中国股市价格跳跃行为的验证及应用
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摘要
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.
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.
引文
1.陈国进、刘晓群、谢沛霖、赵向琴:《已实现跳跃波动与中国股市风险溢价研究---基于股票组合视角》,《管理科学学报》2016年第6期。
2.高春亭、周孝华:《公司盈利、投资与资产定价:基于中国股市的实证》,《管理工程学报》2016年第4期。
3.胡志军:《股票价格的跳跃行为与横截面股票预期收益率---基于沪深A股市场的实证研究》,《金融理论与实践》2016年第11期。
4.李志冰、杨光艺、冯永昌、景亮:《Fama-French五因子模型在中国股票市场的实证检验》,《金融研究》2017年第6期。
5.刘辉、黄建山:《中国A股市场股票收益率风险因素分析:基于Fama-French三因素模型》,《当代经济科学》2013年第4期。
6.柳会珍、张成虎、李育林:《金融资产收益率波动预测---基于我国股票市场跳跃行为研究》,《当代经济科学》2011年第5期。
7.欧阳志刚、李飞:《四因子资产定价模型在中国股市的适用性研究》,《金融经济学研究》2016年第2期。
8.田利辉、王冠英、张伟:《三因素模型定价:中国与美国有何不同?》,《国际金融研究》2014年第7期。
9.王超、高扬、刘超:《股市异常波动的形成机理研究综述---基于微观投资者交互作用的视角》,《北京工业大学学报(社会科学版)》2017年第1期。
10.王春峰、姚宁、房振明:《中国股市已实现波动率的跳跃行为研究》,《系统工程》2008年第2期。
11.杨善林、杨模荣、姚禄仕:《股权分置改革与股票市场价值相关性研究》,《会计研究》2006年第12期。
12.游宗君、王鹏、石建昌:《中国股票市场的收益与波动关系》,《系统管理学报》2010年第2期。
13.赵华、秦可佶:《股价跳跃与宏观信息发布》,《统计研究》2014年第4期。
14.左浩苗、刘振涛:《跳跃风险度量及其在风险-收益关系检验中的应用》,《金融研究》2011年第10期。
15.Andersen,T.G.,&Bollerslev,T.,Answering the Skeptics:Yes,Standard Volatility Models do Provide Accurate Forecasts.International Economic Review,Vol.39,No.4,1998,pp.885-905.
16.Bali,T.G.,&Peng,L.,Is There a Risk-Return Trade-off?Evidence from High-frequency Data.Journal of Applied Econometrics,Vol.21,No.8,2006,pp.1169-1198.
17.Barndorff-Nielsen,O.E.,&Shephard,N.,Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.Journal of Financial Econometrics,Vol.4,No.1,2006,pp.1-30.
18.Barndorff-Nielsen,O.E.,&Shephard,N.,Power and Bipower Variation with Stochastic Volatility and Jumps.Economics Papers,Vol.2,No.17,2003,pp.1-37.
19.BARRA,United States Equity-Version 3(E3).Risk Model Handbook,1998.
20.Boudt,K.,&Petitjean,M.,Intraday Liquidity Dynamics and News Releases Around Price Jumps:Evidence From the Djia Stocks.Journal of Financial Market,Vol.17,No.1,2014,pp.121-149.
21.Eraker,B.,Johannes,M.,&Polson,N.,The Impact of Jumps in Volatility and Returns.Journal of Finance,Vol.58,No.3,2003,pp.1269-1300.
22.Evans,K.P.,Intraday Jumps and US Macroeconomic News Announcements.Journal of Banking&Finance,Vol.35,No.10,2011,pp.2511-2527.
23.Fama,E.F.,&French,K.R.,A Five-factor Asset Pricing Model.Journal of Financial Economics,Vol.116,No.1,2015,pp.1-22.
24.Fama,E.F.,&French,K.R.,Common Risk Factors in Returns on Stocks and Bonds.Journal of Financial Economics,Vol.33,No.1,1993,pp.3-56.
25.Gibbons,M.R.,Ross,S.A.,&Shanken,J.,A Test of the Efficiency of a Given Portfolio.Econometrica,Vol.57,No.6,1989,pp.1121-1152.
26.Ouadghiri,I.E,&Uctum,R.,Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets.Economic Modelling,Vol.54,2016,pp.218-234.
27.Patton,A.J.,&Sheppard,K.,Good Volatility,Bad Volatility:Signed Jumps and the Persistence of Volatility.Social Science Electronic Publishing,Vol.97,No.3,2015,pp.683-697.
28.Yan,S.,Jump Risk,Stock Returns,And Slope Of Implied Volatility Smile.Journal of Financial Economics,Vol.99,No.1,2011,pp.216-233.
