摘要
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.
出处
《技术经济》
CSSCI
北大核心
2015年第10期98-104,共7页
Journal of Technology Economics
关键词
特质波动率
风险溢价
中小板市场
idiosyncratic volatility
risk premium
stock market for small and medium-sized enterprises