Pacific-Basin Finance Journal ? December 2017 ? Volume 46

动量、特质波动与市场动态：来自中国的证据

作者：Muhammad A Cheema(School of Accounting, Finance and Economics, University of Waikato, New Zealand)

Gilbert V. Nartea (Department of Economics and Finance, UC Business School, University of Canterbury, New Zealand)

摘要：关于美国市场的动量和特质波动（IV）的研究证据是不一致的。我们检验了中国市场的动量和IV之间的关系，发现二者之间没有显著关系，这一发现支撑了 “异质波动风险对于动量收益不是一个显著的套利成本”这一观点。虽然“动量收益率与IV不存在正相关关系”这一现象违背了对于动量的反应不足、过度自信以及自我归因的解释，但我们从市场动态和动量结果中找到了对于过度自信和自我归因这两种解释的支撑。我们的结果在验证其他亚洲市场时也是稳健的。我们还发现，动量收益率存在跨国差异可能是市场动态差异的结果，而不是早期文献提出的个人主义水平差异的结果。

关键词：动量，异质波动，市场动态，套利成本，过度自信

Momentum, idiosyncratic volatility and market dynamics: Evidence from China

Muhammad A Cheema(School of Accounting, Finance and Economics, University of Waikato, New Zealand), Gilbert V. Nartea (Department of Economics and Finance, UC Business School, University of Canterbury, New Zealand)

ABSTRACT

Recent evidence on the relation between momentum and idiosyncratic volatility (IV) in the U.S. is mixed. We verify the relation between momentum and IV in China and find at best, no relation, supporting the view that idiosyncratic risk is not a significant arbitrage cost for momentum returns. While the absence of a positive relation between momentum returns and IV rejects both the underreaction and the overconfidence and self-attribution stories of momentum, we find support for the overconfidence and self-attribution story from our results on market dynamics and momentum. Our results are robust when verified in other Asian markets. We also find support for the suggestion that cross-country differences in momentum returns could be the result of differences in market dynamics rather than differences in levels of individualism as suggested earlier in the literature.

Keywords: Momentum; Idiosyncratic volatility; Market dynamics; Arbitrage cost; Overconfidence

原文链接：https://www.sciencedirect.com/science/article/pii/S0927538X17303360#!

翻译：施懿