中国股票市场的非交易时段信息及其投资价值的研究

发布时间：2018-01-06 05:26

本文关键词：中国股票市场的非交易时段信息及其投资价值的研究　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：中国股票市场的交易时段只为每个工作日的四个小时,而非交易时段占到整个投资周期的六分之五以上；同时,在中国的股票市场,众多的宏观经济数据、央行的货币政策以及上市公司的重要公告都是在非交易时段进行发布,这是为了避免这些信息在交易时段对股价造成大幅波动的影响。虽然在非交易时段,投资者不能够进行投资操作,但是这些信息不仅影响着股票在非交易时段后的开盘价格,而且也会对之后的交易时段股票的走势造成一定的影响。因此,对非交易时段的信息以及它的经济含义的研究是十分必要和有意义的。本论文主要是分为三个部分去研究：首先,为了研究非交易时段信息对交易时段的收益及波动性,论文建立了GARCH(1,1)模型,分别检验了沪深两市的综合非交易时段以及分类型非交易时段对交易时段收益即波动性的影响,结果显示,两市的非交易时段对交易时段的收益与风险影响显著,且深市的影响程度较大；接着,为了研究非交易时段对整个投资周期的风险的贡献,论文建立了EVT-Copula-VaR以及C-VaR模型,分别实证检验了沪市以及港市非交易时段的贡献度,结果显示,两市非交易时段的风险贡献度较大,且港市较沪市更大;最后,为了检验使用了非交易时段信息的投资组合更为有效,论文建立了均值-方差投资组合模型,模拟了上证50,深证100以及上证180三只ETF构成组合的有效前沿,结果显示,考虑了非交易时段的投资组合,其有效前沿位于其他组合的左上方,更为有效。
[Abstract]:China's stock market has only four hours of trading time per working day, while non-trading periods account for more than 5/6 of the entire investment cycle. At the same time, in China's stock market, numerous macroeconomic data, the central bank's monetary policy and important announcements of listed companies are issued during non-trading hours. This is to avoid the impact of this information on stock prices during trading hours, although investors are not allowed to make investments during non-trading hours. However, these information not only affect the opening price of stocks after the non-trading period, but also affect the trend of the stock after the trading period. It is necessary and meaningful to study the information of non-transaction period and its economic meaning. This paper is mainly divided into three parts to study: first, in order to study the return and volatility of non-trading period information on the trading period, the paper establishes the GARCH1) model. The effects of the comprehensive non-trading period and the sub-type non-trading period on the volatility of the trading period in Shanghai and Shenzhen stock markets are tested respectively. The results show that. The non-trading period of the two markets has a significant impact on the return and risk of the trading period, and the impact of the Shenzhen market is greater; Then, in order to study the risk contribution of non-trading period to the whole investment cycle, the paper establishes EVT-Copula-VaR and C-VaR model. The results show that the risk contribution of the two markets is greater than that of the Shanghai stock market, and the Hong Kong market is bigger than the Shanghai stock market. Finally, in order to test the efficiency of using the information of non-trading period, the paper establishes the mean-variance portfolio model and simulates the Shanghai Stock Exchange 50. Shenzhen Stock Exchange 100 and Shanghai Stock Exchange 180 three ETF constitute the effective frontier of the portfolio. The results show that considering the non-trading period of the portfolio, its effective frontier is located in the upper left of the other portfolio, which is more effective.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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