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

中国股票市场的波动率与美国经济变量的作用

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

摘要：本文研究了美国的经济变量对中国股市波动随时间变化的影响。我们发现，美国的经济变量，如股息价格比率、股息收益率和工业产值，对中国股市的未来每月波动率有准确的预测作用。这种可预测性是在统计上和经济上都显著的，并且，当所有美国经济变量的信息都结合在一起时，这种可预测性能进一步改善。预测包容检验和回归检验表明，与中国国内的经济变量的预测能力相比，美国经济变量的预测能力是更强的。我们的研究结果在进行样本外分析和对许多中国产业投资组合波动率都是稳健的。

关键词：波动率预测，美国经济变量，样本外预测，综合预测，中国股市

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

原文链接:

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

翻译：何杉