and Dow Jones Average from 1991-2004, the volatility structure of Shanghai, Hong Kong and New York stock market is compared. The results show that the volatility difference among markets comes from the behavior difference, and that the volatility and the irrational degree of Shanghai stock market is the greatest in three markets, but the difference between Shanghai and Hong Kong isn＇t significant. In particular, the results show that Shanghai presents a developing characteristic of the burgeoning market, and that the influence of the behavior factor to volatility has a negative correlation with the development degree of market, and that the excess volatility of market come from the behavior factor mainly.