市场交易与股票收益的非对称波动性

Trading and the Asymmetric volatilities in China

本文使用上海证券交易所新近发布的Level2逐笔统计数据分析了上海证券市场上的股票收益波动性的非对称性,并探讨了这种非对称的波动性与市场交易的关系。研究结论表明,在上海证券市场上,2008年1月到12月确实存在着波动性的非对称性,而且这种非对称性可以用卖出交易行为很好的解释,使用更为细致的对卖出交易的分类,我们发现反向交易行为降低波动性,羊群效应交易行为增加波动性,而基于内幕消息的羊群效应交易行为在上海市场上是知情交易。

By using the data in the year of 2008, we have analyzed the volatility dynamics in Chinese stock market. We focused on the asymmetric volatilities and the trading effects. We find evidence that these two effects both existed in China in 2008, but the specific patterns of these are different from those of the western countries, especially for the information contents of various trades.