中国股市不同规模股票间波动溢出效应实证分析
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摘要
长久以来,基于波动性的研究一直是金融领域定量分析的基础,相应的波动模型也成为近年来的热点研究领域,受到研究学者广泛的关注。本文试图以不同规模市值股票构建的规模股票指数作为研究对象,全面深入的分析不同规模市值股票间的相互关系,探讨不同规模股票指数间波动溢出问题。
论文首先介绍国内外关于波动溢出的研究背景,对有效市场假说和行为金融学框架下的规模效应以及波动溢出效应进行相关理论探讨。对刻画金融市场波动的相关模型进行描述,主要包括ARCH、GARCH类模型。
其次,本文以巨潮规模系列指数为实证研究对象,应用相关性分析,格兰杰因果检验,面板数据模型,对中国证券市场不同规模指数间的收益波动关联性,价量关系进行探讨。结果显示,中国股票市场不同规模市值股票间的波动存在很强的关联性。规模指数收益率和流动性成正向关系,规模指数前期的交易量和收益率对于当期交易量有较好的预测意义。
最后,应用Full-BEKK(1,1)-T模型研究不同市值股票指数间的波动溢出问题,通过模型参数及动态相关系数示意图研究我国股票市场不同市值间波动溢出效应的时变特征,影响效果,揭示不同市值股票在资源配置能力、信息流动等方面的特点和依赖关系,定性和定量的考察中国股票市场的波动溢出现象,结果发现市场整体指数和大盘指数间之间存在显著的波动溢出效应。大盘股股价指数的波动会加大市场整体的波动,市场整体的波动会减少大盘股股价指数的波动。分析认为,我国金融市场中似乎存在着一种适应调节机制,以防止市场因波动过渡而崩溃。
Volatility research is the foundation of qualitative analysis in the financial field. Many scholars have put forth great efforts in building and developing mathematical models in order to describe equity's volatility. This paper analyzes stock index with different sizes of listed companies, and researches the volatility spillover effects between different sized firms' stock indexes.
Firstly, the paper introduces the research background related to spillover effects. The study of size effect is also presented under the framework of EMH and behavior finance. To describe financial market volatility, the paper focuses on some mathematical models, including ARCH and GARCH models.
Secondly, the paper chooses the“JuChao Scale”stock index as the research object, using correlation analysis and the granger causality relation test to analyze the relationship between return rate and volatility. The relationship between liquidity and return rate in the stock market is also handled with the panel date regression method. The results illustrate that there is a positive correlation between yield and trading volume, early trading volume and yield can forecast a better sense for the current trading volume.
Lastly, based on the Full-BEKK(1,1)-T model, volatility spillover effects among different size firms are examined. The model parameters and dynamic correlation coefficient diagrams can reflect the time-varying characteristics of the volatility spillover effect. They can also reveal different market shares in the allocation of resources and information flow, such as the characteristics and dependencies. The results show that there is a significant volatility spillover effect between the overall market and the large-sized firms. When the security price of large-sized firms increases the volatility of the overall market fluctuations, the overall market will reduce the fluctuations of large-sized firms' security price. It seems that there is a regulation mechanism in China's financial market which can help to prevent a major collapse.
