跳跃条件下中国证券市场资产价格行为研究
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摘要
随着资产价格行为研究的精细化和微观化，资产价格跳跃行为已成为市场微观结构等金融研究领域的重点和难点问题之一。跳跃行为的研究深刻揭示了金融市场资产价格发现过程的微观机理，直接影响资产价格波动率的估计和预测，继而促使传统的金融理论和计量方法必须进行深刻调整，并构成资产动态配置、风险管理和金融衍生产品定价等诸多金融实践领域的核心环节。在中国证券市场跳跃频发的背景下，本文基于证券市场微观结构理论视角，沿用“已实现”波动理论的主流研究框架，对资产价格跳跃行为进行了系统全面的理论和实证研究。具体内容如下：
1、跳跃行为的非参数辨识方法研究。基于BNS跳跃辨识理论框架，系统刻画了中国证券市场跳跃行为分布特征，包括对跳跃频度、久期、强度、方向、时刻分布、指数关联性、波动贡献等问题的完整讨论，初步研究了剥离跳跃性收益的日间收益率分布特征。得到结论：中国证券市场跳跃频发，个股跳跃行为与市场整体状态关联紧密，不同方向的跳跃行为对日间收益率分布的作用机制存在显著的差异，剥离跳跃性收益的日间收益率序列的平稳性得到了明显加强。
2、基于信息冲击和流动性冲击的跳跃行为引发机制研究。首先对跳跃前后非对称信息与流动性分布特征进行了深入的刻画，在此基础上，构建了结合信息冲击和流动性冲击的Probit模型，对不同类型股票跳跃行为的引发机制进行研究。实证结果表明，单一因素无法对跳跃行为产生的原因进行完整诠释，并且对于不同类型股票，信息与流动性冲击的作用模式也是不尽相同的。
3、基于跳跃行为的波动率预测研究。首先在传统的HAR RV模型的基础上发展了具有方向性变差以及杠杆效应特征的HAR RS Leverage_(RV)模型，研究其对预期波动的作用机制。进一步，基于“已实现”半方差理论定义了方向性跳跃变差的概念，发展并构造了HAR-RV-C△J-Leverage_(C,J)模型，分析方向性跳跃变差与连续性变差以及杠杆效应因子对预期波动的作用机理。实证结果表明，HAR-RS-Leverage_(RV)模型适用于长期波动的预测，HAR-RV-C△J-Leverage_(C,J)模型对短期波动具有更好的预测效果。
4、基于有效波动率的市场一般性风险测度研究。首先依据鲁棒跳跃波动率medRV估计量，给出了有效波动率的定义并构建了有效波动率预测模型ARFIMA medR。V蒙特卡洛模拟实验得出结论：有效波动率估计量medRV能较好的鲁棒跳跃行为，能显著提高对波动率预测的准确程度。在此基础上进一步构造了市场一般性风险测度VaR medRV，实证研究表明：
能有效摒除市场跳跃风险因子，对市场一般性风险进行有效测度。
5、证券市场跳跃性风险问题研究。首先对“已实现”贝塔系数β、“已实现”离散贝塔系数β~d、“已实现”连续贝塔系数β~c的分布特征及其内在关系展开了理论和实证研究，以此构成对市场跳跃风险系统性成分研究的技术基础；进一步，从资产收益的不确定性角度构造了市场日内跳跃风险测度，对中国证券市场不同类型资产在不同市场状态下的跳跃风险分布特征进行刻画，揭示了中国证券市场跳跃风险存在的系统性问题，并从价格发现与投资者行为角度对实证结果的市场根源进行了深入讨论。
With the research on asset price more fine and microscopically, the behaviors ofstock price jump has been one of the emphases and difficulty in the MarketMicrostructure theory and the research fields of finance. The research on price jumpdeeply reveals the microscopic mechanism of price discovery for financial market,directly influences the degree of precision in volatility estimating and forecastingdistinctly. It afterwards makes the traditional financial theories and econometricmethods must be profoundly adjusted, and constitutes the core link for the assetsdynamic configuration, risk management and financial derivatives pricing, and alsofor many other financial practice areas. Under the background of frequent jumps inChinese Securities market，this paper presents a comprehensive study on the behaviorof assets price jump from the perspective of financial Market Microstructure Theoryalong with realized volatility research framework. The main contents of thedissertation consist of five theoretical and empirical parts:
1. Research on jumps identification with Nonparametric Method. Based on theframework of BNS theory, described the assets jump behaviors in China Stock Marketcomprehensively, including jump frequence, duration, intensity, direction, timedistribution, the relevance of market’s index and the proportion of jump in RealisedVolatility and so on. The results indicate jump behaviors happen frequently in ChinaStock Market, and jumps of individual share are closely related with the whole marketstate. Also take a preliminary study on the distribution of daily yield rates striped ofjumps, it turns out that the directions of jump have different effects of daily yieldsseries, and the ones without jump become smooth.
