中国股票市场的风险传染和投资转移研究
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摘要
中国资本市场近二十年来不断的发展和成熟,对经济的发展起到了非常重要的支持作用,但某些方面也存在着问题。特别地,对于中国股票市场,其机制、监管等方面不够完善,与美国等一些发达国家的股票市场相比,仍然不够成熟,如中国股票市场存在市场分割的现象、缺乏风险管理意识的个人投资者的数量较多、市场投机性很强、内幕交易和操纵较多等。这些特征增加了中国股票市场的风险,也加大了投资者风险管理的难度。
本文基于资产定价、市场微观结构等理论,通过中国股票市场上的高频交易数据计算股票市场的流动性、定单流,然后通过经典的金融市场计量模型,从共同因素、风险传染和投资转移三个方面分析股票之间的相互关系,从投资者行为的角度讨论了中国股票市场上的风险特征,并探讨了不同股票之间风险补偿差异产生的机制,为资产定价提供了新的思路。
首先,本文通过分析中国股票市场上市值不同的股票之间定单流、流动性和收益率的相互影响关系,以及它们与上海银行间同业拆借利率(CHIBOR)、人民币远期汇率的关系,讨论了市场内不同股票之间的投资转移行为。实证分析发现:低市值股票定单流上升时,未来高市值股票流动性和收益率显著下降,市值不同的股票之间流动性和收益率也表现出显著的双向、负向的领先滞后关系;银行间拆借利率、人民币汇率等影响宏观(货币)流动性的因素将显著影响市场微观流动性、定单流和收益率,但对市值不同的股票有不同的影响。不同市值股票之间存在投资转移行为的证据,进一步分析发现,这种现象不仅存在于市值不同的股票之间,也广泛存在于风险和流动性不同的其他股票之间。
其次,在现有研究分析不同市场之间风险传染和投资转移的基础上,本文基于概率模型和极值理论,讨论了中国股票市场内,高市值与低市值股票之间的风险传染和投资转移行为,及其相互关系。实证结论发现,市场定单流上升、流动性变好时,基于市场共同因素的影响,高市值股票和低市值股票收益率同时大涨的概率显著增加;控制了市场共同因素的影响后,市场定单流增加时,高市值股票大跌而低市值股票大涨的概率显著增加;而当市场流动性变差时,低市值股票大跌而高市值股票大涨的概率显著增加。共同因素是中国股票市场上高市值与低市值股票之间风险传染的主要原因,控制共同因素的影响后,两类股票之间也存在投资转移行为。
本文也讨论了中国股票市场内部不同股票之间的“安全性转移”(Flight-to- quality)和“流动性转移”(Flight-to-liquidity)行为,以及两种行为与股票特征的关系。研究结论发现:高市场β与低市场β股票、高市值与低市值股票以及上证180指数成分股与非180指数成分股之间存在显著的“安全性转移”行为;高价差与低价差股票、高价格冲击系数与低价格冲击系数之间也存在显著的“流动性转移”行为。投资者在“安全性转移”和“流动性转移”过程中,对股票账面市值比的高低没有显著偏好;同时,与国外成熟股票市场的分析结论不同,由于中国股票市场特殊的投资者构成和投资偏好,高市值与低市值股票或指数股与非指数股之间并不存在显著的“流动性转移”证据。
最后,本文分析了中国股票市场、国债市场与企业债市场收益率的相互关系,研究结论发现:虽然从总体上看,股票与国债、股票与企业债市场收益率之间仅有微弱的正相关关系,但当股票市场收益率下降、风险增加,以及债券市场收益率上升时,股票与债券市场的收益率呈显著负相关关系。受共同因素的影响,国债与企业债券收益率之间总体上具有较强的正相关。当债券市场收益率下降、风险增加时,其正相关关系更强;而当市场较平稳时,其正相关性较低,甚至不显著。中国股票与债券市场之间,以及企业债和国债市场之间均存在投资转移的证据。
In pararell with the fast-growing economy in China, its capital markets has been rapidly developed and become more and more mature in the last twenty years. However, at the same time, the Chinese market system and regulation are not running very well, and compared with sotck markets in developed countries, e.g., US, the Chinese stock market is still very unmature. For instance, the Chinese market is still segemented, and individual investors who have less sense of risk management still dominate the market, and the market is still very speculative with many inside trading and manipulation on stock prices. These facts increase the risk for investors on thte market, and also the difficulties of risk management.
This thesis discussed the issue of risk management on the Chinese stock market from the viewpoint of investor behavior through discussing the effects of common factors, contagion and portfolio rebalancing on cross-stock interactions. The theories of asset pricing, market microstrucutre are used, and stock market liquidity, order flow from tick-by-tick high frequency data are computed, and classical financial market econometrics models are applied. In addition, this thesis also discusses the risk premium difference between stocks and its system. This provides a new way to analyzing asset pricing.
