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基于资产定价模型推导出的非对称波动模型,存在股利增长和股利波动两个独立的状态变量,能同时捕捉杠杆效应和波动反馈效应。用SNP-EMM方法对模型进行估计,其结果表明,中国股票市场存在波动的非对称性特征,反馈效应在经济上和统计上都表现为显著。而基于中国股票市场的数据表明,杠杆效应对非对称波动的贡献更大,且随着杠杆效应的加强,波动反馈效应对非对称系数的贡献缓慢下降。对反馈效应的经济意义作进一步的分析表明,股利冲击和波动反馈均会影响收益率。这为中国股票市场的非对称波动提供了一个新的视角。
Based on the asymmetric volatility model derived from the asset pricing model, there exist two independent state variables: dividend growth and dividend volatility, which can simultaneously capture the leverage effect and the volatility feedback effect. The SNP-EMM method is used to estimate the model. The results show that the Chinese stock market has fluctuating asymmetric characteristics, and the feedback effect shows significant economic and statistical significance. However, the data based on the Chinese stock market show that the leverage effect contributes more to the asymmetric fluctuations. With the enhancement of the leverage effect, the contribution of the volatility feedback effect to the asymmetry coefficient decreases slowly. A further analysis of the economic significance of the feedback effect shows that dividend impact and volatility feedback all affect the yield. This provides a new perspective for asymmetric fluctuations in China’s stock market.