收益率,波动率与投资者风险偏好

乔柯南, 乔晗

系统工程理论与实践 ›› 2016, Vol. 36 ›› Issue (10) : 2489-2497.

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中国科学院数学与系统科学研究院期刊网
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系统工程理论与实践 ›› 2016, Vol. 36 ›› Issue (10) : 2489-2497. DOI: 10.12011/1000-6788(2016)10-2489-09
论文

收益率,波动率与投资者风险偏好

    乔柯南1,2, 乔晗3,4
作者信息 +

Return, volatility and investors' risk-preference

    QIAO Kenan1,2, QIAO Han3,4
Author information +
文章历史 +

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.

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.

关键词

收益率 / 波动率 / 风险偏好 / 市场机制

Key words

return / volatility / risk-preference / market regime

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导出引用
乔柯南 , 乔晗. 收益率,波动率与投资者风险偏好. 系统工程理论与实践, 2016, 36(10): 2489-2497 https://doi.org/10.12011/1000-6788(2016)10-2489-09
QIAO Kenan , QIAO Han. Return, volatility and investors' risk-preference. Systems Engineering - Theory & Practice, 2016, 36(10): 2489-2497 https://doi.org/10.12011/1000-6788(2016)10-2489-09
中图分类号： F832.5   

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基金

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
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