中国管理科学 ›› 2022, Vol. 30 ›› Issue (1): 42-53.doi: 10.16381/j.cnki.issn1003-207x.2020.0317
胡志军, 凌爱凡, 杨超
收稿日期:
2020-03-02
修回日期:
2020-05-13
出版日期:
2022-01-20
发布日期:
2022-01-29
通讯作者:
凌爱凡(1977-),男(汉族),江西新建人,江西财经大学金融学院,金融学教授,研究方向:金融工程与资产定价,Email:aiffling@163.com.
E-mail:aiffling@163.com
基金资助:
HU Zhi-jun, LING Ai-fan, YANG Chao
Received:
2020-03-02
Revised:
2020-05-13
Online:
2022-01-20
Published:
2022-01-29
Contact:
凌爱凡
E-mail:aiffling@163.com
摘要: 基于Izhakian(2020)不确定性概率分布下的预期效用理论框架,本文实证研究了我国A股市场的模糊性溢价问题。利用上证综指的日内高频收益数据估计日收益率分布,以月度内日收益率分布的波动性衡量月度市场模糊性,并对模糊性-风险-收益的权衡关系进行实证检验。结果发现: (1) 我国A股市场存在时变的模糊性,其模糊性溢价不总是正数,而是依赖于投资者对市场的预期;(2) 模糊性溢价和风险溢价受到市场预期的影响,好的市场预期有正的模糊性溢价(模糊厌恶)和负的风险溢价(风险爱好),不好的市场预期有负的模糊性溢价(模糊爱好)和正的风险溢价(风险厌恶)。这些发现不同于当前文献中的许多结果,可以很好地解释市场中的“追涨杀跌”现象。
中图分类号:
胡志军, 凌爱凡, 杨超. 我国A股市场的模糊性溢价——基于日内高频数据的分析[J]. 中国管理科学, 2022, 30(1): 42-53.
HU Zhi-jun, LING Ai-fan, YANG Chao. The Ambiguity Premium in China’s A-shares Market——The Analysis from Intra-day High Frequency Data[J]. Chinese Journal of Management Science, 2022, 30(1): 42-53.
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