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本文采用中证800样本股的面板数据,建立动态面板VAR模型,以公司视角探究股市收益与波动的关系,深入挖掘杠杆效应和波动反馈效应中的市场因素和公司因素。研究结果表明我国市场同时存在杠杆效应和波动反馈效应,且杠杆效应更具主导地位。杠杆效应中,市场因素对股票波动产生正效应,表现出反向杠杆效应。公司因素产生负的影响效应,且短时间内体现不出来。波动反馈效应中,市场因素和公司因素都对股票收益产生负效应,且市场因素比公司因素影响更大。大公司,偿债能力强、盈利能力好的公司信息披露程度高,公司因素产生的非对称特征不显著,它们的非对称效应主要受市场因素影响。研究为股市投资和监管提供必要参考与合理建议。
This article uses the panel data of the sample stocks of China Securities 800 to establish a VAR model of dynamic panel to explore the relationship between returns and volatility of the stock market from the perspective of the company and to dig the market factors and company factors in the leverage effect and volatility feedback effects. The results show that there are both leverage effects and volatility feedback effects in the Chinese market, and the leverage effect is more dominant. Leverage effect, the market factors have a positive effect on stock volatility, showing a reverse leverage effect. Corporate factors have a negative impact effect, and can not be reflected in a short period of time. In the feedback effect of volatility, both market and company factors have a negative effect on stock returns, and the market factor is more influential than the corporate factor. Large companies, companies with strong debt-service ability and good profitability had a high level of information disclosure and non-symmetry characteristics caused by corporate factors were not significant. Their asymmetric effects were mainly affected by market factors. Research provides the necessary reference and reasonable advice for stock market investment and supervision.