中美股票市场跳跃风险的非对称预测能力及溢出效应研究

The Asymmetric Effects of Realized Jump Volatility on Conditional Equity Premium and Spillover Effects between China and U.S.’s Stock Markets

在中国资本市场不断开放的背景下研究股市跳跃风险和市场间的溢出效应具有重要的理论和现实意义。本文基于中美股票市场的高频数据对各自跳跃风险进行了测算和拆分，并根据日收益率的正负将整体跳跃风险分为正负跳跃风险。在此基础上分别检验了该类指标对股权溢价、波动率及利率的预测效果。同时，本文也对两个市场间的溢出效应进行了分析。研究发现，正负跳跃风险的预测能力和溢出效应均存在显著的非对称性。在对股权溢价的预测中，美国股票市场负跳跃风险的预测能力较强且贝塔系数为正，而正跳跃风险的预测能力较弱且贝塔系数为负，中国股票市场上则无此特征。在同期溢出效应检验中，美国股票市场负跳跃风险具有显著的溢出效应，正跳跃风险则无此特征，而中国对美国的溢出效应较弱。在非同期溢出效应检验中，美国正负跳跃风险均具有显著的溢出效应，而中国股票市场只有整体跳跃风险才有此特征。

Along with the opening-up of China＇s capital market, this paper studies the realized jump volatility （RJV） of China and U.S.＇ stock markets, and analyzes the spillover effects between these two stock markets, so it has important theoretical and practical significance. On the basis of high-frequency data, this paper calculates the RJV of China and U.S.＇ stock markets, the sigh of a jump is the same as the sign of the stock return for the day when jump occurs. Therefore, we divide it into positive and negative realized jump volatility （RJVP and RJVN）, and validate the predictive ability of RJV_ P and RJV_ N on excess returns, volatility and interest rates. Meanwhile, this paper analyzes the spillover effects between these two stock markets. We found that there was a significant asymmetry in the predictive ability of the RJV_P and RJVN, and a significant asymmetry spillover effect between these two stock markets. The prediction ability of RJV_N was strong and the sign of coefficient was positive However, the prediction ability of RJV_P was weak and the sign of coefficient was negative, and this phenomenon did not exist in China＇s stock market. The RJV_N of U.S. stock market has the contemporaneous spillover effect, and RJV_P has not this effect. Meanwhile, both RJV_P and RJV_N of China＇s stock market have the weak contemporaneous spillover effect. Both the RJV_P and RJV_N of U.S. stock market have the asynchronous spillover effect. However, only the RJV of China＇s stock market has this asynchronous spillover effect.