中国股市收益率与异质波动性关系研究

摘要

本文研究了中国股票市场的异质波动性问题。主要从异质波动性的识别与分布，异质波动性与股票收益率之间的关系，以及异质波动性是否被充分定价等三方面进行探讨。研究的目的在于分析股票异质波动性问题在中国股票市场中的特殊地位，这其中也包括异质波动性对股票收益影响问题。结合中国股票市场的数据，采用广义矩估计（ GMM）的数量方法，显著地得到了中国股票市场中异质波动性水平，并以此分析了异质波动性与股票收益之间的关系，证明股票异质波动性水平是投资者进行决策时需要考虑的重要因素之一。%This paper studies the problem of idiosyncratic volatility in Chinese stock market.There are three prob-lems discussed in this paper.They are the identification of an idiosyncratic volatility, the relationship between the idiosyncratic volatility and stock returns and pricing problem.The purpose of this study is to find the status of the idiosyncratic volatility in Chinese stock market, including the pricing and stock return two problems.In the empiri-cal research, combined with Chinese stock market data, we use the statistical method of generalized moment esti-mation(GMM)to get the idiosyncratic volatility and we analyze the relationship between the stock returns and idio-syncratic volatility.At last we find that the idiosyncratic volatility is not priced in Chinese stock market.Moreover, there is no correlation between the idiosyncratic volatility and stock return.Thus, when the investors want to make a decision, they should consider the influence of idiosyncratic volatility adequately.