摘要
在研究收益对市场风险的影响关系中,本文发现金融市场的风险呈现不对称性。基于直接就收益对市场风险建模的CAViaR模型,提出包含信息不对称性的GJR-CAViaR模型,弥补了AS-CAViaR和TARCH-CAViaR模型中在模型参数限制上的不足。将此模型应用在上证综指和纳斯达克指数上,可定量地刻画相同的收益引起的中美股票市场风险的差异,实证结果还表明收益对市场风险的不对称性在中国股市上表现得更加明显。
This paper finds that the leverage effect exists in the relationship between return and market risk, that is, the asymmetric response of market risk to positive and negative returns. CAViaR model is constructed by considerding the return variable directly when es- timating VaR. To solve the parameter restriction implicitly in AS-CAViaR and TARCH- CAViaR, we introduce GJR-CAViaR model to quantitate the leverage effect. The applica- tion to SSEC and NASDAQ indexes provides empirical support to the risk difference in China and US stock market. Besides, the asymmetric effect is more apparent in China stock market.
出处
《南开经济研究》
CSSCI
北大核心
2012年第5期111-120,共10页
Nankai Economic Studies