论文首先介绍国内外关于波动溢出的研究背景,对有效市场假说和行为金融学框架下的规模效应以及波动溢出效应进行相关理论探讨。对刻画金融市场波动的相关模型进行描述,主要包括ARCH、GARCH类模型。
其次,本文以巨潮规模系列指数为实证研究对象,应用相关性分析,格兰杰因果检验,面板数据模型,对中国证券市场不同规模指数间的收益波动关联性,价量关系进行探讨。结果显示,中国股票市场不同规模市值股票间的波动存在很强的关联性。规模指数收益率和流动性成正向关系,规模指数前期的交易量和收益率对于当期交易量有较好的预测意义。
最后,应用Full-BEKK(1,1)-T模型研究不同市值股票指数间的波动溢出问题,通过模型参数及动态相关系数示意图研究我国股票市场不同市值间波动溢出效应的时变特征,影响效果,揭示不同市值股票在资源配置能力、信息流动等方面的特点和依赖关系,定性和定量的考察中国股票市场的波动溢出现象,结果发现市场整体指数和大盘指数间之间存在显著的波动溢出效应。大盘股股价指数的波动会加大市场整体的波动,市场整体的波动会减少大盘股股价指数的波动。分析认为,我国金融市场中似乎存在着一种适应调节机制,以防止市场因波动过渡而崩溃。
Volatility research is the foundation of qualitative analysis in the financial field. Many scholars have put forth great efforts in building and developing mathematical models in order to describe equity's volatility. This paper analyzes stock index with different sizes of listed companies, and researches the volatility spillover effects between different sized firms' stock indexes.
Firstly, the paper introduces the research background related to spillover effects. The study of size effect is also presented under the framework of EMH and behavior finance. To describe financial market volatility, the paper focuses on some mathematical models, including ARCH and GARCH models.
Secondly, the paper chooses the“JuChao Scale”stock index as the research object, using correlation analysis and the granger causality relation test to analyze the relationship between return rate and volatility. The relationship between liquidity and return rate in the stock market is also handled with the panel date regression method. The results illustrate that there is a positive correlation between yield and trading volume, early trading volume and yield can forecast a better sense for the current trading volume.
Lastly, based on the Full-BEKK(1,1)-T model, volatility spillover effects among different size firms are examined. The model parameters and dynamic correlation coefficient diagrams can reflect the time-varying characteristics of the volatility spillover effect. They can also reveal different market shares in the allocation of resources and information flow, such as the characteristics and dependencies. The results show that there is a significant volatility spillover effect between the overall market and the large-sized firms. When the security price of large-sized firms increases the volatility of the overall market fluctuations, the overall market will reduce the fluctuations of large-sized firms' security price. It seems that there is a regulation mechanism in China's financial market which can help to prevent a major collapse.
引文
[1]万军,谢敏,熊正德,金融市场间波动溢出效应研究,统计与决策,2007,(9):98～101
[2] Stephen.A.Ross. Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy . Journal of Finance, 1989, 44:1～17
[3] Y Hamao, RW Masulis, V Ng. Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 1990, 3:281～307
[4] Lin W L, Engle R F, Ito T. Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility. The Review of Financial Studies, 1994, (7):507～538
[5] Theodosiou P, Lee U. Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Exidence. Journal of Financial Research, 1993, 16:337～350
[6] Koutmos G, Booth G. Asymmetric Volatility Transmission in International Stock Markets. Journal of International Money and Finance, 1995, 14(6): 747～762
[7] Karolyi A G. A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: the Case of the United States and Canada. Journal of Business and Economic Statistics, 1995, 13: 11～25
[8] Laopodis N T. Monetary Policy Implications of Volatility Linkages among Long-term Interest Rates. Journal of Economics and Finance, 2000, 24(2): 160～179
