Pacific-Basin Finance Journal·Volume 39, September 2016, Pages 70–83

中國股票市場的波動率與美國經濟變量的作用

作者：Jian Chena, Fuwei Jiangb, Hongyi Lic, Weidong Xu

摘要：本文研究了美國的經濟變量對中國股市波動随時間變化的影響。我們發現，美國的經濟變量，如股息價格比率、股息收益率和工業産值，對中國股市的未來每月波動率有準确的預測作用。這種可預測性是在統計上和經濟上都顯著的，并且，當所有美國經濟變量的信息都結合在一起時，這種可預測性能進一步改善。預測包容檢驗和回歸檢驗表明，與中國國内的經濟變量的預測能力相比，美國經濟變量的預測能力是更強的。我們的研究結果在進行樣本外分析和對許多中國産業投資組合波動率都是穩健的。

關鍵詞：波動率預測，美國經濟變量，樣本外預測，綜合預測，中國股市

Chinese stock market volatility and the role of U.S. economic variables

Jian Chena, Fuwei Jiangb, Hongyi Lic, Weidong Xu

Abstract

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility. We find that U.S. economic variables such as the dividend price ratio, dividend yield and industrial production strongly forecast the future monthly volatilities of the Chinese stock market. The predictability is statistically and economically significant and can be further improved when combining the information in all U.S. economic variables together. Forecast encompassing tests and regression tests show that the forecasting power of U.S. economic variables is incremental when comparing with the Chinese domestic economic variables. Our findings are robust for the out-of-sample analysis and a number of Chinese industry portfolios volatilities.

Keywords：Volatility forecasting，U.S. economic variables, Out-of-sample forecasting, Combination forecast, Chinese stock market

原文鍊接:

http://www.sciencedirect.com/science/article/pii/S0927538X16300737

翻譯：何杉