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系统性跳跃风险与贝塔系数时变特征

, PP. 20-27

Keywords: 系统性跳跃风险,mcp检验,连续性贝塔系数,跳跃性贝塔系数

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Abstract:

?为了从系统性跳跃风险这一微观层面探讨贝塔系数的时变特征,本文采用mcp统计量检验A股市场的系统性跳跃风险,并利用理论上更加稳健的TBVEW统计量估计系统性跳跃的贡献;运用"已实现"方法分解连续性贝塔和跳跃性贝塔,并分别检验连续性贝塔和跳跃性贝塔的稳定性。研究结果表明,A股市场的系统性跳跃风险是显著存在的,阈值修正的TBVEW统计量有更好的小样本性质;短期连续性贝塔稳定性较差,中期和长期连续性贝塔比较稳定,而短期、中期和长期跳跃性贝塔的稳定性都很差。因此,短期贝塔系数的不稳定主要来自于连续性贝塔,而中期和长期贝塔系数的不稳定则来自于跳跃性贝塔。

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