[9] Gokce Soydemir. On the linkages between equity markets in Latin America. Applied Economics Letters, 2000 , 7(3): 207～210
[10] Kanas A, Kouretas G P. Volatility Spillovers between the Black Market and Official Market for Foreign Currency in Greece. Journal of Financial Research, 2001, 24(3):443～462
[11] John Y. Campbell, Glen B. Taksler. Equity Volatility and Corporate Bond Yields. The Journal of Finance, 2003, 58(6):2321～2350
[12] Lorenzo Cappiello, Robert F. Engle, Kevin Sheppard. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. ECB Working paper, 2003, 1
[13] Charles P. Jones, Jack W. Wilson. The Changing Nature of Stock and Bond Volatility. Financial Analysts Journal, 2004, 60(1):100～113
[14] Francis In. Volatility spillovers across international swap markets: The US, Japan, and the UK. Journal of International Money and Finance, 2007, 26:329～341
[15] Victor Fang, Yee-Choon Lim, and Chien-Ting Lin. Volatility Transmissions Between Stock And Bond Markets: Evidence From Japan And The U.S. International Journal of Information Technology , 2006, 12(6):121～128
[16] Inagaki, Kazuyuki. Testing for volatility spillover between the British pound and the euro. Research in International Business and Finance, 2007, 21(2):161174
[17]洪永森等,中国股市与世界其它股市之间的大风险溢出效应,CFEF研究报告,2003, 8
[18]赵留彦,王一鸣,A、B股之间的信息流动与波动溢出,金融研究,2003,(10):37～52
[19]汪素南,潘云鹤,美国股市与中国股市间溢出效应的实证研究,浙江大学学报(工版),2004,38(11):1431～1435
[20]谷耀,陆丽娜,沪、深、港股市信息溢出效应与动态相关性—基于DCC-(BV)EGARCH-VAR的检验,数量经济技术经济研究,2006,8:142～151
[21]张瑞锋,金融市场协同波动溢出分析及实证研究,数量经济技术经济研究,2006,10:141～149
[22]吴文锋,刘太阳,吴冲锋,金融市场协同波动溢出分析及实证研究,管理工程学报,2007,21(3):111～115
[23]赵华,中国股市波动溢出效应的实证研究:[硕士学位论文],浙江:浙江大学,2007
[24]周义,李梦玄,中国内地股市与中国香港股市波动溢出及时变相关研究,经济师,2008,1:111～112
[25] Fama F E. Effieient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 1970, 25(5):383～417.
[26] Banz R W. The Relationship between Return and Market Value of Common Stocks. Journal of Financial Economics, 1981, (9):3～18.
[27] Fama, E. F, K. R. French. Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 1996, (56): 55～84.
[28] Dimson E, Paul M. Murphy, Law and Market Anomalies. Journal of portfolio Management,1999,25(2):53～69
[29] Horowitz J L, Loughran T, Savin N E. The Disappearing Size Effect. Research in Economics,2000,54:83～100
[30] Goyal A, Ivo W, Predicting the Equity Premium, UCLA Working Paper, 1999
[31]马克思H.布瓦索,信息空间—认识组织、制度和文化的一种框架,上海:上海译文出版社,2000:85～92
[32]谢敏,利率与股票市场间价格及其波动溢出关系的实证研究:[硕士学位论文],湖南:湖南大学,2006
[33]杨渺,格兰杰因果关系的多元推广及应用研究:[硕士学位论文],四川:西南财经大学,2002
[34] Engle, R. F., Autoregressive conditional heteroskedasiticity with estimates of the variance of United Kingdom inflation. Econometrica, 1982, 50:987～1007
[35] Bollerslev Tim. Generalized autoregressive conditional heteroskedasiticity. Journal of Econometrics, 1986, 31:307～327
[36]詹姆斯.D.汉密尔顿,刘明志译,时间序列分析,北京:中国社会科学出版社,1999:804～805
[37]高铁梅,计量分析方法与建模,北京:清华大学出版社,2006
[38] Bollerslev. A capital-asset pricing model with time-varying coefficients, Journal of Political Economy, 1988,96:116～131
[39]樊智,分形市场理论与金融波动持续性研究:[博士学位论文],天津:天津大学,2002
[40] Engle, R.F., Kroner, K.F, Multivariate simultaneous generalized ARCH. Econometric Theory, 1995, 2:122～150
[41]许启发,基于时间序列矩属性的金融波动模型研究:[博士学位论文],天津:天津大学,2005
[42] John Y. Campbell, Andrew W. Lo, A. Craig MacKinlayand Robert F.Whitelaw, The Econometrics of Financial Markets, US: Princeton University Press, 1997 2002
[43] Eduardo D. Roca, E. Antony Selvanathan, William F. Shepherd“,Are the ASEAN Equity Markets Interdependent?”,ASEAN Economic Bulletin, 1998,15
[44]朱宏泉,卢祖帝,汪寿阳,中国股市的Granger因果关系分析,管理工程学报,2001,4(5):7～12
[45] Campbell J.Y, Grossman S.J, Wang J, Trading Volume and Serial Correlationin stock returns Quarterly, Journal of Economics, 1993, 10:905～939.
