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基于1997年1月至2011年9月沪深两市非金融类A股数据对中国证券市场预期特质性波动率和股票收益率之间关系的考察,发现中国证券市场预期特质性波动率和股票收益率之间呈负相关关系;但当控制住换手率、Amihud非流动性比率、机构投资者持股比例和分析师覆盖等投资者意见分歧的代理变量后,这一关系转变为正相关关系。据此,支持二者负相关的Miller模型和支持二者正相关的Merton模型都刻画了中国证券市场的运行状况,但市场表现出何种规律取决于哪一个模型的影响居于主导地位。
Based on the investigation of the relationship between the expected volatility of Chinese securities market and the return rate of the stock based on the data of non-financial A-shares in Shanghai and Shenzhen from January 1997 to September 2011, it is found that the expected volatility of Chinese securities market and the stock However, the relationship turned into a positive correlation when controlling the proxy variables that led to differences in investor perceptions such as turnover ratio, Amihud’s non-liquidity ratio, institutional investor ownership ratio and analyst coverage relationship. Accordingly, the Miller model that supports the negative correlation between the two and the Merton model that support the two are all portraying the performance of the Chinese stock market. However, the laws that the market shows depend on which model influences the dominance.