利用實現變幅模型重新檢視訊息,交易與波動

Abstract

本篇論文使用實現變幅(realized range)重新檢驗交易、訊息與波動間的關係。而本研究利用實現變幅衡量交易期間內的波動，接著比較交易與非交易期間變異數比率(variance ratio)的差異去驗證交易、訊息與波動間的關係。實證結果發現(1) 公開訊息對高科技類股的波動影響較大;(2)公開訊息相較於私有訊息才是造成波動的主要原因;(3)實現變幅不僅是不偏、有效、穩健的統計量，此模型更能較精確且全面性地捕捉波動的習性。

This paper employs the realized range model to re-examine the effects of trading and information flows on the volatility. We apply the model to measure the trading-period volatility precisely and comparing the behavior of stock return volatility during trading and nontrading periods. We find that: (1) the volatilities of high-tech stocks are relatively more sensitive to public information; (2) the public information is the primary determinant of stock return volatility; (3) the realized range approach not only is an unbiased, more efficient and more robust estimator but also catches more precise and comprehensive volatility. Our results are consistent with a strong link between volatility and public information flow and it shows that public (versus private) information is the major source of short-term return volatility.