[46] Brennan, M. J , A. Subrahmanyam, Market micro structure and asset pricing:on the conpensation of illiquidity in stock returns. Journal of Financial Economics, 1996
[47] Pastor L, Stambaugh R, Liquidity risk and expected stock returns, NBER Working Paper, 2001
[48] Sumel, R, & Engle, R. F. Hour Volatility Spillovers between International Equity Markets, Journal of International Money and Finance, 1994, 13(1): 3～25.
[49]方毅,张屹山,国内外金属期货市场“风险传染”的实证研究,2007数量经济学年会会议论文,2007
[50] Conrad, Gultekin, Kaul, Asymmetric predictability of conditional variances, The Review of Financial Studies, 1991, 4:597～622
[2] Stephen.A.Ross. Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy . Journal of Finance, 1989, 44:1～17
[3] Y Hamao, RW Masulis, V Ng. Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 1990, 3:281～307
[4] Lin W L, Engle R F, Ito T. Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility. The Review of Financial Studies, 1994, (7):507～538
[5] Theodosiou P, Lee U. Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Exidence. Journal of Financial Research, 1993, 16:337～350
[6] Koutmos G, Booth G. Asymmetric Volatility Transmission in International Stock Markets. Journal of International Money and Finance, 1995, 14(6): 747～762
[7] Karolyi A G. A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: the Case of the United States and Canada. Journal of Business and Economic Statistics, 1995, 13: 11～25
[8] Laopodis N T. Monetary Policy Implications of Volatility Linkages among Long-term Interest Rates. Journal of Economics and Finance, 2000, 24(2): 160～179
[9] Gokce Soydemir. On the linkages between equity markets in Latin America. Applied Economics Letters, 2000 , 7(3): 207～210
[10] Kanas A, Kouretas G P. Volatility Spillovers between the Black Market and Official Market for Foreign Currency in Greece. Journal of Financial Research, 2001, 24(3):443～462
[11] John Y. Campbell, Glen B. Taksler. Equity Volatility and Corporate Bond Yields. The Journal of Finance, 2003, 58(6):2321～2350
[12] Lorenzo Cappiello, Robert F. Engle, Kevin Sheppard. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. ECB Working paper, 2003, 1
[13] Charles P. Jones, Jack W. Wilson. The Changing Nature of Stock and Bond Volatility. Financial Analysts Journal, 2004, 60(1):100～113
[14] Francis In. Volatility spillovers across international swap markets: The US, Japan, and the UK. Journal of International Money and Finance, 2007, 26:329～341
[15] Victor Fang, Yee-Choon Lim, and Chien-Ting Lin. Volatility Transmissions Between Stock And Bond Markets: Evidence From Japan And The U.S. International Journal of Information Technology , 2006, 12(6):121～128
[16] Inagaki, Kazuyuki. Testing for volatility spillover between the British pound and the euro. Research in International Business and Finance, 2007, 21(2):161174
[17]洪永森等,中国股市与世界其它股市之间的大风险溢出效应,CFEF研究报告,2003, 8
[18]赵留彦,王一鸣,A、B股之间的信息流动与波动溢出,金融研究,2003,(10):37～52
[19]汪素南,潘云鹤,美国股市与中国股市间溢出效应的实证研究,浙江大学学报(工版),2004,38(11):1431～1435
[20]谷耀,陆丽娜,沪、深、港股市信息溢出效应与动态相关性—基于DCC-(BV)EGARCH-VAR的检验,数量经济技术经济研究,2006,8:142～151
[21]张瑞锋,金融市场协同波动溢出分析及实证研究,数量经济技术经济研究,2006,10:141～149
[22]吴文锋,刘太阳,吴冲锋,金融市场协同波动溢出分析及实证研究,管理工程学报,2007,21(3):111～115
[23]赵华,中国股市波动溢出效应的实证研究:[硕士学位论文],浙江:浙江大学,2007
[24]周义,李梦玄,中国内地股市与中国香港股市波动溢出及时变相关研究,经济师,2008,1:111～112
[25] Fama F E. Effieient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 1970, 25(5):383～417.
