美国股市异常波动的内在机制与启示

The Internal Mechanism of Abnormal Fluctuations in the US Stock Market

本文分析了近期全球股票市场波动率大幅上升的内在机制,认为导火索是美国薪资加速和油价上行提振通胀预期,作用基础是累计浮盈和估值水平较高,放大机制是ETP衍生品与VIX指数的交互强化,传导链条是主动管理型基金减仓推高市场波动率水平引发的一系列负向循环。

This paper analyzes the internal mechanism behind the recent surge in volatility in global stock markets. The trigger for the latest round of volatility was the rise in inflation expectations due to upward pressure on wages in the United States and higher world oil prices. Significant levels of accumulated corporate earnings and high stock valuations were part of the environment in which this volatility arose. The interaction between ETP derivatives and the VIX index amplified market movements.