A股市场冲击下的交易量与收益率特征研究

本文基于高频跳跃非参数识别框架,结合我国证券市场投资者情绪及市场环境,对上证A股市场冲击下的交易量与收益率特征进行研究,从更为微观的角度揭示信息快速融入过程中投资者的反应及市场交易状态和影响因素。研究发现,我国A股市场在市场冲击发生时往往伴随着交易量的大幅增加,冲击发生后交易量存在迅速下降的过程;利好、利空的市场冲击对市场交易量、收益率存在非对称影响,整体来说,投资者对利空消息更敏感,但在不同的市场情绪下投资者对市场冲击存在非理性反应,牛市时投资者倾向于对利空消息反应不足,而在熊市时倾向于对利好消息反应不足。     

认股权证定价实证研究

认股权证在性质上也是一种期权,但并不是一种单纯的期权,其定价要比普通期权复杂。本文首先分析了影响认股权证价格的因素,并在一系列假设条件下,利用Black-Scholes公式,推导出认股权证定价公式;其次,采用了我国宝钢股票及其发行的认股权证的收盘价格资料,计算了公司权益的波动率,利用已推导的公式对认股权证理论进行了实证分析;最后同其实际市场价格进行了比较,为认股权证的投资决策提供了参考依据。     

中国证券市场的波动性——一个开收盘角度的实证研究

本文采用上证180的100只典型个股为样本对上海股市开收盘的波动性进行了实证研究,实证结论表明我国股市开盘回报的波动性显著大于收盘波动性。本文进一步对影响波动性的因素进行考察,认为开盘方式和开盘交易过程中释放的私人信息是造成上述现象的重要原因,因此着重从信息的代理指标-交易量的角度考察回报的波动性的差异。     

基于马尔可夫域变模型的上海股市收益率非线性特征分析

针对股市收益率在不同时期内具有不同的均值、波动性和持续性等非线性特征，引入马尔可夫域变模型（MRSM）对上海股市收益率的均值与波动性的对应关系以及高、低收益率状态转换特征进行分析，结果表明马尔可夫域变模型与GARCH类模型相比较，显著地提高了对股票市场行为的描述能力。它不仅可以从动态角度明确刻画金融市场的“收益与风险”相对称的特征，而且可测定不同状态持续的可能性和由一种状态转向另一种状态的概率。     

Asymmetric Multivariate Stochastic Volatility

This paper proposes and analyses two types of asymmetric multivariate stochastic volatility (SV) models, namely, (i) the SV with leverage (SV-L) model, which is based on the negative correlation between the innovations in the returns and volatility, and (ii) the SV with leverage and size effect (SV-LSE) model, which is based on the signs and magnitude of the returns. The paper derives the state space form for the logarithm of the squared returns, which follow the multivariate SV-L model, and develops estimation methods for the multivariate SV-L and SV-LSE models based on the Monte Carlo likelihood (MCL) approach. The empirical results show that the multivariate SV-LSE model fits the bivariate and trivariate returns of the S&P 500, the Nikkei 225, and the Hang Seng indexes with respect to AIC and BIC more accurately than does the multivariate SV-L model. Moreover, the empirical results suggest that the univariate models should be rejected in favor of their bivariate and trivariate counterparts.     

投资组合保险对市场波动影响分析

投资组合保险作为投资者管理市场风险的一种方法本身存在一定的局限性.投资者在股价下跌的情况下采用相同的投资组合保险策略将引起标的股价剧烈变动,从而使整个股票市场上的价格波动更加趋于剧烈,因此投资组合保险在某些条件下将增大市场的波动率.     

中国特色人力资源当期实现价值计量模式的构建

本文首先提出了中国特色人力资源当期实现价值计量模式的基本假设,然后以此构建了中国特色人力资源当期实现价值计量模式,含群体、个体当期和未来四种基本模式,从而为我国人力资源的研究开辟了新的途径。     

考虑基差非对称效应的期货波动性预测模型研究

文章研究了基差对期货回报率波动性影响的非对称效应及其在期货波动率预测中的应用。以郑州强麦期货为例的实证结果表明,基差对期货的回报的波动性的影响存在显著的非对称效应,其中负基差对波动性的影响要明显大于正基差。通过与GARCH模型和未考虑非对称效应的SE-GARCH模型对期货波动性预测能力的样本外比较表明,考虑基差非对称效应的AE-GARCH模型能更准确地预测期货的波动性。      

Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors

Accurate volatility forecasting is a key determinant for portfolio management, risk management and economic policy. The paper provides evidence that the sum of squared standardized forecast errors is a reliable measure for model evaluation when the predicted variable is the intra-day realized volatility. The forecasting evaluation is valid for standardized forecast errors with leptokurtic distribution as well as with leptokurtic and asymmetric distributions. Additionally, the widely applied forecasting evaluation function, the predicted mean-squared error, fails to select the adequate model in the case of models with residuals that are leptokurtically and asymmetrically distributed. Hence, the realized volatility forecasting evaluation should be based on the standardized forecast errors instead of their unstandardized version.