2. Research on jump behaviors price discovery based on information shocks andliquidity shocks. First provide evidence that both information shocks and liquidityshocks have explanatory power in jump phenomenon formation, and then examine theasymmetric information and liquidity around jumps, and finally specify and estimate aProbit model to further explore the interactions between information and liquidityshocks for jumps of different types of stocks. The empirical results further confirmboth of the proposed factors have significant predictive power for jumps and theirmechanisms for different stocks are not the same.
3. Predictability of Volatility on the basis of jumps. DevelopHAR RS LeverageRVbased on the model HAR-RV, which decomposedrealized volatility into signed components and incorporated with the leverage effect ofrealized variance with an indicator for negative daily returns, to explore the effects ofthe signed realised volatility and its leverage for future volatility. And then formulatea new modelHAR-RV-C△J-Leverage_(C,J) containing signed jump variation aswell as leverage estimators of variations due to the continuous part and the jumps,which is used to investigate the role of them in future variance. It finds thatHAR-RS-Leverage_(RV) is more suitable for estimate long-term future volatility, andis of great value to predict short-term volatility.
4. Measurement of Market General Risk Based on Effective Volatility. Constructa new measures of effective volatility by jump-robust volatility estimator medRV,and further establish a model for predicting effective volatility. And then test thevalidity and accuracy forecasting of the estimator with the simulationexperiment using Monte Carlo method. The simulation results validate that theestimator displays effective robustness to jumps as the effective volatilityand has better accuracy of volatility forecasting. Furthermore construct themeasurement of the market general risk VaR medRVbased on the research above,and the empirical evidence in China Stock Market indicate that the indicatorcan effectively reduce the extreme market risk factors and obtain theprecise measurement of the market general risk.
5. Reasearch on Market Jump Risk. First part is about the theory and empiricalstudies of the distribution and correlations of realised betas, realised continuous betasand realised dis-continuous betas, which constitute the technology basis for theresearch on the systematic market jump risk. Further construct the measurement of themarket jump risk form the angle of the uncertainty of asset returns. And then describethe distribution characteristics of market jump risk of different types stocks underdifferent market conditions in China Stock Market. The empirical results reveals thesystematic characteristics of market jump risk in China Security Market and criticallydiscuss root causes of these results in the market from the point of price discovery andthe behavior of investor.
1、跳跃行为的非参数辨识方法研究。基于BNS跳跃辨识理论框架，系统刻画了中国证券市场跳跃行为分布特征，包括对跳跃频度、久期、强度、方向、时刻分布、指数关联性、波动贡献等问题的完整讨论，初步研究了剥离跳跃性收益的日间收益率分布特征。得到结论：中国证券市场跳跃频发，个股跳跃行为与市场整体状态关联紧密，不同方向的跳跃行为对日间收益率分布的作用机制存在显著的差异，剥离跳跃性收益的日间收益率序列的平稳性得到了明显加强。
2、基于信息冲击和流动性冲击的跳跃行为引发机制研究。首先对跳跃前后非对称信息与流动性分布特征进行了深入的刻画，在此基础上，构建了结合信息冲击和流动性冲击的Probit模型，对不同类型股票跳跃行为的引发机制进行研究。实证结果表明，单一因素无法对跳跃行为产生的原因进行完整诠释，并且对于不同类型股票，信息与流动性冲击的作用模式也是不尽相同的。
3、基于跳跃行为的波动率预测研究。首先在传统的HAR RV模型的基础上发展了具有方向性变差以及杠杆效应特征的HAR RS Leverage_(RV)模型，研究其对预期波动的作用机制。进一步，基于“已实现”半方差理论定义了方向性跳跃变差的概念，发展并构造了HAR-RV-C△J-Leverage_(C,J)模型，分析方向性跳跃变差与连续性变差以及杠杆效应因子对预期波动的作用机理。实证结果表明，HAR-RS-Leverage_(RV)模型适用于长期波动的预测，HAR-RV-C△J-Leverage_(C,J)模型对短期波动具有更好的预测效果。
4、基于有效波动率的市场一般性风险测度研究。首先依据鲁棒跳跃波动率medRV估计量，给出了有效波动率的定义并构建了有效波动率预测模型ARFIMA medR。V蒙特卡洛模拟实验得出结论：有效波动率估计量medRV能较好的鲁棒跳跃行为，能显著提高对波动率预测的准确程度。在此基础上进一步构造了市场一般性风险测度VaR medRV，实证研究表明：
能有效摒除市场跳跃风险因子，对市场一般性风险进行有效测度。
5、证券市场跳跃性风险问题研究。首先对“已实现”贝塔系数β、“已实现”离散贝塔系数β~d、“已实现”连续贝塔系数β~c的分布特征及其内在关系展开了理论和实证研究，以此构成对市场跳跃风险系统性成分研究的技术基础；进一步，从资产收益的不确定性角度构造了市场日内跳跃风险测度，对中国证券市场不同类型资产在不同市场状态下的跳跃风险分布特征进行刻画，揭示了中国证券市场跳跃风险存在的系统性问题，并从价格发现与投资者行为角度对实证结果的市场根源进行了深入讨论。
