基于风险价值模型对我国证券投资者影响的实证研究

发布时间：2018-01-04 20:10

本文关键词：基于风险价值模型对我国证券投资者影响的实证研究　出处：《青岛理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国股票市场在经历了二十多年的进步和发展,取得了举世瞩目的成就,但随着市场规模的不断扩大、交易品种的不断增多、参与人数的不断增加,投资者将要面临着日益多样化和复杂化的风险。“投资有风险,入市需谨慎”这句家喻户晓的话,一方面提醒了广大投资者将要面对的投资风险,另一方面也说明我们要正确的衡量和有效的把握风险。这一点是投资者持续关注的重点,也是金融机构和监管部门建立风险管理体系的核心所在。围绕股票市场风险管理的这一论点,学术界曾经提出过许多风险度量的方法和技术,目前,最新、最流行的度量风险的方法是由G30、JPMorgan (JP摩根)提出的VaR方法。它更加准确和科学的衡量了股票市场的风险,并能广泛应用到其计量和管理当中,已发展成为国际通用的金融风险管理的新标准。使用VaR方法来分析和研究股票市场的风险,国外已经有了较为成熟和完善的研究理论,计算的方法也层出不穷。相较国外而言,国内的研究则相对比较落后,但随着近几年投资产品数量的不断增多、投资方式的不断创新,股票市场的风险也日益增加。因此,我们有必要对VaR方法做更深一步的探讨和研究,丰富VaR方法分析风险。本文从理论与实证相结合的方法,两个方面阐述了VaR方法的内容及其在我国股票市场中的应用。首先,从理论角度介绍了VaR的基本涵义、特点、目前采用的计算方法以及国内外相关的研究结果和现实结论；其次,通过实证分析的方式,采集数据后应用和分析了VaR方法在我国股票市场风险度量中的应用,进而判断出该风险对投资者的影响；最后,通过建立VaR计算模型,能够更加准确地衡量股票市场的风险损失,也为投资者设置合理的止损位提供了依据,其结果既能有效规避市场风险,又能防止过度投资,提高资金使用率和准确率,也是体现了论文研究的真正价值核心所在。
[Abstract]:China stock market after more than 20 years of development and progress, has made remarkable achievements, but with the growing size of the market, trading varieties increased, increasing the number of people involved, investors will face the risk of increasingly diverse and complex. The investment risks, the market need to be cautious, "this sentence on the one hand it known to every family, to remind the majority of investors will face the risk of investment, on the other hand also shows that we should correctly evaluate and effectively grasp the risk. This is the focus of investors sustained attention, but also the core of financial institutions and regulatory authorities to establish a risk management system. The thesis focuses on the stock market the risk management, the academic circles have put forward many methods and techniques of risk measurement at present, a new method to measure the risk, the most popular is composed of G30, JPMorgan (JP Morgan) proposed by Va R method, which is more accurate and scientific in measuring the risk of stock market, and can be widely applied to its measurement and management, has developed into a new international standard for financial risk management.
To analyze and study the risk of the stock market using the VaR method, has a more mature research theory and improvement of calculation method. Compared with foreign countries also emerge in an endless stream, the domestic research is relatively backward, but with the number of investment products in recent years, increasing innovation, investment, risk of stock market more and more. Therefore, it is necessary for us to make a deeper study and Research on the VaR method, rich VaR risk analysis method.
This method from theory and empirical study, the two aspects of the contents of the VaR method and its application in China's stock market. Firstly, from a theoretical point of view, this paper introduces the basic meaning, the characteristic of VaR, the calculation method used at present and the research results at home and abroad and practical conclusion; secondly, through the empirical analysis the way of data collection and application analysis of the application of VaR method in the Chinese stock market risk measurement, and then judge the effect of the risk to investors; finally, through the establishment of VaR model can more accurately measure the risk of stock market losses, but also for investors to set reasonable stops provide the basis as a result, not only can effectively avoid market risk, but also to prevent excessive investment, improve capital efficiency and accuracy, but also reflects the true value of the research core.

【学位授予单位】：青岛理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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