跨期风险—收益权衡关系研究——来源于沪港通的新证据

风险—收益权衡关系是金融经济学重要内容之一。应用扩展的EGARCH-M模型考察了上海股票市场组合跨期风险收益权衡关系以及沪港通对这种关系的影响。研究发现,上海股票市场组合的跨期风险收益权衡关系显著为正,沪港通的开通正向加强了这种关系,提高了投资者的风险溢价需求。通过不同样本的对比和不同条件分布的假定证实了结果的稳健性。此外,还识别出了SGED分布可能更适合用于描述上海股票市场组合收益率的条件概率分布。

A Study of Intertemporal Risk-return Trade-off Relationship: New Evidence from the Shanghai-Hongkong Stock Connect

Risk-return trade-off relationship is significantly important issue in financial economics.This paper focuses on the impact of Shanghai-Hong Kong Stock Connect on the fundamental features of stock returns, namely, the risk-return trade off.We apply an extension of exponential GARCH-in-mean (EGARCH-M) model for Shanghai daily stock return data, which includes both features and allows the long memory and short memory in returns.We find that (1) the intertemporal risk-return relationship is significantly positive;(2) while Shanghai-Hong Kong Stock Connect increase this positive relationship.By comparing the different samples and probability distribution also reveal that our findings are quite robust over time.In addition, we also identified the SGED distribution may be more suitable for describing the probability distribution of the Shanghai stock market portfolio returns.