套利限制与中国股票市场“特质波动率之谜”

Limits of Arbitrage and “Idiosyncratic Volatility Puzzle” in China's Stock Market

中文关键词:  套利限制  特质波动率  投资组合分析  融资融券  金融异象  资产定价

英文关键词:limits-of-arbitrage  idiosyncratic volatility  portfolio analysis  securities margin trading  financial anomalies  asset pricing

中文摘要:

      特质波动率与预期收益率之间关系的不确定性,一直是学术研究的热点。文章从套利限制的角度来解释“特质波动率之谜”,基于中国A股上市公司数据,构造套利限制指标进行投资组合分析以及采用Fama-Macbeth回归,实证验证中国股票市场是否存在显著的“特质波动率之谜”。研究发现,高套利限制因子情况下“特质波动率之谜”更为显著,而在低套利限制因子情况下“特质波动率之谜”不再显著,从套利限制因子的角度,能够解释中国股票市场的“特质波动率之谜”。进一步,通过分解特质波动率对于收益率影响系数,量化分析了套利限制因子对于“特质波动率之谜”的解释能力。因此,政策制定者在制定相应套利限制政策时需考虑对于股票市场的影响,同时文章结论对于投资者的投资有一定的启示。

英文摘要:

      The uncertainty in the relationship between idiosyncratic volatility and expected rate of return has been a hot issue in academic research. This paper explains the “idiosyncratic volatility puzzle” from the perspective of limits of arbitrage. Based on the data of listed companies on China's A-stock market, with the limits-of-arbitrage indicators constructed to analyze investment portfolio, as well as using Fama-Macbeth regression, this paper makes an empirical test to check whether there is the idiosyncratic volatility puzzle in China's stock market. We find that “idiosyncratic volatility puzzle” is more significant under high level of limits-of-arbitrage, and it is no longer significant under low level of limits-of-arbitrage. From the perspective of limits-of-arbitrage factor, it can explain the “idiosyncratic volatility puzzle” on China's stock market. Further, this paper quantitatively analyzes the explanatory power of limits-of-arbitrage factor to the “idiosyncratic volatility puzzle” by analyzing the influence coefficient of idiosyncratic volatility on return rate. Therefore, when policy-makers formulate the limits-of-arbitrage policy, they should consider its impact on the stock market, and the conclusion in this paper can be enlightening to investors. 