SV模型下中国股票型开放式基金杠杆效应分析

针对中国股票型开放式基金收益波动中是否存在杠杆效应的问题,在对该类基金整体及所选取的三支具有代表性的单个基金分析的基础上,运用一个带杠杆效应的SV模型对其收益的波动性建模,并利用MCMC方法对模型进行参数估计。结果显示：不同于一般对股票市场的研究结论,无论股票型开放式基金整体还是单个基金,其收益率序列的波动中均不存在显著的杠杆效应。

Analysis of Leverage Effect of China's Equity Mutual Funds in SV Models

For the issue whether the leverage effect of return’s volatility of China’s equity mutual funds is existence,based on the analysis of funds as a whole and the selected three representative single fund,this paper uses a SV model with leverage effect to model volatility of above funds’return series,and adopts Markov chain Monte Carlo（MCMC）method to estimate model’s parameters.It shows that unlike the general conclusion of the study on the stock markets,whether it is the whole of equity mutual funds or a single fund,the volatility of return series don’t exist in a significant leverage effect.