中国股票市场的已实现偏度与收益率预测

Abstract

With high-frequency stock index data, this paper constructs the realized skewness of the Chinese stock market and tests its predictive power for the aggregate stock market excess return. Results show that the realized skewness significantly predicts the next month's excess return on the Chinese stock market. In-sample and out-of-sample R-squared values are 3.39% and 2.24%, respectively. After controlling for a set of variables, this conclusion still holds. In addition, based on four alternative construction methods, the realized skewness significantly predicts excess returns on both the Shanghai and Shenzhen stock markets. The predictive power is further improved when combining all four skewness measures together. Economically, the predictive power of realized skewness for stock market return comes from its ability to predict future trading activity of the Chinese stock market.