双侧系统性风险及其在中国股市的实证研究

Bilateral Systematic Risks and Their Empirical Research in Chinese Stock Market

基于代表性投资者下跌风险规避和上升风险喜好推导出双侧风险偏好资产定价模型，并基于该模型实现了双侧系统性风险的分离。运用中国A股市场1996年～2003年的收益数据进行实证研究表明，双侧系统性风险的绝对值在研究样本区间初期较高，随后逐年下降，说明中国证券市场日趋规范，也与1996年以后实行的股市涨跌幅设限等政策有关；与外在重大信息冲击影响对应．双侧系统性风险的相对比例在研究样本期间内表现为一波三折。

Asset pricing model based on the representative investor＇s preference to upside risk and aversion to downside risk is put forward and bilateral systematic risks are. separated from the total volatility using this asset pricing model. Using daily return of Chinese stock markets from1996 to 2003, the empirical test indicates： the absolute value of bilateral systematic risks are all decreasing because of the standardization of stock markets and the policy of price limits ; the ratios of systematic risks to total volatility are unstable through the sampled period, and these trends are accorded with the informational strikes in the period.