股市波动的杠杆效应检验:一种新的方法

Abstract

Abstract: The asymmetric relationship between stock return and volatility in financial research. An unbalanced seemingly unrelated regression model is proposed in this paper to examine the individual firms’ stock return volatility. It is discovered that the volatility of Shenzhen constituent stocks show the reversed leverage effects. Compared with the Component Index, which exposes insignificant leverage effect, we find the impact of market factors on volatility asymmetry is found. Specifically, there exits common factors and idiosyncratic factors in stock market, that should account for the difference between the Component Index and the constituent volatility. After removing the effect of common factors, the reversed leverage effect is more significantly.

Key words: return, volatility, leverage effect, SUR

CLC Number:

F830.91

CHEN Yong-wei. Examining the Leverage Effect in China’s Stock Markets: A New Approach[J]. Chinese Journal of Management Science, 2012, 20(5): 31-37.

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Examining the Leverage Effect in China’s Stock Markets: A New Approach

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