管理评论

管理评论 ›› 2023, Vol. 35 ›› Issue (9): 3-12.

• 经济与金融管理 •    下一篇

基于跳跃回归模型的中国股市跳跃贝塔研究

朱芸1, 赵华2   

  1. 1. 中国人民大学财政金融学院, 北京 100872;
    2. 厦门大学经济学院, 厦门 361005
  • 收稿日期:2021-10-29 出版日期:2023-09-28 发布日期:2023-10-31
  • 通讯作者: 赵华(通讯作者),厦门大学经济学院教授,博士生导师,博士。
  • 作者简介:朱芸,中国人民大学财政金融学院博士研究生。
  • 基金资助:
    国家自然科学基金面上项目（71871194）。

A Jump-regression-model-based Research into Jump Beta in China's Stock Market

Zhu Yun1, Zhao Hua2   

  1. 1. School of Finance, Renmin University of China, Beijing 100872;
    2. School of Economics, Xiamen University, Xiamen 361005
  • Received:2021-10-29 Online:2023-09-28 Published:2023-10-31

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摘要： 本文基于跳跃回归模型估计了（模型）跳跃贝塔，提出了正向跳跃回归模型和负向跳跃回归模型，研究了中国股市的系统性跳跃风险。结果表明，跳跃回归模型表现出较好的拟合效果，市场的跳跃行为对个股具有显著的影响，中国股票市场上存在系统性跳跃风险。将跳跃贝塔分解为正跳贝塔和负跳贝塔后，随着股票组合的正跳贝塔由小变大，各组合收益率单调减小，正跳贝塔更能够体现出股票组合的差异性。跳跃贝塔值与组合未来收益率呈现负相关的关系，系统性跳跃风险较小的组合倾向于获得更高的收益，基于模型跳跃贝塔构建的对冲组合可以获得显著为正的经三因子模型调整后的超额收益。

关键词: 跳跃回归, 跳跃贝塔, 投资组合

Abstract: Based on jump regression model, this paper estimates jump betas, proposes positive and negative jump regression models, and studies systematic jump risk in China's stock market. The result shows that the jump regression model fits well, market jumps have significant impact on individual stock jumps, and there are systematic jump risks in China's stock market. After jump beta is decomposed into positive and negative jump betas, it is found that the stock portfolio returns increase monotonically in line with the decreasing of positive jump beta, and positive jump beta can reflect the difference of stock portfolio more effectively. Moreover, the jump beta is negatively correlated with the future portfolio returns, and the portfolio of less systematic jump risk tends to get higher returns. The hedging portfolio with model-jump-beta can obtain significantly positive excess returns adjusted by three-factor model.

Key words: jump regression, jump beta, investment portfolio