摘要/Abstract

关于个股非对称波动的主要原因，学者们提出了杠杆理论和时变风险溢价理论等多种解释，一直未达成共识，而国内基本没有学者研究个股的非对称波动。为解决长期存在的研究分歧，弥补国内在该领域的研究空白，本文基于风险分类理论，将个股非对称波动的所有影响因素划分为个股特有因素和市场系统因素，通过建立新的非对称模型分析二者对其影响。结果显示，国内个股存在显著的非对称波动，且个股特有因素和市场系统因素都对其有影响，但后者的作用更大，从而更加支持时变风险溢价理论。此外，与国外市场不同，国内的个股市值越小，其非对称波动程度越大。

Scholars have proposed many theories, such as leverage theory and time varying risk premium theory, to explain stock level asymmetric volatility. But about what is the most influential factor is still an open question. Plus there is almost no domestic scholars study the asymmetric volatility of stock level. So, in order to resolve the long existing difference and fill the research gap, this paper studies the stock level asymmetric volatility on the basis of risk classification theory. According to which, all stock level asymmetric volatility contributors can be classified into individual specific factor and market systematic factor. In order to figure out it is more attributed to individual specific factor or market systematic factor, this paper establishes new asymmetric volatility models. Conclusions of this paper holds that, First, individual stocks have significant asymmetric volatility. Second, both individual specific factor and market systematic factor have significant impact on stock level asymmetric volatility, but market systematic factor is more influential. Besides, different from foreign market, the smaller the individual stock market value, the greater the degree of asymmetric volatility.