市场微观结构噪音与MAX效应——基于Fama-French-Carhanr四因子模型的检验

›› 2016 ›› Issue (01): 48-60.

市场微观结构噪音与MAX效应——基于Fama-French-Carhanr四因子模型的检验

张信东, 翟悦

山西大学经济与管理学院, 山西太原 030006

收稿日期:2015-09-27 出版日期:2016-01-15 发布日期:2016-01-11
作者简介:张信东(1964—),女,山西静乐人,山西大学经济与管理学院教授,管理学博士,研究方向为金融工程与风险管理、财务管理等;翟悦(1990—),女,山西长治人,山西大学数学科学学院硕士研究生,研究方向为金融工程与风险管理。
基金资助:
国家自然科学基金"市场微观结构、特质波动率异象与MAX效应"(71371113);教育部人文社会科学研究项目(13YJA790154);教育部人文社会科学研究项目(14YJA790034)。

MAX effect and market microstructure noise-An empirical study based on transaction data in American

ZHANG Xin-dong, ZHAI Yue

School of Economics and Management, Shanxi University, Taiyuan, Shanxi 030006, China

Received:2015-09-27 Online:2016-01-15 Published:2016-01-11

摘要/Abstract

摘要： 以NYSE、Amex和NASDAQ三大美国证券市场1962年7月至2014年12月的全部普通股为研究样本,利用买卖报价中点、收盘买价和收益加权三种方法消除个股收益和股票组合收益中的价格噪音,对MAX效应进行再检验。同时,考虑到具有极端日收益的股票中NASDAQ占比超过53%这一事实,本文还针对三个交易所做了分市场检验。实证结果没有给出"MAX异象"被解释的证据,表明市场微观结构噪音和Fama-French-Carhanr四因子模型的结合以及市场特点,并不是造成"MAX异象"的原因。

关键词: MAX异象, 微观结构噪音, 四因子模型, 证券交易市场

Abstract: Our sample include all NYSE, Amex and NASDAQ common stock for the period from July 1962 through December 2014, using midpoint of bid-ask quotes, bid price and return weighted these three ways to eliminate the effects of prices' noise in stock returns and stock portfolio returns, reexamining MAX effect. Meanwhile, considering the fact that more than 53% in the extreme daily returns stocks belongs to NASDAQ, this paper also test three exchange markets separately. The empirical results do not give evidence that interpret the "MAX anomaly", suggests that combination of market microstructure noise and Fama-French-Carhart four factor model, as well as market characteristics, is not the causes of the "MAX anomaly".

Key words: MAX anomaly, microstructure noise, four factor model, security exchange market

中图分类号:

F831

张信东, 翟悦. 市场微观结构噪音与MAX效应——基于Fama-French-Carhanr四因子模型的检验[J]. , 2016(01): 48-60.

ZHANG Xin-dong, ZHAI Yue. MAX effect and market microstructure noise-An empirical study based on transaction data in American[J]. , 2016(01): 48-60.

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