日内收益率预测:基于日内跳跃和动量研究
Intraday return predictability:Based on intraday jumps and momentum
查看参考文献36篇
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文摘
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对日内收益率的预测是学术界近年来研究的热点问题.基于日内跳跃和日内动量的视角,研究探讨了中国股票市场的日内收益率预测.主要实证结果为:基于LM跳跃检验识别跳跃成分,并以此作为解释变量引入动量模型中,利用迭代窗口和样本外预测检验手段发现跳跃有助于增强日内动量效应,即第一个半小时和(或)第七个半小时的收益率对最后一个半小时收益率的预测能力显著提升;另外,利用投资组合策略来评价日内跳跃对模型的经济价值影响发现,相比已有动量模型,含有跳跃的动量模型可获得更高的组合收益,而且还具有更低的组合风险;进一步,还探讨了在金融危机前后、不同的波动率和交易量时期日内跳跃对日内收益率的预测影响,发现在非危机时期、高波动和中交易量时期日内跳跃能显著提升对最后半小时收益率的预测精度. |
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其他语种文摘
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Recently,the predictability of intraday return is a hot topic in academic.Our paper explores the intraday return predictability of the Chinese stock market based on intraday jumps and momentum.The main findings are as follows.First,we use the LM jump test to obtain intraday jumps,which is used to predict intraday return,and then find it is useful.In detail,the prediction effect of the first and seventh half-hour to the last half-hour has significantly improved from a statistical view.Second,from an economic view,we find the intraday jumps can gain more economic values and own lower risk.Moreover,we find that jumps can obtain higher predictability during non-crisis,high volatility and middle volume. |
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来源
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系统工程理论与实践
,2021,41(8):2004-2014 【核心库】
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DOI
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10.12011/SETP2020-0296
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关键词
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日内收益率预测
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日内动量效应
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日内跳跃
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LM跳跃检验
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地址
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西南交通大学经济管理学院, 成都, 610031
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语种
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中文 |
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文献类型
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研究性论文 |
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ISSN
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1000-6788 |
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学科
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社会科学总论 |
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基金
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国家自然科学基金
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国家教育部人文社会科学研究青年项目
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文献收藏号
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CSCD:7039799
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参考文献 共
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