Does the Volatility of Stock Market Increase Market Speculation?

Abstract

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

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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