公司特质波动的全球趋势及其影响因素研究述评

Global Trend and Influencing Factors of Idiosyncratic Volatility: A Literature Review

20世纪70年代末到本世纪初,信息技术带来的创造性破坏导致竞争加剧和公司分化,欧美股市特质波动随之上升,并于网络股泡沫破灭后步入下行通道,其后因次贷危机而急速飙升。通过梳理近期全球公司特质波动趋势表现和影响因素的相关文献,认为美、欧、日,以及中国股市的特质波动走势各异,体现了经济发展的异质性。随后从样本构成、基本面的决定、投资者行为等三方面概括了特质波动的成因,认为基本面因素最为重要,特质波动上升的根源在于创新和竞争。因此,后危机时代中国深化金融经济体制改革的根本途径为:提升资源配置效率,在强化竞争机制的同时,为具有创新动力的中小企业提供支持。

From the late 1970s to the beginning of this century, creative destruction caused by the development of information technology has increased competition and differentiation among firms. Conse- quently, idiosyncratic volatility of Europe and the United States stock markets rose and experienced a de- cline after the Internet Bubble burst; however, it jumped sharply during the subprime crisis. This paper reviews literatures on the global trend and influencing factors of idiosyncratic volatility. It is concluded that trends of idiosyncratic volatilities in different countries are different, and that fundamentals are the most important factors and the idiosyncratic volatility originates from innovation and competition after causes of idiosyncratic volatilities are generalized from the perspective of composition of the stock market, determina- tion of fundamentals and behavior of investors. At last, the fundamental way for Chinese deeper financial reform in the post - crisis era is suggested to improve the efficiency of resource allocation, to strengthen the competitive mechanism, and to support small and medium enterprises with innovative desire.