跳跃风险的补偿特征研究

›› 2015, Vol. 27 ›› Issue (9): 14-28.

跳跃风险的补偿特征研究

万谍¹, 杨晓光^2,3

1. 浙江工商大学金融学院, 杭州 310018;
2. 中国科学院数学与系统科学研究院, 北京 100190;
3. 中国石油大学管理学院, 北京 102249

收稿日期:2013-11-14 出版日期:2015-09-30 发布日期:2015-09-29
作者简介:万谍,浙江工商大学金融学院讲师,博士;杨晓光,中国科学院数学与系统科学研究院研究员,博士生导师,中国石油大学管理学院教授,博士生导师,博士。
基金资助:
国家自然科学基金项目(70933003;71431008;71501170);国家重点基础研究发展计划(2010CB731405)。

A Study on the Compensation Characteristic of Jump Risk

Wan Die¹, Yang Xiaoguang^2,3

1. School of Finance, Zhejiang Gongshang University, Hangzhou 310018;
2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190;
3. School of Management, China University of Petroleum, Beijing 102249

Received:2013-11-14 Online:2015-09-30 Published:2015-09-29

摘要/Abstract

摘要：

本文选择沪深300中2008年至2012年之间数据完整的200个股数据,构建日度、周度、月度的跳跃风险指标,研究价格跳跃与未来实际收益间的关系。实证发现,跳跃风险的补偿结构存在明显的时变性: 随着样本期变长,动量交易逐渐减少,价格反转越发显著。进一步,连续波动越大,跳跃风险也越大;连续波动率在价格波动平稳时与未来实际收益显著正相关,而连续波动较高时,只有跳跃风险显著,且其补偿结构表现稳定:负跳引发杀跌效应,而正跳后价格反转回落。

关键词: 日内价格跳跃, 动量交易, 价格反转

Abstract:

This paper constructs daily, weekly and monthly jump risk factors with intraday jumps of 200 individual stocks selected from HS300 index based on data efficiency, and then analyzes their relation with future real return. We find a time-varying jump risk compensation structure: As sample length increases, momentum trading gradually decreases and price reversal becomes significant. Further study finds that high continuous volatility is associated with high jump risk. Continuous volatility is positively and significantly correlated with future real return only when it is low, and when it rises high, only jump risk is significant, and compensated with a stable structure: Negative jumps induce sell-losers effect while price reverses after positive jumps.

Key words: intraday price jumps, momentum trading, price reversal

万谍, 杨晓光. 跳跃风险的补偿特征研究[J]. , 2015, 27(9): 14-28.

Wan Die, Yang Xiaoguang. A Study on the Compensation Characteristic of Jump Risk[J]. , 2015, 27(9): 14-28.

