| 基于SV-M模型的股票市场风险溢价与波动关系研究 |
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| 引用本文： | 王鹏.基于SV-M模型的股票市场风险溢价与波动关系研究[J].管理评论,2011(6). |
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| 作者姓名： | 王鹏 |
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| 作者单位： | 西南财经大学金融学院; |
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| 基金项目： | 国家自然科学基金项目(71071131); 教育部新世纪优秀人才支持计划(NCET-08-0826); 西南财经大学“211工程”三期青年教师成长项目(211QN10110) |
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| 摘 要： | 资产收益的风险溢价是金融经济学研究的基本问题。在深入考察现有的两种收益与波动关系模型(GARCH-M和SV-M)差异的基础上,以新兴股票市场中的上证综指和成熟股票市场中的标准普尔500指数为例,运用更具理论优势的SV-M模型,实证考察了两种类型市场中风险溢价与波动率之间关系的不同状况。研究结果显示,上证综指的波动率对其风险溢价有负向影响,而标准普尔500指数的波动率对其风险溢价有正向影响;但无论影响方向正负,波动率对风险溢价的影响都是非常微弱的。论文结合两种市场中的不同波动状况对实证结果进行了解释。
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| 关 键 词： | SV-M模型 股票市场 风险溢价 波动 |
Relationship between Risk Premium and Volatility in Stock Market:Evidence from SV-M Model |
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| Wang Peng.Relationship between Risk Premium and Volatility in Stock Market:Evidence from SV-M Model[J].Management Review,2011(6). |
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| Authors: | Wang Peng |
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| Institution: | Wang Peng(School of Finance,Southwest University of Finance and Economics,Chengdu 610074) |
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| Abstract: | Taking daily excess return series of SSEC and S&P500 as example,this paper comprehensively investigates the relationship between risk premium and volatility of stock market using SV-M model.We find that there is a negative relationship between risk premium and volatility in SSEC but positive one in S&P500.However,in spite of the sign,relationship between risk premium and volatility is not significant.These empirical results are interpreted together with the different volatility feature of SSEC and S&P500. |
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| Keywords: | SV-M model stock market risk premium volatility |
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