(1)由于篇幅所限,在此不予展示。
2.高春亭、周孝华:《公司盈利、投资与资产定价:基于中国股市的实证》,《管理工程学报》2016年第4期。
3.胡志军:《股票价格的跳跃行为与横截面股票预期收益率---基于沪深A股市场的实证研究》,《金融理论与实践》2016年第11期。
4.李志冰、杨光艺、冯永昌、景亮:《Fama-French五因子模型在中国股票市场的实证检验》,《金融研究》2017年第6期。
5.刘辉、黄建山:《中国A股市场股票收益率风险因素分析:基于Fama-French三因素模型》,《当代经济科学》2013年第4期。
6.柳会珍、张成虎、李育林:《金融资产收益率波动预测---基于我国股票市场跳跃行为研究》,《当代经济科学》2011年第5期。
7.欧阳志刚、李飞:《四因子资产定价模型在中国股市的适用性研究》,《金融经济学研究》2016年第2期。
8.田利辉、王冠英、张伟:《三因素模型定价:中国与美国有何不同?》,《国际金融研究》2014年第7期。
9.王超、高扬、刘超:《股市异常波动的形成机理研究综述---基于微观投资者交互作用的视角》,《北京工业大学学报(社会科学版)》2017年第1期。
10.王春峰、姚宁、房振明:《中国股市已实现波动率的跳跃行为研究》,《系统工程》2008年第2期。
11.杨善林、杨模荣、姚禄仕:《股权分置改革与股票市场价值相关性研究》,《会计研究》2006年第12期。
12.游宗君、王鹏、石建昌:《中国股票市场的收益与波动关系》,《系统管理学报》2010年第2期。
13.赵华、秦可佶:《股价跳跃与宏观信息发布》,《统计研究》2014年第4期。
14.左浩苗、刘振涛:《跳跃风险度量及其在风险-收益关系检验中的应用》,《金融研究》2011年第10期。
15.Andersen,T.G.,&Bollerslev,T.,Answering the Skeptics:Yes,Standard Volatility Models do Provide Accurate Forecasts.International Economic Review,Vol.39,No.4,1998,pp.885-905.
16.Bali,T.G.,&Peng,L.,Is There a Risk-Return Trade-off?Evidence from High-frequency Data.Journal of Applied Econometrics,Vol.21,No.8,2006,pp.1169-1198.
17.Barndorff-Nielsen,O.E.,&Shephard,N.,Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.Journal of Financial Econometrics,Vol.4,No.1,2006,pp.1-30.
18.Barndorff-Nielsen,O.E.,&Shephard,N.,Power and Bipower Variation with Stochastic Volatility and Jumps.Economics Papers,Vol.2,No.17,2003,pp.1-37.
19.BARRA,United States Equity-Version 3(E3).Risk Model Handbook,1998.
20.Boudt,K.,&Petitjean,M.,Intraday Liquidity Dynamics and News Releases Around Price Jumps:Evidence From the Djia Stocks.Journal of Financial Market,Vol.17,No.1,2014,pp.121-149.
21.Eraker,B.,Johannes,M.,&Polson,N.,The Impact of Jumps in Volatility and Returns.Journal of Finance,Vol.58,No.3,2003,pp.1269-1300.
22.Evans,K.P.,Intraday Jumps and US Macroeconomic News Announcements.Journal of Banking&Finance,Vol.35,No.10,2011,pp.2511-2527.
23.Fama,E.F.,&French,K.R.,A Five-factor Asset Pricing Model.Journal of Financial Economics,Vol.116,No.1,2015,pp.1-22.
24.Fama,E.F.,&French,K.R.,Common Risk Factors in Returns on Stocks and Bonds.Journal of Financial Economics,Vol.33,No.1,1993,pp.3-56.
25.Gibbons,M.R.,Ross,S.A.,&Shanken,J.,A Test of the Efficiency of a Given Portfolio.Econometrica,Vol.57,No.6,1989,pp.1121-1152.
26.Ouadghiri,I.E,&Uctum,R.,Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets.Economic Modelling,Vol.54,2016,pp.218-234.
27.Patton,A.J.,&Sheppard,K.,Good Volatility,Bad Volatility:Signed Jumps and the Persistence of Volatility.Social Science Electronic Publishing,Vol.97,No.3,2015,pp.683-697.
28.Yan,S.,Jump Risk,Stock Returns,And Slope Of Implied Volatility Smile.Journal of Financial Economics,Vol.99,No.1,2011,pp.216-233.
(1)由于篇幅所限,在此不予展示。