Return, volatility and investors' risk-preference

被引：0
|
作者：
Qiao K. [1 ,2 ]
Qiao H. [3 ,4 ]
机构：
[1] Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing
[2] Faculty of Economics and Business, University of Groningen, Groningen
[3] School of Economics and Management, University of Chinese Academy of Sciences, Beijing
[4] Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing
来源：
| 1600年 / Systems Engineering Society of China卷 / 36期
基金：
中国国家自然科学基金;
关键词：
Market regime; Return; Risk-preference; Volatility;
D O I：
10.12011/1000-6788(2016)10-2489-09
中图分类号：
学科分类号：
摘要：
For studying the relation between equity's expected return and conditional variance, this article uses SSE-Index daily return and GARCH-MIDAS model to estimate investors' risk-preference. Theoretical model clarifies that their time-series relation is determined by investors' risk-preference when the weight of investors' risky asset is constant. When assuming risk-preference is constant, GARCH-MIDAS shows that investors are risk-neutral. Subsequently, we identify bear/bull market by Markov regime switch model, and study investors' risk-preferences under the two regimes respectively. Results reveal that investors are risk-averse during bear market but risk-seeking during bull market. © 2016, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
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页码：2489 / 2497
页数：8
相关论文
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