证券市场收益率分布时变性的经济学分析及其我国的经验证据

The Time-varying of Distribution about Security Market Return Rate and China's Related Empirical Data:An Economic Analysis

当投资者预期不一致时,现金流贴现模型用以作为资产价值判断标准的统一性就遭到了破坏,预期相对悲观与乐观的投资者形成了市场交易的两大阵营,由这两大阵营决定的卖力与买力的相对能量决定着证券投资收益率的分布特征,无论现实市场价格向哪个方向变动,市场交易的实现都会使证券资产向预期乐观的投资者集中,这种证券资产的集中过程对应着资产收益率分布的时变性,本文不仅从理论上探讨了收益率分布时变性的微观经济基础,而且还以我国上证指数的一个完整的牛熊市周期的实际数据为研究样本,从实证分析的角度证实了股票收益率分布时变性的存在性以及不同阶段收益率的分布特征,并运用马尔可夫概率转移矩阵考察了收益率分布的动态变化过程。

When investors＇ expectations are inconsistent,the unity of cash discount model used as a criterion of the value of assets is destroyed,and the expected relatively pessimistic and optimistic investors form two camps of market transaction.The distribution character of stock investment return rate depends on the relative energy of selling and buying power decided by the two camps.No matter which direction the actual market price moves,the realization of market transactions will make the securities assets concentrate on the bullish investors,and such concentration process is corresponding with the time-varying of assets return rate.This paper not only discusses the micro-economic foundation of time-varying of the yield distribution in theory,but also from the view of the empirical analysis and based on the actual data of a complete cycle of China＇s Shanghai Composite Index Bull and Bear,confirms the existence of time-varying of the yield distribution and distribution character at different stages,and uses Markov probability transition matrix to investigate the dynamic process of the return rate distribution.