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为研究资产期望收益率与条件方差间的相关性,本文使用上证综合指数日度收益率数据及混频条件异方差模型(GARCH-MIDAS)对投资者风险偏好进行了估计.理论模型表明,当投资者持有的风险资产权重不变时,时间维度上两者的同期相关性取决于投资者风险偏好.当假设风险偏好固定不变时,GARCH-MIDAS的估计结果显示投资者表现为风险中性.随后通过Markov机制转移模型识别出了熊市和牛市两种市场状态,并分别研究了两种状态下的投资者风险偏好.其结果显示:熊市下投资者有显著的风险厌恶,而牛市下投资者则表现为显著的风险追求.
In order to study the correlation between expected rate of return and conditional variance, this paper estimates the investor’s risk appetite using GARCH-MIDAS and Shanghai Stock Exchange Composite Index. The theoretical model shows that when When investors hold the weight of risky assets, the contemporaneous correlation between the two in the time dimension depends on investor risk appetite.When the risk appetite is assumed to be fixed, the GARCH-MIDAS estimation shows that the investors are in risk Then Markov mechanism transfer model is used to identify the two market states of bear market and bull market, and the investors’ risk appetite under two states are studied respectively.The results show that investors bear significant risk aversion under the bull market, Investors show significant risk pursuit.