本文選題：套利限制 + 特質(zhì)波動(dòng)率　； 參考：《北京工商大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版)》2017年06期

【摘要】：特質(zhì)波動(dòng)率與預(yù)期收益率之間關(guān)系的不確定性,一直是學(xué)術(shù)研究的熱點(diǎn)。文章從套利限制的角度來解釋"特質(zhì)波動(dòng)率之謎",基于中國A股上市公司數(shù)據(jù),構(gòu)造套利限制指標(biāo)進(jìn)行投資組合分析以及采用Fama-Macbeth回歸,實(shí)證驗(yàn)證中國股票市場是否存在顯著的"特質(zhì)波動(dòng)率之謎"。研究發(fā)現(xiàn),高套利限制因子情況下"特質(zhì)波動(dòng)率之謎"更為顯著,而在低套利限制因子情況下"特質(zhì)波動(dòng)率之謎"不再顯著,從套利限制因子的角度,能夠解釋中國股票市場的"特質(zhì)波動(dòng)率之謎"。進(jìn)一步,通過分解特質(zhì)波動(dòng)率對于收益率影響系數(shù),量化分析了套利限制因子對于"特質(zhì)波動(dòng)率之謎"的解釋能力。因此,政策制定者在制定相應(yīng)套利限制政策時(shí)需考慮對于股票市場的影響,同時(shí)文章結(jié)論對于投資者的投資有一定的啟示。
[Abstract]:The uncertainty of the relationship between idiosyncratic volatility and expected return has always been a hot topic in academic research. This paper explains "the riddle of idiosyncratic volatility" from the angle of arbitrage restriction. Based on the data of Chinese A-share listed companies, the paper constructs a portfolio analysis of arbitrage restriction index and adopts Fama-Macbeth regression. The empirical results show that there is a remarkable "characteristic volatility puzzle" in China's stock market. The study found that the "riddle of trait volatility" is more significant in the case of high arbitrage restriction factor, but is no longer significant in the case of low arbitrage restriction factor, from the perspective of arbitrage restriction factor, Can explain the Chinese stock market's "idiosyncratic volatility mystery". Furthermore, the paper analyzes quantitatively the explanatory power of arbitrage limiting factor for "the riddle of trait volatility" by decomposing the influence coefficient of idiosyncratic volatility on the return rate. Therefore, the policy makers should consider the impact on the stock market when formulating the corresponding arbitrage restriction policy, and the conclusion of the paper has some implications for investors' investment.
【作者單位】： 南京大學(xué)商學(xué)院;
【基金】：國家自然科學(xué)基金項(xiàng)目“注意力配置視角下的資產(chǎn)定價(jià)——基于計(jì)算實(shí)驗(yàn)的研究”(71371096)
【分類號】：F832.51

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