参考文献

[1] Broadie M., Chernov M., Johannes M. Model Specification and Risk Premia: Evidence from Futures Options[J]. Journal of Finance, 2007,62(3):1453-1490
[2] Santa-Clara P., Yan S. Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options[J]. Review of Economics and Statistics, 2010,92(2):435-451
[3] Wright J. H., Zhou H. Bond Risk Premia and Realized Jump Risk[J]. Journal of Banking & Finance, 2009,33(12):2333-2345
[4] Jiang G. J., Yao T. Stock Price Jumps and Cross-Sectional Return Predictability[J]. Journal of Financial & Quantitative Analysis, 2013,48(5):1519-1544
[5] Pan J. The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study[J]. Journal of Financial Economics, 2002,63(1):3-50
[6] Bollerslev T., Todorov V. Tails, Fears, and Risk Premia[J]. Journal of Finance, 2011,66(6):2165-2211
[7] 左浩苗,刘振涛.跳跃风险度量及其在风险-收益关系检验中的应用[J]. 金融研究, 2011,(10):170-184
[8] Christoffersen P., Jacobs K., Ornthanalai C. Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options[J]. Journal of Financial Economics, 2012,106(3):447-472
[9] 柴俊武,何伟,喻华君.个人投资者的生活形态及相关因素差异性分析[J]. 管理评论, 2013,25(10):147-156
[10] 刘威仪,万谍.金融市场的异质效应研究[J]. 金融理论与实践, 2013,(10):1-4
[11] Andersen T., Bollerslev T., Frederiksen P., at al. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns[J]. Journal of Applied Econometrics, 2010,25(2):233-261
[12] Corsi F. A Simple Approximate Long-Memory Model of Realized Volatility[J]. Journal of Financial Econometrics, 2009,7(2):174-196
[13] Evans K. P. Intraday Jumps and U.S. Macroeconomic News Announcements[J]. Journal of Banking & Finance, 2011,35(10):2511-2527
[14] Yan S. Jump Risk, Stock Returns, and Slope of Implied Volatility Smile[J]. Journal of Financial Economics, 2011,99(1):216-233
[15] Zhou H., Zhu J. Jump Risk and Cross Section of Stock Returns: Evidence from China Stock Market?[J]. Journal of Economics & Finance, 2008,35(3):309-331
[16] 陈浪南,孙坚强.股票市场资产收益的跳跃行为研究[J]. 经济研究, 2010,45(4):54-66
[17] 刘杨树,郑振龙,陈蓉.投资者能从跳跃风险中获利么: 基于中国A 股市场的实证研究[DB/OL]. 第九届中国金融年会会议论文, 2013
[18] Barndorff-Nielsen O. E., Shephard N. Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models[J]. Journal of the Royal Statistical Society, Series B, 2002,64(2):253-280
[19] Barndorff-Nielsen O. E., Shephard N. Power and Bipower Variation with Stochastic Volatility and Jumps[J]. Journal of Financial Econometrics, 2004,2(1):1-48
[20] Barndorff-Nielsen O. E., Shephard N. Econometrics of Testing for Jumps in Financial Economics Using BipowerVariation[J]. Journal of Financial Econometrics, 2006,4(1):1-30
[21] Andersen T. G., Bollerslev T., Diebold F. X., et al. Modeling and Forecasting Realized Volatility[J]. Econometrica, 2003,71(2):579-625
[22] Andersen T. G., Dovrev D., Schaumburg E. Jump Robust Volatility Estimation Using Nearest Neighbor Truncation[J]. Journal of Econometrics, 2011,169(1):75-93
[23] LeeS.,Mykland P.A. Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics[J]. Review of Financial Studies, 2008,21(6):2535-2563
[24] Jiang G. J., Lo I., Verdelhan A. Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S.Treasury Market[J]. Journal of Financial & Quantitative Analysis, 2011,46(2):527-551
[25] Corsi F., Renò R. Discrete-Time Volatility Forecasting with Persistent Leverage Effect and the Link with Continuous-Time Volatility Modeling[J]. Journal of Business & Economic Statistics, 2012,30(3):368-380
[26] Fama E. F., French, K. R. The Cross-Section of Expected Stock Returns[J]. Journal of Finance, 1992,47(2):427-465
[27] Fama E. F., French K. R. Common Risk Factors in the Returns on Stocks and Bonds[J]. Journal of Financial Economics, 1993,33(1):3-56
[28] Bollerslev T., Litvinova J., Tauchen G. Leverage and Volatility Feedback Effects in High-Frequency Data[J]. Journal of Financial Econometrics, 2006,4(3):353-384
[29] Campbell J. Y., Hentschel L. No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns[J]. Journal of Financial Economics, 1992,31(3):281-318
[30] Summers L. H. Does the Stock Market Rationally Reflect Fundamental Values?[J]. Journal of Finance, 1986,41(3):591-601
[31] Merton R. C. Option Pricing When Underlying Stock Returns Are Discontinuous[J]. Journal of Financial Economics, 1976,3(2):125-144
[32] Merton R. C. On Estimating the Expected Return on the Market[J]. Journal of Financial Economics, 1980,8(1):323-361
[33] Eraker B. Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices[J]. Journal of Finance, 2004,59(3):1367-1404
[34] Eraker B., Johannes M., Polson N. The Impact of Jumps in Volatility and Returns[J]. Journal of Finance, 2003,58(3):1269-1300