股市波动助长了市场投机性吗？

摘要/Abstract

摘要： 高投机性和高波动性一直是中国股票市场的显著特征，本文以中国A股市场为研究对象，从投机性市场异象、均值-方差关系以及宏观风险因子定价三个方面研究了股市波动的加剧对市场投机性的影响。研究结果表明，股市波动的加剧助长了市场投机性，具体体现在：在高波动率状态下，中国股票市场的投机性市场异象显著增强；同时，市场组合收益率正向的均值-方差关系减弱，宏观风险因子价格偏离理论预期。本文的结论对于加快建设高效的股票市场，强化中国股市的资源配置功能，提高中国股市的监管效率等方面有着重要的启示。

关键词: 股市波动率, 投机, 资产定价

Abstract: China's stock market is characterized by significant speculativeness and volatility. Based on the data of China's A-share market, this paper investigates the impact of the high volatility on stock market speculation from three aspects:market anomalies, mean-variance relation and the pricing of macro risk factors. The results indicate that high volatility strengthens the degree of stock market speculation. Specifically, when the market volatility is high, the anomaly caused by speculation magnifies, the mean-variance relation weakens, and the price of macro risk factor deviates from the anticipation of the standard asset pricing model. Our conclusions would be conducive to improving the market efficiency, the function of resource allocation and the supervision efficiency of China's stock market.

Key words: volatility of stock market, speculation, asset pricing

尹力博, 韦亚. 股市波动助长了市场投机性吗？[J]. 管理评论, 2021, 33(12): 15-29.

Yin Libo, Wei Ya. Does the Volatility of Stock Market Increase Market Speculation?[J]. Management Review, 2021, 33(12): 15-29.

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