中国股票市场的风险收益关系研究——基于波动率反馈和APARCH-NIG模型的新视角

Risk Return Relationship in China's Equity Market—A New Perspective from Volatility Feedback Effect and APARCH-NIG Model

本文运用APARCH-NIG模型,从风险溢价和波动率反馈效应分解的角度入手,对沪深300指数、上证综指和深证成指的日超额收益率序列的风险收益关系进行实证研究。结果显示,三支指数都存在明显的正风险溢价和负波动率反馈效应,但仅深证成指表现出显著的正风险收益关系。金融危机后投资者显示出了更强的风险溢价需求,使得风险收益之间正相关显著加强。稳定的正风险溢价和负波动率反馈效应在一定程度上可以解释现有文献中风险收益关系不稳定的现象,结论对模型设定有一定的稳健性。

Using the APARCH- NIG model,this paper reinvestigated the risk return relationship with HS300 Index,SSE Composite Index and SZSE Component Index based on the decomposition of risk-return relationship into risk premium requirement and volatility feedback effect. Results show that all series has significant positive risk premium requirement and negative volatility feedback effect,but only the SZSE Component Index has significant risk return relationship. Investors are demanding higher risk premium in post-crisis period and making the risk return relationship significantly positive. The relatively stable positive risk premium requirement and negative volatility feedback effect can be an explanation to the unstable risk return relationship documented in literatures on China's stock market. Results are robust to different model specifications.