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采用日内“已实现波动率”测度,本文从交易冲击的角度对中国A、B股的日内波动特征进行研究。结果表明,已实现波动率可以很好捕捉我国股市波动的非对称效应,而且这种非对称波动存在显著的时变特征;交易行为能够解释A股的非对称效应,但B股的非对称波动还存在其他的影响因素;知情交易降低了波动性,不知情交易则增强了波动性;结合“处置效应”对波动非对称性的更深入考察以及稳健性检验的都支持了我们的经验发现。
Using the day “volatility has been achieved, ” measure, this paper from the perspective of transaction impact on the Chinese A, B shares of the intraday fluctuations characteristics. The results show that the realized volatility can well capture the asymmetric effect of the stock market volatility in our country, and the asymmetric volatility has significant time-varying characteristics. The trading behavior can explain the asymmetric effect of the A shares, but the asymmetric volatility of the B shares There are other influencing factors as well; the volatility is reduced by informed trading and the volatility by unwitting transaction; our experience is further supported by the more in-depth examination of the asymmetry of volatility and the robustness test in combination with the “disposal effect” Find.