中国股票市场的收益-风险关系和惯性分析

A Valuation Study of Chinese Stock Markets′ Return-Risk and Momentum

本文采用非对称 EGARCH-M模型刻画了中国股票市场的个股风险 ,并对全市场的收益 -风险特征进行了横向分析 ,结果表明 ,从长期的角度来讲 ,在正常的市场条件下 ,中国股票市场存在着一定的高风险 -高收益、低风险 -低收益的关系 ,但从短期来看 ,由于不确定性因素较多 ,这种风险收益关系并不显著 .其次 ,本文分别采用每只股票历史 3个月的累积收益率、6个月的累积收益率以及 1 2个月的累积收益率分析了中国股票市场的惯性 ,我们发现 ,无论是从短期还是从比较长的时间来看 ,中国股票市场都不存在市场惯性 ,而表现出一定的反转现象 。

This paper measures individual stock′s risk of Chinese stock markets by use of EGARCH-M model, then analyzes the cross-sectional return-risk characteristic of the whole markets. The empirical result shows that form the point of view of long term, there is some degree of relation of high risk going with high return and low risk going with low return in normal Chinese stock markets, whereas form the point of view of short term, this relation is weak because of lots of uncertain factors. Moreover, this paper studies Chinese stock markets′ momentum with there-month, six-month and twelve-month history accumulative returns as explanatory variables respectively. We find that whether from the point of view of long term or from the point of view of short term, there is no market momentum in Chinese stock markets, but there is some degree of reversal effect. This reversal effect will trail off as time.