交易冲击与资产的非对称波动:基于“已实现波动率”

Trading Impact and the Asset Return Asymmetric Volatility:Based on the Realized Volatility

采用日内"已实现波动率"测度,本文从交易冲击的角度对中国A、B股的日内波动特征进行研究。结果表明,已实现波动率可以很好捕捉我国股市波动的非对称效应,而且这种非对称波动存在显著的时变特征;交易行为能够解释A股的非对称效应,但B股的非对称波动还存在其他的影响因素;知情交易降低了波动性,不知情交易则增强了波动性;结合"处置效应"对波动非对称性的更深入考察以及稳健性检验的都支持了我们的经验发现。

With the measure of 'realized volatility', this paper studies the A and B shares in Chinese stock market from the trading impact. Our results show that, 1) realized volatility can capture the asymmetric volatility effect in Chinese stock market and the asymmetric volatility effect is time -varying, 2) the trading impact can explain the asymmetric volatility effect of A shares but B shares, the informed (uniformed) trading decrease (increase) the volatility, 3) combining the 'disposition effect' with the asymmetric volatility effect, we find some other support evidence. At last, the robust tests give the positive evidence again.