The Existence, Persistence And Cause Analysis Of Volatility Anomaly In Chinese Stock Market

The traditional asset pricing models are among the expected rate of return of portfolio theory and the theoretical basis on which to develop the capital market, the main assets in equity securities markets and risk assets relationships. They believe that the risks to its expected return should be a positive correlation between assets. But more and more empirical data shows that this positive relationship does not exist. Foreign now permits have varying degrees of low volatility effect in the real American and European markets, but the current Study of Chinese market still exist some limitations, existing studies consider only the A-share earnings of its systemic risk relationship β values or idiosyncratic volatility between stock returns did not examine the relationship between its volatility, does not actually study "volatility effect", nor analysis of "low volatility strategy" in China’s A-share market applicability and sustainability. Therefore, we use a combination of the spread comparative analysis and regression analysis to investigate the relationship between stock returns in China’s stock market volatility and its future earnings rate.In this paper, our data is based on1996to2013the A-share stock market data, there is a very clear vision of China’s stock market volatility, the lower volatility of future earnings that the stock is significantly greater than the future earnings of high volatility stocks; volatility through inspection rate arbitrage portfolio holding period returns, we found that most of the volatility arbitrage portfolio can achieve significant positive returns, indicating that China’s stock market volatility there is a very clear vision, but also with respect to the different frequencies and different formation period earnings data and words, this vision is ubiquitous; through the analysis of volatility arbitrage portfolio returns and Sharpe ratio increases with the holding period trends, we found that the total holding period return volatility arbitrage portfolio in combination formed24increasing within months, did not fall within36months, indicating that such a vision is not a short-term phenomenon, but a long-term phenomenon; portfolio volatility through comparative analysis with other portfolio returns, risk and Sharpe ratio, the excess return of the difference between the volatility we found a combination of these indicators and the market value of the portfolio, book value combinations, combinations and turnover combination of past earnings are very different, indicating that the scale is different from the vision of volatility vision, values visions, visions and turnover reverse vision, is a different kind of stock market vision.Finally, we compare the effects of the American stock market volatility with ours, low-volatility effects of China’s weak stock market and the impact of factors vary. Compared with the vision of the United States stock market volatility, Chinese A-share market volatility vision showed the following two differences:First, the holding period of one month volatility arbitrage portfolio returns and some not significant, while the United States empirical evidence show that the holding period of the stock market volatility a very clear vision of months, most studies mainly on the holding period of one month volatility portfolio returns; Second, the combination of low volatility in the Chinese market and the market prices fall when performance is up more or less, while the United States stock market volatility combination of low prices in the market and when the market declines showed up less and less down. These differences we need further study.Foresight and innovation of this paper is that the effect of low volatility and a common scale, such as stock market gains momentum vision is different, it is reflected in the risk of vision, this study is less domestic literature. The new theory of "low volatility vision" applied to emerging markets as China’s stock market, the use of arbitrage restrictions, explore the "low volatility effect" theory to explain aspects of company performance and experience as well as investor heterogeneous beliefs, etc. rich content related research on the stock market volatility while deepening our understanding and awareness of the situation. In addition, low-volatility strategies have higher earnings, and the impact of low volatility strategies from other effects, has good stability. Combination Analysis of the applicability of decentralized "low volatility strategy" can provide better investment strategy and investment advice to funds and other investment decisions.The inadequacies of this paper is, because of the shorter Chinese stock market and the impact of policy changes on the stock market is obvious, so when continuous research, we select only the holding period to36months and no further. In addition, we explain the vision of volatility no exact proof, just got inferences from the relevant studies, more research needs to continue later.