题名

股市波動性是否引發熊市？

并列篇名

Does Stock Market Volatility Induce Bear Stock Market?

DOI

10.6160/SYSMR.202209_30(4).0003

作者

吳淑貞(Shue-Jen Wu)

关键词

熊市 ； 波動性 ； 預測 ； Bear Market ； Volatility ； Predictability

期刊名称

中山管理評論

卷期/出版年月

30卷4期（2022 / 09 / 01）

页次

673 - 704

内容语文

繁體中文
中文摘要

本文探討股市波動性是否會引發股市進入熊市，是否可作為熊市的領先指標？以美國股價指數資料為研究對象，以Pagan & Sossounov（2003）無母數方法建構熊市序列，以realized volatility衡量股市波動性。因為熊市牛市序列是雙元變數的時間序列，故採用Probit模型進行估計。研究發現股市波動性確實含有預測未來股市熊市的資訊，可做為股市熊市的領先指標；大的波動性會引發股市進入熊市，且波動性對於短期的預測力優於長期的預測力。波動性對股市熊市的預測力，在樣本外也有很好的表現。模型強韌性檢測方面，本文考慮其他模型進行估計、子樣本、考慮解釋變數的自我相關性、加入其他對股市具有影響力的變數以及分析其他熊市定義，結果顯示股市波動性對未來熊市均具有顯著且很強烈的影響。
英文摘要

