中国股市价格跳跃行为的验证及应用

Research on Improvement of Fama-French Three-Factor Model Based on Jump Behavior

本文利用2007年5月底至2017年6月底上证综指的5分钟高频交易数据,采用双幂次变差非参数法验证了我国股市价格跳跃行为的存在情况。通过将总体已实现波动率分解为连续波动和跳跃波动,验证了跳跃波动与股票收益之间的关系。以Fama-French三因子模型为例,探讨了跳跃行为在预测收益和风险中的应用。得到的结论有:(1)我国股市价格存在跳跃行为且异常波动比例约为0.44,跳跃波动与股票收益存在显著关系;(2)纳入跳跃风险因子的四因子模型比Fama-French三因子模型拟合优度更好,定价效率更高,跳跃风险因子可以作为一个有效的扩展因子;(3)两模型的SMB因子和HML因子在滚动回归与整体回归中的系数相差不大,两个模型的稳定性都很好;(4)四因子模型共同风险值更大,与组合整体主动风险更为接近,风险预测和解释能力更强。

In this paper,based on the theory of Bi-power variation,the existence of jump behavior in the Chinese stock market is verified by using the 5-minute high-frequency trading data of the Shanghai Composite Index from May 2007 to June 2017.By decomposing the overall realized volatility into continuous volatility and jump volatility,the relationship between jump volatility and stock returns is examined.Finally,taking the Fama-French three-factor model as an example,this paper explores the application of jump behavior in forecasting earnings and risks.The conclusions are:(1)There are jump behaviors in China s stock market and the ratio of abnormal volatility is about 0.44,and there is a significant relationship between jump volatility and stock returns.(2)The four-factor model incorporating jump risk factors has a better fit and pricing efficiency than the Fama-French three-factor model and the jump risk factor can be used as an effective expansion factor.(3)The coefficients of the SMB factor and the HML factor of the two models are not much different in the rolling regression and the overall regression and both models have good stability.(4)The four-factor model has a greater common risk value,which is closer to the overall active risk,and the risk prediction and interpretation ability is stronger.