过度关注与股价波动聚集性

Overattention and Volatility Clustering

依据过度关注假说,建立了基于过度关注的噪音交易理论模型,模型刻画了股票收益率与历史波动的关系,认为过度关注能够产生股价波动聚集性。通过对全球19只发达和新兴国家地区股票指数的收益率数据进行GARCH族实证,结果表明收益波动的聚集性与过度关注有关,新兴国家的历史股票收益率与波动能够预测未来的股票收益率和波动,且收益率的波动对历史波动具有非对称性反应,而发达国家股票收益率波动则不受历史波动的影响。

Based on the hypothesis of over attention, this paper establishes a theoretical model of noise trade which contains an over attention theory. The new model depicts the relationship between stock returns and historical volatility, arguing that over attention can cause volatility clustering. By using the data of 19 developed and emerging countries＇stock index,this paper investigates the rate of return based on GARCH model. The empirical results show that the volatility clustering associates with over attention. Historical stock returns and volatility in emerging countries can predict future stock returns and volatility, and the volatility of return has asymmetric reaction to the historical volatility, while in the developed countries the volatility of stock return is not affected by the historical volatility.