股票收益分散度的不对称性研究——基于A+H股的实证检验

Study on the Asymmetry of Stock Return Dispersion——Based on the Empirical Test of A + H Shares

以A+H股为样本,以横截面收益离差绝对值作为收益分散度的代理指标,对A股市场和H股市场的对比研究发现:在A股市场存在收益分散度的不对称性,即在上涨市场中股票收益的分散度低于下跌市场。按A股市值大小分组后发现:收益分散度的不对称现象在小市值股票中更加严重。A股市场中主力投资者和散户投资者在趋势交易过程中的博弈行为可能是导致这一现象的原因。

This paper investigated the return dispersion(RD)of A+H shares in A-share market and H-share market by using the cross-sectional absolute deviation of returns as proxy index.The empirical test provides significant evidence of the asymmetry of return dispersion in A-share market.The return dispersion in bull market is less than that in bear market.In A-share market,the asymmetry is more significant for small size stocks than big size stocks.The game in trend trading between leading investors and retail investors is an alternative explanation for the asymmetry of return dispersion.