Research On The Relationship Between Market Volatility, Skewness,Kurtosis And Stock Yield

In 1952, Markowitz proposed the use of mean variance model to measure the financial risk, and created a precedent for the measurement and prevention of financial risk. With the development of theory and practice, a large number of scholars have found that the income of financial assets is not consistent with the hypothesis of the traditional research, but the non normal characteristics of the spike and fat tail. That is to say, the mean-variance analysis method ignores the high order moment risk. Asymmetric distribution of stock market returns primarily by third moment, that is skewness measure; the peak and fat tail characteristic of the stock market mainly by the fourth moment, namely kurtosis to measure. The stock market excess kurtosis and fat tail characteristics mainly by the fourth order moment, that is kurtosis to measure. Financial market exists not only variance risk, but also skewness and kurtosis risk,the existence of negative skewness makes the possibility of capital gains decline may be higher than rise; excess kurtosis makes the possibility of black swan events greatly increased.This paper explores the relationship of market volatility, skewness and kurtosis of the market and the stock market yield. First, the market yields sequence fits the NAGARCHSK model, and to estimate the market volatility, market skewness and kurtosis market. Then, this paper adds to higher moments factor into the classical CAPM model and Fama-French three factors, trying to clarify the relationship between the market higher order moment and the stock return rate and the strength of this correlation. Finally, this paper researchs the high order moment factor and future stock return rate, and the use of the structure and the relationship between portfolio, to provide reference for investors in trading firm.The empirical results show that 1) the Chinese stock market is not normal. Negative skewness in the market, most of the time, indicating that the market return has. a left partial; kurtosis in the market most of the time is higher than 3, indicating that the market yield shows a fat tail characteristics. In addition, market volatility, market skewness and kurtosis has gathered effect, behind the large fluctuations in the market rate (market skewness or kurtosis) will be followed by a large fluctuations in the market rate (market skewness or kurtosis).2) in the CAPM and Fama-French three factor model, the high order moment factor is added to improve the explanatory power of the original model. Market volatility rate have better interpretation effect on stock returns and and stock returns are related; market skewness on stock returns have certain explanation ability and and stock returns are negatively correlated; market kurtosis of stock returns has some explanatory power, but this interpretation of weak force.3) the market volatility rate drive factor, market skewness driving factor and kurtosis of market driving factor structure single factor combination, straddle the combination and the combination of multi factors. It is found that the market volatility skewness factor and market driven driving factors can well on the stock to distinguish, that portfolio construction to provide the reference; but kurtosis market driving factors and can not guarantee future earnings have a clear distinction between, on the construction of a reference portfolio of little significance.