股权风险溢价和波动率的相关结构分析-金融学专业论文.docxVIP

华 华 中 科 技 大 学 硕 士 毕 业 论 文 II II Abstract This paper mainly talks about the relationship between stock market return and volatility through a bivariate factor model charactering the variation and interaction of the volatility indicator and the market price of risk. The model employs the CSI 300 Index and two constructed volatility indicators studying the correlation structure between risk premium and the volatility by picking a series of market state variables that might take effect on, such as lagged excess stock earning, lagged volatility indicators, the average dividend yield of the listed companies, the consumer price index, the magnitude of the listed companies, the real growth rate of industrial added value. The two indicators are calculated by the standard deviation of historical returns, and a GARCH(1,1) fitted indicator respectively. Then the model-implied volatility measured by the conditional standard deviation of equity returns is compared with the predictable volatility measured by the expected value of the selected volatility indicators, the result of which reveals the daily risk premiums follow similar patterns for the two indicators while the GARCH(1,1) indicator has the most consistent forecast. Considering a plausible positive relationship between the risk premium and volatility, the correlation between the unexpected returns and volatility indicators are uncertain according to different volatility indicators. For the selected sample, we don’t find strong evidence of leverage and volatility feedbac k effects. However, when taking the shock of financial crisis into account and resampling, we find strong leverage and volatility feedback effects in both volatility indicators which implies that there is asymmetry effect in the equity market of China. Keywords: risk premium, volatility indicators, market price of risk, leverage effect, volatility feedback effects III III 目录 摘 要 I HYPERLINK \l _bookmark0 ABSTRACT II HYPERLINK \l _bookmark1 1、绪论 1