中国中小板市场的“特质波动率之谜”

"Idiosyncratic Volatility Mystery" in China′s Stock Market for Small and Medium-sized Enterprises

利用中小板指数和上证指数的日超额收益率数据,采用半参数局部多项式回归法,研究了中国中小板市场的特质波动率与横截面收益率的关系,探讨了中国中小板市场是否存在"特质波动率之谜"现象。结果显示:总的来说,中国中小板市场的特质波动率与横截面收益率之间存在正相关关系,但是这种正相关关系并不稳定;当股票市场行情较好时,中小板市场的特质波动率与横截面收益率正相关;当股票市场行情较差时,两者负相关;当上证指数的日超额收益率为负时,中小板市场出现"特质波动率之谜"现象。

This paper studies the correlation between idiosyncratic volatility and cross section yield of China′s stock market for small and medium-sized enterprises,and discusses the existence of the ＂idiosyncratic volatility＂ phenomenon by using the data from Shanghai Composite Index and Stock Market Index for small and medium-sized enterprises and running a semi-parametric local polynomial regression.The result shows as follows：generally,there is a positive correlation between idiosyncratic volatility and cross section yield,but this relationship is not stable;when the stock market is in the upswing（downswing）,the relationship is positive（negative）;when Shanghai Composite Index is lower than risk-free return,there is a negative risk premium in stock market for small and medium-sized enterprises.