创业板市场与主板市场联动和跳跃研究

发布时间：2018-03-11 05:08

本文选题：沪深300指数　切入点：创业板指数　出处：《南京大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着国民经济的不断发展,我国金融体系和金融制度不断完善,多层资本市场逐渐建立,多层次资本市场协同与互补作用越来越明显。而随着金融体系和多层资本市场的不断完善,资本市场之间联系日趋增强,各证券市场呈现出协同的趋势。研究证券市场问联动性有利于投资者进行良好的投资则和分析,资产定价及金融风险度量,因此关于证券市场联动性的研究在金融研究与相关应用上的作用越来越重要。本文选取主板市场与创业板市场作为研究对象,来考察二者的相关关系,一方面由于我国创业板市场成立时间相对较短,研究创业板市场与主板市场的相互关系,有利于投资者了解我国多层资本市场之间的相互关系,另一方面关于我国创业板的相关研究尤其是关于市场联动之间的研究相对较少,研究创业板与主板之间的联动跳跃关系具有一定创新。本文研究了创业板市场与主板市场的联动与跳跃情况,分别以沪深300指数与创业板指数2010年6月1日到2012年3月31日的日度数据和2011年7月1日到2012年3月31日的5分钟高频数据。首先研究二者的联动关系,通过Granger检验方法,Johansen协整模型检验,BEKK-GARCH模型来检验二者是否存在长期均衡关系及收益率溢出效应与波动率溢出效应；其次运用两种非参数检验方法分别研究二者的跳跃现象。结果显示创业板指数与沪深300指数不存在长期的协整关系：但沪深300指数对创业板存在着单向的收益溢出效应,这与主板市场与创业板市场在多层次资本市场中的地位密不可分；同时创业板与主板市场存在着双向的波动溢出效应,沪深300指数对创业板指数的波动溢出更多的是前期波动率对当期条件方差的影响,而创业板指数对沪深300指数的波动溢出更多的是由于创业板市场有关波动的信息对沪深300当期条件方差的影响。结果同时显示主板市场与创业板市场存在着明显的跳跃与联合跳跃现象,且在大多数时间内二者呈现出联合跳跃的情况。
[Abstract]:With the continuous development of the national economy, China's financial system and financial system have been continuously improved, and the multi-tiered capital market has been gradually established. The synergies and complementarities of multi-level capital markets are becoming more and more obvious. However, with the continuous improvement of the financial system and the multi-tier capital markets, the links between the capital markets are becoming stronger and stronger. There is a synergistic trend in various securities markets. Studying the linkage of securities markets is conducive to good investment and analysis, asset pricing and financial risk measurement. Therefore, the research on the linkage of the securities market plays an increasingly important role in the financial research and related applications. This paper selects the main board market and the gem market as the research object to investigate the correlation between the two. On the one hand, because the gem market of our country is relatively short, studying the relationship between the gem market and the main board market is helpful for investors to understand the interrelation between the multi-layer capital market of our country. On the other hand, there are few researches on the relationship between the gem and the main board, especially on the market linkage. The research on the relationship between the gem and the main board is innovative. This paper studies the linkage and jump between the gem market and the main board market. Based on the daily data of CSI 300 index and gem index from June 1st 2010 to March 31st 2012, and the 5-minute high frequency data from July 1st 2011 to July 1st 2011, the paper first studies the relationship between them. The Granger test method Johansen cointegration model is used to test the BEKK-GARCH model to test whether there is a long-term equilibrium relationship, yield spillover effect and volatility spillover effect. The results show that there is no long-term cointegration relationship between the gem index and the CSI 300 index: but the CSI 300 index has one-way income spillover effect on the gem. This is closely related to the position of the main board market and the growth enterprise market in the multi-level capital market, and at the same time, there are two-way volatility spillover effects between the growth enterprise market and the main board market. The volatility spillover of Shanghai and Shenzhen 300 index to gem index is more about the influence of the former volatility rate on the conditional variance of the current period. However, the volatility spillover of gem index to CSI 300 index is more due to the influence of the fluctuation information of gem market on the conditional variance of CS300 market in the current period. The results also show that there are obvious differences between the main board market and the gem market. Jump and joint jump, And for most of the time, the two show a joint jump.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】