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中国股市特质波动的影响因素检验——基于结构突变视角 被引量:3

Empirical Tests of the Influencing Factors on the Idiosyncratic Volatility of China's Stock Market——From the Perspective of Structural Change
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摘要 通过直接和间接分解法得到14种股市特质波动,运用中国股市数据证实了这些特质波动序列具有强而显著的相关性。选取代表性特质波动、宏观经济增长及其波动、表征投资者行为偏差的换手率等变量,基于结构突变点判别对变量序列进行退势,并运用退势平稳序列检验影响特质波动的主客观因素,结果发现:投资者行为偏差及其与前期经济增长的交互作用趋于推高股市特质波动,而前期宏观经济波动对股市特质波动有平抑作用。 Direct and indirect decomposition methods are used to get 14 kinds of idiosyncratic volatility,and they are proved to have strong and significant correlations with each other by using the data of China's stock market. Based on the judgments of structural change points,variable series are detrended by using the representative of idiosyncratic volatility,macro economic growth and its fluctuation,and the stock market turnover rate indicating the behavior bias of investors. Moreover,detrending stationary time series are used to test the factors influencing idiosyncratic volatility. Outcomes indicate that behavior bias of investors and its interaction with the prophase economic growth tend to increase the idiosyncratic volatility,and the prophase macroeconomic fluctuation will stabilize the idiosyncratic volatility.
作者 黄波
出处 《云南财经大学学报》 CSSCI 北大核心 2015年第2期3-11,共9页 Journal of Yunnan University of Finance and Economics
基金 国家社会科学基金项目"基于特质波动分解的上市公司投资效率研究"(14BGL041) 教育部人文社会科学基金项目"公司特质波动与宏观经济波动关系的理论建模与实证检验"(10YJC790090)
关键词 特质波动 结构突变检验 宏观波动 经济增长 投资者行为偏差 Idiosyncratic Volatilities Structural Change Tests Macroeconomic Fluctuation Economic Growth Behavior Bias of Investors
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