First, this thesis examines within-market flight behavior in the Chinese stock market through analyzing relationship of order flow, liquidity and returns between stocks with different market size and their interaction with China Interbank Offered Rate (CHIBOR) and forward rate of Chinese Yuan (RMB). The empirical results show that a rise in order flow for low-size stocks will lead to a fall in returns and liquidity for high-size stocks. There is negative bidirectional lead-lag relationship for returns and liquidity for high and low-size stocks. Macroeconomic or monetary liquidity factors such as CHIBOR and forward of RMB will affect microstructure variables such as liquidity, order flow and returns of stocks, but have different effect on high and low-size stocks. This paper provides evidence of within-market flight behavior between high and low-size stocks. Further tests find that this within-market flight exists also between other stocks with different levels of risk and liquidity.
Second, this thesis discusses within-market contagion and flight between high and low-size stocks on the Chinese stock market based on previous studies in cross-market contagion and flight. Our empirical results show that when market order flow and liquidity rise, the probability of high return exceedance between high and low-size stocks significantly rises due to the effect of common factors. However, after the effect of common factors is removed, when market order flow rises, the probability of low excess return on high-size stocks accompanying with high excess returns on low-size stocks rises, and when market liquidity falls, the probability of low excess return on low-size stocks accompanying with high excess returns on high-size stocks rises. Market common factors should be responsible for contagion between high and low-size stocks, and there is significant within-market flight between high and low-size stocks after the effect of common factors is removed.
Third, Based on previous literature on cross-market flight behavior, this thesis examines within-market flight-to-quality and flight-to-liquidity behavior on the Chinese stock market. Empirical results show that there is significant flight-to-quality behavior between high and low-βstocks, between high and low-size stocks and between SH180-index and non-SH180-index stocks, and there is significant flight-to-liquidity behavior between high and low-spread stocks, and between stocks with high and low price impact coefficients. In both flight-to-quality and flight-to-liquidity, investors have no preference for stock book-to-market ratio. Moreover, different from the results in foreign mature stock markets, due to the special structure of investors and their investing preference in the Chinese stock market, there is no evidence of flight-to-liquidity between high and low-size stocks or between index and non-index stocks.
Finally, this thesis analyzes the correlation of returns among the Chinese stock market, Treasury bond market and corporate bond market and finds that the correlations of returns between the Chinese stock and Treasury bond market or between stock and enterprise bond market are marginal positive. However, there are negative correlations between the stock and bond markets when returns fall and volatility rises on the stock market or returns on the bond market rise. Due to the effect of common factors, return correlation between the Treasury and corporate bond market are highly positive, which become even stronger when returns fall and volatility rises on the bond market. However, the positive correlations may be very low or even insignificant when the bond market is calm. There is evidence about flight-to-liquidity or flight-to-quality both between the stock and bond markets and between the corporate and Treasury bond markets.
本文基于资产定价、市场微观结构等理论,通过中国股票市场上的高频交易数据计算股票市场的流动性、定单流,然后通过经典的金融市场计量模型,从共同因素、风险传染和投资转移三个方面分析股票之间的相互关系,从投资者行为的角度讨论了中国股票市场上的风险特征,并探讨了不同股票之间风险补偿差异产生的机制,为资产定价提供了新的思路。
首先,本文通过分析中国股票市场上市值不同的股票之间定单流、流动性和收益率的相互影响关系,以及它们与上海银行间同业拆借利率(CHIBOR)、人民币远期汇率的关系,讨论了市场内不同股票之间的投资转移行为。实证分析发现:低市值股票定单流上升时,未来高市值股票流动性和收益率显著下降,市值不同的股票之间流动性和收益率也表现出显著的双向、负向的领先滞后关系;银行间拆借利率、人民币汇率等影响宏观(货币)流动性的因素将显著影响市场微观流动性、定单流和收益率,但对市值不同的股票有不同的影响。不同市值股票之间存在投资转移行为的证据,进一步分析发现,这种现象不仅存在于市值不同的股票之间,也广泛存在于风险和流动性不同的其他股票之间。
其次,在现有研究分析不同市场之间风险传染和投资转移的基础上,本文基于概率模型和极值理论,讨论了中国股票市场内,高市值与低市值股票之间的风险传染和投资转移行为,及其相互关系。实证结论发现,市场定单流上升、流动性变好时,基于市场共同因素的影响,高市值股票和低市值股票收益率同时大涨的概率显著增加;控制了市场共同因素的影响后,市场定单流增加时,高市值股票大跌而低市值股票大涨的概率显著增加;而当市场流动性变差时,低市值股票大跌而高市值股票大涨的概率显著增加。共同因素是中国股票市场上高市值与低市值股票之间风险传染的主要原因,控制共同因素的影响后,两类股票之间也存在投资转移行为。
本文也讨论了中国股票市场内部不同股票之间的“安全性转移”(Flight-to- quality)和“流动性转移”(Flight-to-liquidity)行为,以及两种行为与股票特征的关系。研究结论发现:高市场β与低市场β股票、高市值与低市值股票以及上证180指数成分股与非180指数成分股之间存在显著的“安全性转移”行为;高价差与低价差股票、高价格冲击系数与低价格冲击系数之间也存在显著的“流动性转移”行为。投资者在“安全性转移”和“流动性转移”过程中,对股票账面市值比的高低没有显著偏好;同时,与国外成熟股票市场的分析结论不同,由于中国股票市场特殊的投资者构成和投资偏好,高市值与低市值股票或指数股与非指数股之间并不存在显著的“流动性转移”证据。
最后,本文分析了中国股票市场、国债市场与企业债市场收益率的相互关系,研究结论发现:虽然从总体上看,股票与国债、股票与企业债市场收益率之间仅有微弱的正相关关系,但当股票市场收益率下降、风险增加,以及债券市场收益率上升时,股票与债券市场的收益率呈显著负相关关系。受共同因素的影响,国债与企业债券收益率之间总体上具有较强的正相关。当债券市场收益率下降、风险增加时,其正相关关系更强;而当市场较平稳时,其正相关性较低,甚至不显著。中国股票与债券市场之间,以及企业债和国债市场之间均存在投资转移的证据。
