特质波动率存在性及其影响研究——基于沪深A股

A Study on the Existence and Influence of Idiosyncratic Volatility: Based on Shanghai and Shenzhen

通过选取2006年1月至2019年3月的沪深A股月数据,基于Fama-French三因子模型对我国沪深A股市场的特质波动风险的存在性进行研究发现,流通市值比相较于账面市值比更适合我国股票市场,实证结果显示:在超额收益率和特质波动风险之间存在显著的正相关性,而且在加入异质信念、反转效应和对股票截面收益有重大影响的市盈率后,其正相关性并没有减弱,说明我国股票市场不存在“特质波动率之谜”,且特质波动风险与超额收益率之间的正相关性不会因加入控制变量而减弱。

By selecting the monthly data of Shanghai and Shenzhen A shares from January 2006 to March 2019,and using Fama-French 3-factor mode,the author studies the existence of idiosyncratic volatility risk in China's Shanghai and Shenzhen A-share stock market.It is found that the circulation market value ratio is more suitable for China's stock market than the book market value ratio.And Empirical results show a significant positive correlation between abnormal return and idiosyncratic risk.Furthermore,adding heterogeneous beliefs,reversal effects and price-earnings ratios,the positive correlation has not weakened,indicating that there is no"mystery of trait volatility"in China's stock market,and the positive correlation between the volatility risk and abnormal return rate will not be weakened by the addition of control variables.