中国中小板市场的“特质波动率之谜”

摘要

This paper studies the correlation between idiosyncratic volatility and cross section yield of China′s stock market for small and medi‐um‐sized enterprises ,and discusses the existence of the "idiosyncratic volatility"phenomenon by using the data from Shanghai Composite Index and Stock Market Index for small and medium‐sized enterprises and running a semi‐parametric local polynomial regression.The result shows as follows :generally ,there is a positive correlation between idiosyncratic volatility and cross section yield ,but this relationship is not stable ;when the stock market is in the upswing(downswing) ,the relationship is positive(negative);when Shanghai Composite Index is lower than risk‐free return ,there is a negative risk premium in stock market for small and medium‐sized enterprises .%利用中小板指数和上证指数的日超额收益率数据，采用半参数局部多项式回归法，研究了中国中小板市场的特质波动率与横截面收益率的关系，探讨了中国中小板市场是否存在“特质波动率之谜”现象。结果显示：总的来说，中国中小板市场的特质波动率与横截面收益率之间存在正相关关系，但是这种正相关关系并不稳定；当股票市场行情较好时，中小板市场的特质波动率与横截面收益率正相关；当股票市场行情较差时，两者负相关；当上证指数的日超额收益率为负时，中小板市场出现“特质波动率之谜”现象。