我国A股市场的模糊性溢价——基于日内高频数据的分析

doi:10.16381/j.cnki.issn1003-207x.2020.0317

中国管理科学 ›› 2022, Vol. 30 ›› Issue (1): 42-53.doi: 10.16381/j.cnki.issn1003-207x.2020.0317

我国A股市场的模糊性溢价——基于日内高频数据的分析

胡志军, 凌爱凡, 杨超

江西财经大学金融学院，江西南昌330013

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:
国家自然科学基金资助项目(71771107, 72071098, 72063015，71703062)；国家社会科学基金资助重大项目（21ZDA045）;江西省千人计划资助项目(jxsq2019201130)；江西省教育厅科技项目一般项目(GJJ190263)

The Ambiguity Premium in China’s A-shares Market——The Analysis from Intra-day High Frequency Data

HU Zhi-jun, LING Ai-fan, YANG Chao

School of Finance, Jiangxi University of Finance and Economics, Nanchang 330013, China

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/Abstract

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。

关键词: 模糊性度量；模糊性溢价；风险溢价；模糊性偏好

Abstract: Embedding the ambiguity uncertainty into the Choquet expected utility model, and using uncertainty model framework proposed by Izhakian(2020), the uncertainty expectational utility model with ambiguity uncertainty is established using the ambiguity averse function and perceived probability, and the measure of ambiguity of risky market is obtained and the uncertainty premium is decomposed into risk premium and ambiguity premium. The evidence from the high frequency data in Chinese stock market are done. This is the first work to check the ambiguity premium in the A-share market of China.

Key words: ambiguity measurement; ambiguity premium; risk premium; ambiguity preference

中图分类号:

F830.9

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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我国A股市场的模糊性溢价——基于日内高频数据的分析

The Ambiguity Premium in China’s A-shares Market——The Analysis from Intra-day High Frequency Data

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