市场波动性及市场噪音的定价能力研究——基于沪市的实证分析

The Pricing Ability of Market Volatility and Market Noise——An Empirical Evidence from Shanghai Stock Market

利用上证50ETF分笔交易数据,通过基于均方误差最小化的最优采样频率方法估计市场波动性及市场微观结构噪音,并用多因素模型研究这两个因素在上海市场中的定价能力,实证结果表明:研究期内,市场波动性和市场噪音都呈现出较为明显的与市场整体相反的走势,但是噪音的变化幅度大于波动率的变化;市场噪音并非系统性风险因素,而市场波动性的非预期变化是系统性风险因素,且被显著负定价;但与美国市场不同的是,股票收益对波动性风险的敏感度并未随规模的增大而降低。

By using tick-by-tick data of 50ETF, market microstructure noise and market volatility were estimated by optimal sampling frequency method based on MSE minimization. Their pricing abilities were analyzed with multi-factor models. Empirical results indicate that in the research period, market volatility and market noise acted inversely to the whole market, but the noise fluctuated more heavily than volatility did. It is also found that, market noise was not systematic risk factor, but market volatility was. The unexpected change of market volatility was priced negatively and significantly. However, different from US market, the sensitivity of return to volatility risk did not decrease with the increase of stock size.