股市预期收益率与波动关系的研究

利用SV_m模型对Koopman等的研究结论进行了验证,对SV_m模型进行了扩展,提出了一种能捕捉非对称效应的A-SV_m模型,并用该模型和SV_m模型对预期收益率与波动的关系进行了实证研究.研究结果与Koopman等人的结论不同,表明预期收益率与波动之间的关系是时变的,而且波动(条件方差)对预期收益率的影响并不显著.结合Harrison、Campbell等人的研究对结果进行了解释.

SV-m models-based study on relationship between expected stock returns and volatility

In this paper conclusion of Koopman et al(2002) has been tested using SV-m model.Then,SV-m model is extended and A-SV-m model is proposed,which can catch asymmetry information effect.Boot the old SV-m model and A-SV-m model are used in empirical studies on the relationship between expected returns and volatility.Results are different from Koopman's conclusion and show that the relationship between expected returns and volatility is time varying,and the effect the volatility has on the expected retruns is in...