中国证券市场预期特质性波动率影响定价的实证研究

An Empirical Study of Pricing Impact of the Expected Idiosyncratic Volatility in China’s Securities Market

基于1997年1月至2011年9月沪深两市非金融类A股数据对中国证券市场预期特质性波动率和股票收益率之间关系的考察,发现中国证券市场预期特质性波动率和股票收益率之间呈负相关关系;但当控制住换手率、Amihud非流动性比率、机构投资者持股比例和分析师覆盖等投资者意见分歧的代理变量后,这一关系转变为正相关关系。据此,支持二者负相关的Miller模型和支持二者正相关的Merton模型都刻画了中国证券市场的运行状况,但市场表现出何种规律取决于哪一个模型的影响居于主导地位。

On the basis of the data of non-financial A-shares listed in Shanghai and Shenzhen Stock Exchanges for the period of January, 1997 to September, 2011, this paper examines the relationship between the expected idiosyncratic volatility and stock returns in China＇s securities markets. It is revealed that there exists a negative correlation between the expected idiosyncratic volatility and the stock returns; but this negative correlation will turn positive after controlling the proxy variables that investors have different opinions, such as the turnover rate, the Amihud illiquidity ratio, the shareholding ratio of the institutional investors and analyst coverage. Hence, this paper concludes that both the Miller model which supports a negative correlation between expected idiosyncratic volatility and stock returns and the Merton model which supports a positive one can describe the operation of China＇s securities markets, but the final result is determined by the impact of the model that takes the dominating role in the market.