With the research on asset price more fine and microscopically, the behaviors ofstock price jump has been one of the emphases and difficulty in the MarketMicrostructure theory and the research fields of finance. The research on price jumpdeeply reveals the microscopic mechanism of price discovery for financial market,directly influences the degree of precision in volatility estimating and forecastingdistinctly. It afterwards makes the traditional financial theories and econometricmethods must be profoundly adjusted, and constitutes the core link for the assetsdynamic configuration, risk management and financial derivatives pricing, and alsofor many other financial practice areas. Under the background of frequent jumps inChinese Securities market，this paper presents a comprehensive study on the behaviorof assets price jump from the perspective of financial Market Microstructure Theoryalong with realized volatility research framework. The main contents of thedissertation consist of five theoretical and empirical parts:
1. Research on jumps identification with Nonparametric Method. Based on theframework of BNS theory, described the assets jump behaviors in China Stock Marketcomprehensively, including jump frequence, duration, intensity, direction, timedistribution, the relevance of market’s index and the proportion of jump in RealisedVolatility and so on. The results indicate jump behaviors happen frequently in ChinaStock Market, and jumps of individual share are closely related with the whole marketstate. Also take a preliminary study on the distribution of daily yield rates striped ofjumps, it turns out that the directions of jump have different effects of daily yieldsseries, and the ones without jump become smooth.
2. Research on jump behaviors price discovery based on information shocks andliquidity shocks. First provide evidence that both information shocks and liquidityshocks have explanatory power in jump phenomenon formation, and then examine theasymmetric information and liquidity around jumps, and finally specify and estimate aProbit model to further explore the interactions between information and liquidityshocks for jumps of different types of stocks. The empirical results further confirmboth of the proposed factors have significant predictive power for jumps and theirmechanisms for different stocks are not the same.
3. Predictability of Volatility on the basis of jumps. DevelopHAR RS LeverageRVbased on the model HAR-RV, which decomposedrealized volatility into signed components and incorporated with the leverage effect ofrealized variance with an indicator for negative daily returns, to explore the effects ofthe signed realised volatility and its leverage for future volatility. And then formulatea new modelHAR-RV-C△J-Leverage_(C,J) containing signed jump variation aswell as leverage estimators of variations due to the continuous part and the jumps,which is used to investigate the role of them in future variance. It finds thatHAR-RS-Leverage_(RV) is more suitable for estimate long-term future volatility, andis of great value to predict short-term volatility.
4. Measurement of Market General Risk Based on Effective Volatility. Constructa new measures of effective volatility by jump-robust volatility estimator medRV,and further establish a model for predicting effective volatility. And then test thevalidity and accuracy forecasting of the estimator with the simulationexperiment using Monte Carlo method. The simulation results validate that theestimator displays effective robustness to jumps as the effective volatilityand has better accuracy of volatility forecasting. Furthermore construct themeasurement of the market general risk VaR medRVbased on the research above,and the empirical evidence in China Stock Market indicate that the indicatorcan effectively reduce the extreme market risk factors and obtain theprecise measurement of the market general risk.
5. Reasearch on Market Jump Risk. First part is about the theory and empiricalstudies of the distribution and correlations of realised betas, realised continuous betasand realised dis-continuous betas, which constitute the technology basis for theresearch on the systematic market jump risk. Further construct the measurement of themarket jump risk form the angle of the uncertainty of asset returns. And then describethe distribution characteristics of market jump risk of different types stocks underdifferent market conditions in China Stock Market. The empirical results reveals thesystematic characteristics of market jump risk in China Security Market and criticallydiscuss root causes of these results in the market from the point of price discovery andthe behavior of investor.
引文
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