基于STAR模型的中美波动率指数与收益率相关性的比较研究

A Comparative Analysis on the Relationship between Volatility Index and Stock Return Based on STAR Model

对于中美股市不同时期收益率的相关性,本文选用波动率指数、波指变动值及波指变化率作为转换变量建立二机制STAR模型,研究三种转换变量下收益率相关性影响的非线性调整过程。研究结果发现,三种转换变量下中美股市的STAR模型均存在以下现象:(1)美国转换变量的最佳滞后时期基本低于中国。(2)美国股市收益率相关系数之和的绝对值基本低于中国股市。(3)中国市场的转换系数大于美国市场。这些现象反映了相比于美国股市,中国股市运行机制不够完善,信息传递速度更慢。本文建立的模型也说明波指具有反映投资者情绪的作用,可以在一定程度上为投资者操作和市场监管提供参考。

For the relationship between the yields of Chinese and American stock markets in different periods, the paper chooses the volatility index, the fluctuation of the volatility index and the fluctuation rate of the volatility index as the conversion variables to establish the two-mechanism STAR model, and studies the nonlinear adjustment process of the relationship of the yields under the three conversion variables. The results show that the STAR models of the Chinese and American stock markets under the three con version variables have the following phenomena:(1) The optimal lag periods of the US conversion variables are basically lower than those of China.(2) The absolute values of the sum of the correlation coefficients of the US stock market returns are basically lower than those of China.(3) The conversion coefficient of the Chinese market are greater than those of the US. These phenomena reflect that Chinese stock market is immature and the speed of information transmission is slower, compared with American stock market. The model established in this paper also shows that the volatility index can reflect investor sentiment, and provide refer ence for investment operation and market supervision.