This paper investigates the predictability of U.S. bear markets using the volatility of stock return. Based on non-parametric Pagan-Sossounov (2003) approach for identifying bear markets and realized volatility, we find the volatility of stock market contain useful information about future bear market. Moreover, we find the high volatility will induce bear market. This variable also performs very well for out-of-sample examination. For robustness test, we examine the subsample, autocorrelations, with other predictors, and other definition of bear markets. We find the main results are also maintained.
主题分类 社會科學 > 管理學
参考文献
  1. Abel, A. B.(1988).Stock Prices under Time-Varying Dividend Risk: An Exact Solution in an Infinite-Horizon General Equilibrium.Journal of Monetary Economics,22(3),375-393.
  2. Backus, D. K.,Gregory, A. W.(1993).Theoretical Relations between Risk Premiums and Conditional variances.Journal of Business and Economic Statistics,11(2),177-185.
  3. Ball, C. A.,Torous, T. W.(2000).Stochastic Correlation across International Stock Markets.Journal of Empirical Finance,7(3-4),373-388.
  4. Bandi, F. M.,Perron B.(2008).Long-Run Risk-Return Trade-Offs.Journal of Econometrics,143(2),349-374.
  5. Bry, G.,Boschan, C.(1971).Working Paper, National Bureau of Economic ResearchWorking Paper, National Bureau of Economic Research,New York:National Bureau of Economic Research.
  6. Campbell, J. Y.(1987).Stock Returns and the Term Structure.Journal of Financial Economics,18(2),373-399.
  7. Candelon, B.,Piplack, J.,Straetmans, S.(2008).On Measuring Synchronization of Bulls and Bears: The Case of East Asia.Journal of Banking and Finance,32(6),1022-1035.
  8. Chang, K. L.(2009).Do Macroeconomic Variables Have Regime-Dependent Effects on Stock Return Dynamics? Evidence from the Markov Regime Switching Model.Economic Modelling,26(6),1283-1299.
  9. Chen, S. S.(2012).Revisiting the Empirical Linkages between Stock Returns and Trading Volume.Journal of Banking and Finance,36(6),1781-1788.
  10. Chen, S. S.(2007).Does Monetary Policy Have Asymmetric Effects on Stock Returns?.Journal of Money, Credit and Banking,39(2/3),668-688.
  11. Chen, S. S.(2009).Predicting the Bear Stock Market: Macroeconomic Variables as Leading Indicators.Journal of Banking and Finance,33(2),211-223.
  12. Chordia, T.,Shivakumar, L.(2002).Momentum, Business Cycle, and Time-Varying Expected Returns.Journal of Finance,57(2),985-1019.
  13. Cooper, M. J.,Gutierrez, R. C., Jr.,Hameed, A.(2004).Market States and Momentum.Journal of Finance,59(3),1345-1365.
  14. Diebold, F. X.,Rudebusch, G. D.(1989).Scoring the Leading Indicators.Journal of Business,62(3),369-391.
  15. Diebold, F. X.,Yilmaz, K.(2009).Measuring Financial Asset Return and Volatility Spillovers with Application to Global Equity Markets.Economic Journal,119(534),158-171.
  16. Duncan, A. S.,Kabundi, A.(2014).Global Financial Crises and Time-Varying Volatility Comovement in World Equity Markets.South African Journal of Economics,82(4),531-550.
  17. Estrella, A.(1998).A New Measure of Fit for Equations with Dichotomous Dependent Variables.Journal of Business and Economic Statistics,16(2),198-205.
  18. Fama, E. F.,French, K. R.(1988).Dividend Yields and Expected Stock Returns.Journal of Financial Economics,22(1),3-25.
  19. Fama, E. F.,French, K. R.(1989).Business Conditions and Expected Returns on Stocks and Bonds.Journal of Financial Economics,25(1),23-49.
  20. French, K. R.,Schwert,G. W,Stambaugh, R. F.(1987).Expected Stock Returns and Volatility.Journal of Financial Economics,19(1),3-29.
  21. Gennotte, G.,Marsh, T. A.(1993).Variations in Economic Uncertainty and Risk Premiums on Capital Assets.European Economic Review,37(5),1021-1041.
  22. Gordon, S.,St-Amour, P.(2000).A Preference Regime Model of Bull and Bear Markets.American Economic Review,90(4),1019-1033.
  23. Guidolin, M.,Hyde, S.(2012).Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective.Journal of Banking and Finance,36(3),695-716.
  24. Harding, D.,Pagan, A.(2002).Dissecting the Cycle: A Methodological Investigation.Journal of Monetary Economics,49(2),365-381.
  25. Kim, M. K.,Zumwalt, J. K.(1979).An Analysis of Risk in Bull and Bear Markets.Journal of Financial and Quantitative Analysis,14(5),1015-1025.
  26. Lettau, M.,Ludvigson, S.(2001).Consumption, Aggregate Wealth and Expected Stock Returns.Journal of Finance,56(3),815-849.
  27. Lewellen, J.(2004).Predicting Returns with Financial Ratios.Journal of Financial Economics,74(2),209-235.
  28. Linter, J.(1965).The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.Review of Economics and Statistics,47(1),13-37.
  29. McQueen, G.,Roley, V. V.(1993).Stock Prices, News, and Business Conditions.Review of Financial Studies,6(3),683-707.
  30. Merton, R. C.(1973).An Intertemporal Capital Asset Pricing Model.Econometrica,41(5),867-887.
  31. Morana, C.,Beltratti, A.(2008).Comovements in International Stock Markets.Journal of International Financial Markets, Institutions and Money,18(1),31-45.
  32. Mossin, J.(1966).Equilibrium in a Capital Asset Market.Econometrica,34(4),768-783.
  33. Pagan, A. R.,Sossounov, K. A.(2003).A Simple Framework for Analysing Bull and Bear Markets.Journal of Applied Econometrics,18(1),23-46.
  34. Pesaran, H.,Timmermann, A.(1992).A Simple Nonparametric Test of Predictive Performance.Journal of Business and Economic Statistics,10(4),461-465.
  35. Ramchand, L.,Susmel, R.(1998).Volatility and Cross Correlation across Major Stock Markets.Journal of Empirical Finance,5(4),397-416.
  36. Rapach, D. E.,Wohar, M. E.,Rangvid, J.(2005).Macro Variables and International Stock Return Predictability.International Journal of Forecasting,21(1),137-166.
  37. Schwert, G. W.(2011).Business Cycle, Stock Volatility during the Recent Financial Crisis.European Financial Management,17(5),789-805.
  38. Schwert, G. W.(1989).Business cycle, Financial Crises, and Stock Volatility.CarnegieRochester Conference Series on Public Policy,31,83-126.
  39. Sharpe, W. F.(1964).Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Market Risk.Journal of Finance,19(3),425-442.
  40. Wang, Y.,Wei, Y.,Wu, C.,Libo, L.(2018).Oil and the Short-Term Predictability of Stock Return Volatility.Journal of Empirical Finance,47(C),90-104.
  41. Wu, S. J.,Lee, W. M.(2012).Predicting the U.S. Bear Stock Market Using the Consumption-Wealth Ratio.Economics Bulletin,32(4),3174-3181.
  42. Wu, S. J.,Lee, W. M.(2015).Predicting Severe Simultaneous Bear Stock Markets Using Macroeconomic Variables as Leading Indicators.Finance Research Letters,13,196-204.
  43. Wu, S. J.,Lee, W. M.(2015).Intertemporal Risk-Return Relationships in Bull and Bear Markets.International Review of Economics and Finance,38,308-325.
print cancel