| 收益率,波动率与投资者风险偏好 |
| |
| 引用本文： | 乔柯南,乔晗. 收益率,波动率与投资者风险偏好[J]. 系统工程理论与实践, 2016, 36(10): 2489-2497. DOI: 10.12011/1000-6788(2016)10-2489-09 |
| |
| 作者姓名： | 乔柯南 乔晗 |
| |
| 作者单位： | 1. 中国科学院 数学与系统科学研究院, 北京 100190;2. 格罗宁根大学 经济学院, 格罗宁根 9700AB;3. 中国科学院大学 经济与管理学院, 北京 100190;4. 中国科学院 大数据挖掘与知识管理重点实验室, 北京 100190 |
| |
| 基金项目： | 国家自然科学基金（71373262,71390330,71390331）;中国科学院大数据挖掘与知识管理重点实验室开放课题 |
| |
| 摘 要： | 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.
|
| 关 键 词： | 收益率 波动率 风险偏好 市场机制 |
| 收稿时间： | 2015-08-07 |
Return,volatility and investors' risk-preference |
| |
| QIAO Kenan,QIAO Han. Return,volatility and investors' risk-preference[J]. Systems Engineering —Theory & Practice, 2016, 36(10): 2489-2497. DOI: 10.12011/1000-6788(2016)10-2489-09 |
| |
| Authors: | QIAO Kenan QIAO Han |
| |
| Affiliation: | 1. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;2. Faculty of Economics and Business, University of Groningen, Groningen 9700 AB, Netherlands;3. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China;4. Key Laboratory of Big DataMining and Knowledge Management, Chinese Academy of Sciences, Beijing 100190, China |
| |
| Abstract: | For studying the relation between equity's expected return and conditional variance, this article uses SSE-Index daily return and GARCH-MIDAS model to estimate investors' risk-preference. Theoretical model clarifies that their time-series relation is determined by investors' risk-preference when the weight of investors' risky asset is constant. When assuming risk-preference is constant, GARCH-MIDAS shows that investors are risk-neutral. Subsequently, we identify bear/bull market by Markov regime switch model, and study investors' risk-preferences under the two regimes respectively. Results reveal that investors are risk-averse during bear market but risk-seeking during bull market. |
| |
| Keywords: | return volatility risk-preference market regime |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《系统工程理论与实践》浏览原始摘要信息 |
|
点击此处可从《系统工程理论与实践》下载全文 |
|
