公司视角下基于动态面板的中国股市收益与波动关系研究

Research on Return-Volatility Relationship Based on Dynamic Panels from the Perspective of Firm Level in China's Stock Market

本文采用中证800样本股的面板数据,建立动态面板VAR模型,以公司视角探究股市收益与波动的关系,深入挖掘杠杆效应和波动反馈效应中的市场因素和公司因素。研究结果表明我国市场同时存在杠杆效应和波动反馈效应,且杠杆效应更具主导地位。杠杆效应中,市场因素对股票波动产生正效应,表现出反向杠杆效应。公司因素产生负的影响效应,且短时间内体现不出来。波动反馈效应中,市场因素和公司因素都对股票收益产生负效应,且市场因素比公司因素影响更大。大公司,偿债能力强、盈利能力好的公司信息披露程度高,公司因素产生的非对称特征不显著,它们的非对称效应主要受市场因素影响。研究为股市投资和监管提供必要参考与合理建议。

Using the sample stocks of the CSI 800 panel data in Chinese stock market,we establish a dynamic panel vector autoregressive model to explore the relationship between return and volatility from the perspective of firm level and examine both of the market and firm factors in ＂leverage＂and volatility feedback effects. The results show that ＂leverage＂and volatility feedback effects both exist in China＇s stock market and the leverage effect is more dominant. Market factor in leverage effect produces positive effect,showing the reverse leverage while firm factor is significant and negative,but not dominant in a short time. As for volatility feedback effect,market and firm factors are both negative and the market factor is stronger than the firm factor. We also find that large firms with good solvency and high profitability have a high degree of information disclosure. Their asymmetric effects are mainly affected by market factor,while the firm factor is not that remarkable. This research can provide necessary references and reasonable proposals for the investment and regulation.