Journal of Banking & Finance · Available online 1, AUGUST 2016

套利限制和特质波动：来自中国股市的证据

作者：Ming Gu (School of Economics & WISE, Xiamen University), Wenjin Kang (School of Finance, Shanghai University of Finance and Economics), Bu Xu (School of Economics and Management, Beijing University of Chemical Technology)

摘要：本文探讨套利限制如何影响特质波动定价。使用中国股市独特的交易限制和其他常用的套利限制衡量方法，我们构建了一个综合套利限制指数。基于此指数，我们发现，具有高套利限制的股票的负特质波动收益溢价更强且更为持久。此外，关于特质波动收益溢价的现有解释并不能完全阐述我们发现的中国股市中套利限制在特质波动定价中的作用。我们的研究表明，以保护个人投资者的名义引入交易限制实际上会对他们有害，因为这些额外的套利限制将增强证券市场的低效率。

关键词：套利限制，特质波动，中国股市

Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market

Ming Gu (School of Economics & WISE, Xiamen University), Wenjin Kang (School of Finance, Shanghai University of Finance and Economics), Bu Xu (School of Economics and Management, Beijing University of Chemical Technology)

ABSTRACT

This study examines how limits of arbitrage can affect the pricing of idiosyncratic volatility. Using both unique trading constraints in the Chinese stock market and other commonly-used limits-of-arbitrage measures, we construct a comprehensive limits-of-arbitrage index. Based on this index, we find that the negative idiosyncratic volatility return premium is much stronger and more persistent in stocks with high limits of arbitrage. Furthermore, the existing explanations about the idiosyncratic volatility return premium cannot fully explain what we find about the role of limits of arbitrage in the pricing of idiosyncratic volatility in the Chinese stock market. Our study suggests that the trading constraints introduced in the name of protecting individual investors can actually hurt them, since these additional limits of arbitrage will increase the inefficiency of the security market.

Keywords: Limits of arbitrage, Idiosyncratic volatility, China stock market

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426615002277

翻译：贾梦悦