In pararell with the fast-growing economy in China, its capital markets has been rapidly developed and become more and more mature in the last twenty years. However, at the same time, the Chinese market system and regulation are not running very well, and compared with sotck markets in developed countries, e.g., US, the Chinese stock market is still very unmature. For instance, the Chinese market is still segemented, and individual investors who have less sense of risk management still dominate the market, and the market is still very speculative with many inside trading and manipulation on stock prices. These facts increase the risk for investors on thte market, and also the difficulties of risk management.
This thesis discussed the issue of risk management on the Chinese stock market from the viewpoint of investor behavior through discussing the effects of common factors, contagion and portfolio rebalancing on cross-stock interactions. The theories of asset pricing, market microstrucutre are used, and stock market liquidity, order flow from tick-by-tick high frequency data are computed, and classical financial market econometrics models are applied. In addition, this thesis also discusses the risk premium difference between stocks and its system. This provides a new way to analyzing asset pricing.
First, this thesis examines within-market flight behavior in the Chinese stock market through analyzing relationship of order flow, liquidity and returns between stocks with different market size and their interaction with China Interbank Offered Rate (CHIBOR) and forward rate of Chinese Yuan (RMB). The empirical results show that a rise in order flow for low-size stocks will lead to a fall in returns and liquidity for high-size stocks. There is negative bidirectional lead-lag relationship for returns and liquidity for high and low-size stocks. Macroeconomic or monetary liquidity factors such as CHIBOR and forward of RMB will affect microstructure variables such as liquidity, order flow and returns of stocks, but have different effect on high and low-size stocks. This paper provides evidence of within-market flight behavior between high and low-size stocks. Further tests find that this within-market flight exists also between other stocks with different levels of risk and liquidity.
Second, this thesis discusses within-market contagion and flight between high and low-size stocks on the Chinese stock market based on previous studies in cross-market contagion and flight. Our empirical results show that when market order flow and liquidity rise, the probability of high return exceedance between high and low-size stocks significantly rises due to the effect of common factors. However, after the effect of common factors is removed, when market order flow rises, the probability of low excess return on high-size stocks accompanying with high excess returns on low-size stocks rises, and when market liquidity falls, the probability of low excess return on low-size stocks accompanying with high excess returns on high-size stocks rises. Market common factors should be responsible for contagion between high and low-size stocks, and there is significant within-market flight between high and low-size stocks after the effect of common factors is removed.
Third, Based on previous literature on cross-market flight behavior, this thesis examines within-market flight-to-quality and flight-to-liquidity behavior on the Chinese stock market. Empirical results show that there is significant flight-to-quality behavior between high and low-βstocks, between high and low-size stocks and between SH180-index and non-SH180-index stocks, and there is significant flight-to-liquidity behavior between high and low-spread stocks, and between stocks with high and low price impact coefficients. In both flight-to-quality and flight-to-liquidity, investors have no preference for stock book-to-market ratio. Moreover, different from the results in foreign mature stock markets, due to the special structure of investors and their investing preference in the Chinese stock market, there is no evidence of flight-to-liquidity between high and low-size stocks or between index and non-index stocks.
Finally, this thesis analyzes the correlation of returns among the Chinese stock market, Treasury bond market and corporate bond market and finds that the correlations of returns between the Chinese stock and Treasury bond market or between stock and enterprise bond market are marginal positive. However, there are negative correlations between the stock and bond markets when returns fall and volatility rises on the stock market or returns on the bond market rise. Due to the effect of common factors, return correlation between the Treasury and corporate bond market are highly positive, which become even stronger when returns fall and volatility rises on the bond market. However, the positive correlations may be very low or even insignificant when the bond market is calm. There is evidence about flight-to-liquidity or flight-to-quality both between the stock and bond markets and between the corporate and Treasury bond markets.
引文
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