[26] Banz R W. The Relationship between Return and Market Value of Common Stocks. Journal of Financial Economics, 1981, (9):3～18.
[27] Fama, E. F, K. R. French. Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 1996, (56): 55～84.
[28] Dimson E, Paul M. Murphy, Law and Market Anomalies. Journal of portfolio Management,1999,25(2):53～69
[29] Horowitz J L, Loughran T, Savin N E. The Disappearing Size Effect. Research in Economics,2000,54:83～100
[30] Goyal A, Ivo W, Predicting the Equity Premium, UCLA Working Paper, 1999
[31]马克思H.布瓦索,信息空间—认识组织、制度和文化的一种框架,上海:上海译文出版社,2000:85～92
[32]谢敏,利率与股票市场间价格及其波动溢出关系的实证研究:[硕士学位论文],湖南:湖南大学,2006
[33]杨渺,格兰杰因果关系的多元推广及应用研究:[硕士学位论文],四川:西南财经大学,2002
[34] Engle, R. F., Autoregressive conditional heteroskedasiticity with estimates of the variance of United Kingdom inflation. Econometrica, 1982, 50:987～1007
[35] Bollerslev Tim. Generalized autoregressive conditional heteroskedasiticity. Journal of Econometrics, 1986, 31:307～327
[36]詹姆斯.D.汉密尔顿,刘明志译,时间序列分析,北京:中国社会科学出版社,1999:804～805
[37]高铁梅,计量分析方法与建模,北京:清华大学出版社,2006
[38] Bollerslev. A capital-asset pricing model with time-varying coefficients, Journal of Political Economy, 1988,96:116～131
[39]樊智,分形市场理论与金融波动持续性研究:[博士学位论文],天津:天津大学,2002
[40] Engle, R.F., Kroner, K.F, Multivariate simultaneous generalized ARCH. Econometric Theory, 1995, 2:122～150
[41]许启发,基于时间序列矩属性的金融波动模型研究:[博士学位论文],天津:天津大学,2005
[42] John Y. Campbell, Andrew W. Lo, A. Craig MacKinlayand Robert F.Whitelaw, The Econometrics of Financial Markets, US: Princeton University Press, 1997 2002
[43] Eduardo D. Roca, E. Antony Selvanathan, William F. Shepherd“,Are the ASEAN Equity Markets Interdependent?”,ASEAN Economic Bulletin, 1998,15
[44]朱宏泉,卢祖帝,汪寿阳,中国股市的Granger因果关系分析,管理工程学报,2001,4(5):7～12
[45] Campbell J.Y, Grossman S.J, Wang J, Trading Volume and Serial Correlationin stock returns Quarterly, Journal of Economics, 1993, 10:905～939.
[46] Brennan, M. J , A. Subrahmanyam, Market micro structure and asset pricing:on the conpensation of illiquidity in stock returns. Journal of Financial Economics, 1996
[47] Pastor L, Stambaugh R, Liquidity risk and expected stock returns, NBER Working Paper, 2001
[48] Sumel, R, & Engle, R. F. Hour Volatility Spillovers between International Equity Markets, Journal of International Money and Finance, 1994, 13(1): 3～25.
[49]方毅,张屹山,国内外金属期货市场“风险传染”的实证研究,2007数量经济学年会会议论文,2007
[50] Conrad, Gultekin, Kaul, Asymmetric predictability of conditional variances, The Review of Financial Studies, 1991, 4:597～622