中国股票市场的波动率管理投资组合

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-11-09 DOI:10.1016/j.pacfin.2024.102574

Chuyu Wang, Junye Li

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引用次数: 0

摘要

本文研究了波动率择时策略在中国股票市场的有效性。我们发现，波动率管理投资组合（VMP）的表现一直优于其原有的投资组合。这种超额收益主要是由高套利风险的股票驱动的，如果考虑到中国的限价规则，这种超额收益还会进一步提高。在市场低迷时期，波动率管理投资组合的条件系统性风险明显降低，从而起到对冲高波动率的作用。此外，由单个波动率管理因子构建的多因子投资组合的表现优于其他多因子投资组合，尤其是在投资者情绪高涨或宏观经济信心减弱的时期。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Volatility-managed portfolios in the Chinese equity market

This paper examines the effectiveness of the volatility-timing strategy in the Chinese equity market. We find that the volatility-managed portfolio (VMP) consistently outperforms its original counterpart. This outperformance is primarily driven by stocks with high arbitrage risks, and is further enhanced when considering the price-limit rule in China. The conditional systematic risks of volatility-managed portfolios are significantly lower during market downturns, serving as a hedge against high volatility. Additionally, the multi-factor portfolio constructed from the individual volatility-managed factors outperforms other multi-factor portfolios, especially during periods of heightened investor sentiment or diminished macroeconomic confidence.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.