全球金融危机下的股票市场波动跳跃研究——基于高频数据的中美比较分析

本文以雷曼破产日至2009年1月底这段时期内上证综指、恒生指数以及S&P500指数的日内高频数据作为研究对象,采用跳跃显著性检验方法和扩展HAR模型,对波动跳跃特征进行了实证研究.结果表明:雷曼危机导致股市波动的显著提高,但中国内地股市受到的影响最小；中国香港股市成为波动跳跃发生频率最高、跳跃幅度最大的市场,且波动跳跃主要发生在夜间休市时间内；雷曼危机使得波动率模型的预测精度大大降低,股市风险变得更加难以预测,对于新兴市场来说这一现象更加明显.

Financial Crisis and Volatility Jumps: A Comparative Analysis Based on High-Frequency Data among Mainland China, Hong Kong and the US Stock Markets

In September 2008 huge waves set off in the United States engulfed the global financial markets.The financial tsunami began with the bankruptcy of the fourth-largest U.S.investment bank Lehman Brothers Holdings Inc.on September 15,2008.In order to restore the normal operation of the U.S.financial system,the U.S.Government immediately decided to formulate the "Emergency Economic Stabilization Act of 2008".Unexpectedly,the House of Representatives rejected the bill on September 29,2008.Although the U.S.Congress passed the amendment on October 3,the damage had been done and spread rapidly to the world stock markets causing the utmost panic.Paul Krugman describes the worldwide production,financial and consumer crunch following these events as "the beginning of a second Great Depression".The series of phenomena mark this round of financial crises as a further upgrade of the subprime mortgage crisis that began in 2007. This paper chose Shanghai Composite Index,Hang Seng Index and Standard & Poor′s 500 Stock Index high-frequency intraday data as the research sample to analyze the characteristics of volatility jumps in Mainland China,Hong Kong and the US stock markets after the Lehman crashed in September 2008.We adopted nonparametric realized volatility,Realized Bipower Variation and Realized Tri-power Quarticity constructed from intraday 5-minute returns that cover the period of September 16,2008 to January 31,2009.On the basis of these data,we applied the significant jump test and the expanded HAR models for the empirical analysis. Our empirical analysis results show that:(1) The Lehman crash directly caused an increase in volatility in these markets with the smallest impact on China,(2) The highest jump proportion and the biggest average jump magnitude of volatility took place in Hong Kong stock market,with the jumps mainly resulting from overnight volatility,and the US stock market was most lightly impacted by Lehman crash on volatility jump and(3) volatility forecasting accuracy of volatility models deteriorated after such crash,indicating that the risk in stock market is becoming more and more difficult to predict. Although,compared with other stock markets the damaging effects on the China market from the Lehman crash were smaller,it did not escape totally from the global financial crisis.In the age of economic and financial globalization,a severe crisis,such as the Lehman crash,cataclysmically damages not only the financial market in the crisis hypocenter,but also the markets closely related to it.China’s stock market,as an emerging one,is becoming more and more integrated with other markets in the world because of more Qualified Foreign Institutional Investors(QFII) and Qualified Domestic Institutional Investors(QDII),and a looser policy on them.The liberalization of capital flow is often accompanied by financial market deregulation,which could increase the globalization of financial markets and affect the nature of stock market volatility.