摘要
基于沪深A股不同市场环境下的交易数据,实证分析了股票收益与波动性之间的关系,得出了波动性因子是股票收益行为独立影响因素的结论,并且,在不同的市场环境中波动与股票收益之间的关系具有不同的表现形式,牛市中正相关,熊市中负相关。
Based on the transaction data of different market environments in Shanghai and Shenzhen Stock Market, the paper empirically analyzes the relationship between stock returns and volatility and draws the conclusion that the volatility is an independent determinants of stocks' return. Under different market environment, the relationship is different, it is positively correlated in bull market but negatively correlated in bear market.
作者
高传三
蒋月娥
GAO Chuan-san;JIANG Yue-e(Business School,Changzhou University,Changzhou 213164,China)
出处
《价值工程》
2019年第31期120-122,共3页
Value Engineering
基金
江苏省研究生科研创新计划项目（KYCX18_2637）
关键词
收益
波动性
市场环境
return
volatility
market environment
