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首页> 外文会议>2006 China International Conference in Finance (CICF 2006) >Testing for Expected Return and Market Price of Risk in Chinese A-B Share Markets: -A Geometric Brownian Motion and Multivariate GARCH Model Approach
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Testing for Expected Return and Market Price of Risk in Chinese A-B Share Markets: -A Geometric Brownian Motion and Multivariate GARCH Model Approach

机译：测试中国A-B股市场的预期收益率和风险市场价格：-几何布朗运动和多元GARCH模型方法

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摘要

In some equity markets, there exist the phenomenon of so-called dual listed stocks: companies are allowed to issue di¤erent types of stocks facing segmented investors. Although these stocks share the same firm- specific risk, and in most cases, enjoy identical dividend and voting policy, the price of these different types of stocks is not the same and the so- called pricing puzzle arises. Some previous studies show this seemingly deviation from the law of one price can be solved due to different expected return and market price of risk for investors holding heterogeneous beliefs. This paper provides empirical evidence for that argument by testing the expected return and market price of risk between Chinese A- and B- share stocks. Models with dynamic of Geometric Brownian Motions are adopted, multivariate GARCH models are also introduced to capture the feature of time-varying volatility in stock returns. The results suggest that the different pricing can be explained by the difference in the expected return and market price of risk between A and B shares in Chinese stock markets. However, the signi.cance of the difference between market prices of risk becomes disappearing for both markets if GARCH models are used.
机译：在某些股票市场中，存在所谓的双重上市股票现象：允许公司发行面向细分投资者的不同类型的股票。尽管这些股票具有相同的公司特定风险，并且在大多数情况下享有相同的股息和投票政策，但是这些不同类型的股票的价格并不相同，因此出现了所谓的定价难题。先前的一些研究表明，由于持有异类信念的投资者的预期收益率和市场风险价格不同，这种看似偏离一个价格定律的偏差可以解决。本文通过测试中国A股和B股之间的预期收益率和风险市场价格，为该论点提供了经验证据。采用具有几何布朗运动的动力学模型，还引入了多元GARCH模型来捕捉股票收益率的时变波动特征。结果表明，不同的定价可以用中国股票市场中A股和B股的预期收益率和风险市场价格之差来解释。但是，如果使用GARCH模型，则两个市场的风险市场价格之差的重要性将消失。

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