我国股票市场分形特征研究

发布时间：2018-02-16 16:22

本文关键词： 分形理论 Hurst指数循环周期上市银行　出处：《安徽财经大学》2015年硕士论文　论文类型：学位论文

【摘要】：传统的资本市场理论都是基于有效市场假定而发展起来的。然而近几年发生的金融危机和重大金融异常现象,都不能用有效市场理论去阐释。为了弥补此理论存在的缺陷,一种新型的理论便应用而生-分形理论。在文中,使用了Eviews、Spss和Matlab等分析工具,将上证综指和深证成指这两种指数作为本文的研究对象,对其日收益率进行实证检验,选取股市建市时至2014年5月30日的时间区间。最终验证出中国股市不满足正态分布,呈现出显著的分形特征,并计算出两市场的循环周期,通过扰乱检验验证了仅仅位于循环周期内的Hurst值才是序列真实的Hurst值。在实证检验的过程中,发现上海股票市场比深圳股票市场具有更明显的“尖峰厚尾”态势,前者循环周期内的Hurst值比后者要大,代表前者具有的长记忆性程度比后者更强；并得出了两股市的周期长度,分别为330个交易日和493个交易日,表明深圳股票市场长记忆性的时间更长；为了将理论与实际紧密结合起来,在分形理论的基础上对银行股的风险度量进行了研究。以16家上市银行的个股为标的,利用Hurst指数结合VaR和极差M构造出风险综合评价指标,利用该指标对16只股票的市场风险情况进行度量并进行风险等级的排名,得出了我国16家上市银行的市场风险大小情况；另外将这16家上市银行按性质不同进行了分类,再次进行市场风险的综合度量,实现了理论与实际的结合,为投资者选股提供了一种参考依据；最后针对实证结果和得出的结论,站在投资者的角度分别从三个方面提出了一些对策建议。
[Abstract]:The traditional capital market theory is based on the efficient market hypothesis. However, the financial crisis and major financial anomalies in recent years can not be explained by the efficient market theory. A new type of theory is then applied to the fractal theory. In this paper, the Shanghai Composite Index and the Shenzhen Composite Index are taken as the research objects by using the tools of EviewsSpss and Matlab, and the daily rate of return is tested empirically. The time interval between the establishment of the stock market and May 30th 2014 is selected. Finally, it is verified that the Chinese stock market does not satisfy the normal distribution, showing significant fractal characteristics, and the cycle cycle of the two markets is calculated. The disturbance test verifies that only the Hurst value located in the cycle cycle is the real Hurst value of the sequence. In the process of empirical test, it is found that Shanghai stock market has a more obvious "peak and thick tail" trend than Shenzhen stock market. The Hurst value in the former cycle is larger than that in the latter, which means that the former has a stronger degree of long memory than the latter. The cycle length of the two stock markets, 330 trading days and 493 trading days, respectively, shows that the Shenzhen stock market has a longer period of long memory; in order to combine theory with practice, On the basis of fractal theory, this paper studies the risk measurement of bank shares. Taking the individual shares of 16 listed banks as the target, a comprehensive risk evaluation index is constructed by using Hurst index combined with VaR and range M. Using this index to measure and rank the market risk of 16 stocks, the market risk of 16 listed banks in China is obtained, and the 16 listed banks are classified according to their nature. Thirdly, the comprehensive measurement of market risk is carried out, and the combination of theory and practice is realized, which provides a reference for investors to choose stocks. Finally, according to the empirical results and conclusions, Standing in the perspective of investors, respectively from three aspects to put forward some countermeasures.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.51

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