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本文利用上证A股市场1997-2010年相关数据,分别采用CMLX(2001)的非参数方法和基于经典资本资产定价模型的参数方法度量了我国股票特质波动率,并利用Fama-MacBeth截面回归方法考察了影响我国股票特质波动的决定因素。研究发现,我国股票特质波动的增加,并不能表示股票市场反映上市公司内在价值的有效性和及时性提高,投资者非理性投资造成的噪音交易是我国股票特质风险变动的主要原因。本文的结论对解释我国上市公司股票特质波动的影响因素以及研究我国股票市场的有效性具有一定的理论意义和政策启示。
This paper uses the non-parametric method of CMLX (2001) and the parametric method based on classical capital asset pricing model to measure the volatility of stock traits in China’s A-share market from 1997 to 2010 respectively, and uses Fama-MacBeth section regression method to investigate The Determinants Affecting the Volatility of Chinese Stocks. The study finds that the increase of volatility in Chinese stock market does not mean that the stock market reflects the effectiveness and timeliness of the intrinsic value of listed companies. The noise trade caused by irrational investment by investors is the main reason for the change of stock trait risk in China. The conclusion of this paper is of theoretical significance and policy implications for explaining the factors that affect the stock market volatility of Chinese listed companies and studying the effectiveness of China’s stock market.