中美创业板市场波动性对比研究

发布时间：2018-03-10 12:03

本文选题：创业板市场　切入点：纳斯达克市场　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：波动性是股票市场最基本的特征之一,股票价格的波动性对股票市场的存在和发展来说是至关重要的。股票价格的正常波动是股票市场发挥资源配置作用的必备条件,也是投资者获取合理合法投资收益的基础,对证券市场的规范和成熟有着积极的作用。本文以现代金融理论和现代统计理论为指导,以深圳创业板指数和纳斯达克指数收益率为研究对象,采用统计分析和ARCH族模型实证分析相结合的方法,比较研究了两个市场指数收益率波动性。文章首先简明阐述了国内外学术界对于股票市场波动性的研究现状,介绍了有关波动性定义,股市波动的主要特征包括波动的集聚性、杠杆效应和持续性等,研究了波动性的测量方法,包括描述性统计和ARCH族模型测定波动性的方法,重点研究了ARCH族模型关于波动持久性、杠杆效应和收益风险关系的测定方法；接着研究了深圳创业板指数和纳斯达克指数波动性的表现,分阶段分析了不同时期的走势；其后选取了实证所采用的样本并进行了分析和检验,运用不同的ARCH族模型实证研究分析中美两国创业板市场的波动性,包括对波动持久性、波动杠杆效应和收益与风险关系的实证分析；随后根据实证研究的结果,从投资者行为特征、交易制度、发行制度和退市制度四方面分析了可能造成中美创业板市场波动性差异的原因,最后得出结论并提出相应的建议。
[Abstract]:Volatility is one of the most basic characteristics of stock market, and the volatility of stock price is very important to the existence and development of stock market. It is also the basis for investors to obtain reasonable and legitimate investment returns, which plays a positive role in the regulation and maturity of the securities market. Under the guidance of modern financial theory and modern statistical theory, this paper takes the rate of return of Shenzhen gem index and NASDAQ index as the research object, and adopts the method of combining the statistical analysis with the empirical analysis of ARCH family model. The volatility of yield of two market indexes is compared and studied. Firstly, this paper briefly describes the current research situation of stock market volatility at home and abroad, and introduces the definition of volatility. The main characteristics of stock market volatility include the agglomeration of volatility, leverage effect and persistence, etc. This paper studies the measurement methods of volatility, including descriptive statistics and ARCH family models, and focuses on the determination of volatility persistence, leverage effect and the relationship between return and risk in ARCH family model. Then it studies the performance of Shenzhen gem index and NASDAQ index, analyzes the trend of different periods in stages, and then selects the samples used in the empirical analysis and tests. Using different ARCH family models to analyze the volatility of gem in China and the United States, including volatility persistence, volatility leverage and the relationship between return and risk. This paper analyzes the causes of the volatility differences between China and the United States from the aspects of investor behavior, trading system, issuance system and delisting system, and finally draws a conclusion and puts forward corresponding suggestions.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F837.12

【参考文献】