我国中小板综指的非对称性和相关性研究

发布时间：2018-03-29 03:15

本文选题：有效市场理论　切入点：中小板综指　出处：《浙江师范大学》2013年硕士论文

【摘要】：作为创业板的一种过渡形式,中小企业板已成功运行六年。作为中国多层次资本市场探索的重要实践,中小企业板市场在创立初期与主板市场极为接近,因而可以借鉴我国股票市场的分析来研究中小企业板。笔者在中小板市场日益成熟的情况下,选取中小板综指(399101)每日的收盘指数作为样本序列进行检验,数据选取2006年1月24日至2011年5月23日,除去周末两日及特殊的国内节假日,一共具有1293个数据点,数据来源于中信金通证券有限责任公司。本文第一、二两章主要先介绍了论文的研究思路及涉及的一些金融模型理论,第三章主要阐述了中小板综指的非对称性研究,对中小板综指建立随机游走模型,发现其残差序列具有ARCH效应,通过GARCH-M模型说明均值方程中的条件标准差σt的系数估计值为正数,即中小板综指的收益率应该与其风险成正比,对于风险较高的资产,投资者要求获得较高的收益从而为所承担的高风险进行补偿。GARCH-M模型的条件方差方程说明中小板综指的波动冲击影响会持续很长一段时间才会逐渐衰减。通过EGARCH模型绘制出相应的信息曲线,表明同等程度下,利空消息比利好消息对中小板综指的冲击波动更大一些。利用非对称CARCH漠型估计结果表明这种非对称效应只是暂时的。最后利用EGARCH模型和非对称CARCH模型进行预测,对比两者的AIC,SC和对数似然值,得出与EGARCH模型相比,非对称CARCH模型的对数似然值有所增加,而AI、SC值有所减小,故实际中用非对称CARCH模型比EGARCH模型的预测效果更好。在第四章相关性研究过程中,利用VAR模型研究了中小板综指与上证指数、深证成指、恒生指数、B股指数的相关性影响。研究发现我国中小板综指与上证指数、深证成指、恒生指数、B股指数具有良好的长期均衡关系,运用Granger长短期因果分析说明短期内中小板综指只与上证指数、深证成指具有双向因果关系,但从长期的角度来看,上证指数、深证成指、恒生指数、B股指数均是中小板综指价格变化的重要影响因素；脉冲响应函数说明当中小板综指受到波动时,上证指数的影响最小。而上证指数和深证成指产生的冲击对中小板综指具有较长时间的影响；方差分解结果表明中小板市场的运行风险对上证指数产生的影响并不大,上证指数和深证成指的波动对中小板综指有明显的影响。通过对我国中小板综指的非对称性及相关性研究,得出中小板股票市场拒绝弱式有效假设的主要原因是投资者缺乏理性,”噪声交易者”的存在使得股市产生非对称性。在中小板盈利前景风险犹存的情况下,希望此分析结果能给投资者和政策制定者带来一定启示。
[Abstract]:As a transitional form of the gem, the SME Board has been running successfully for six years. As an important practice in the exploration of the multi-level capital market in China, the SME Market was very close to the main Market at the beginning of its establishment. Therefore, we can learn from the analysis of Chinese stock market to study the small and medium-sized enterprise board. Under the condition that the small and medium-sized board market is maturing day by day, the author selects the closing index of the small and medium-sized board composite index 399101) as the sample sequence to test. The data are selected from January 24, 2006 to May 23, 2011. Apart from the weekend and special domestic holidays, there are 1293 data points, which come from CITIC Jintong Securities Co., Ltd. The first and second chapters of this paper mainly introduce the research ideas and some financial model theories, the third chapter mainly describes the asymmetric study of the small and medium-sized board composite index, and establishes a random walk model for the small and medium-sized board composite index. It is found that the residual sequence has ARCH effect, and the GARCH-M model shows that the coefficient estimate of conditional standard deviation 蟽 t in the mean equation is positive, that is, the return rate of the composite index of small and medium-sized plates should be proportional to its risk, and for the assets with higher risk, the return rate of the composite index of small and medium plate should be proportional to its risk. The conditional variance equation of the GARCH-M model shows that the impact of the fluctuation shock of the medium and small board composite index will last for a long time before gradually attenuating through the EGARCH model. Type to draw the corresponding information curve, Indicating that, to the same extent, The shock volatility of bearish news is larger than that of good news. The asymmetric CARCH desert estimation results show that this asymmetric effect is only temporary. Finally, the EGARCH model and asymmetric CARCH model are used to predict the impact. Compared with EGARCH model, the logarithmic likelihood value of asymmetric CARCH model is increased, and the value of CARCH SC is decreased. Therefore, the prediction effect of asymmetric CARCH model is better than that of EGARCH model in practice. In the fourth chapter, we use VAR model to study the correlation between medium and small board composite index and Shanghai Stock Exchange Index, Shenzhen Stock Exchange Composite Index, Hang Seng Index, B share Index, and find out that China small and medium Board Composite Index and Shanghai Stock Exchange Index, Shenzhen Composite Index, Shenzhen Stock Exchange Composite Index. Hang Seng Index and B share Index have good long term equilibrium relationship. Using Granger long and short term causality analysis, it is shown that in the short and short term, the medium and small board composite index only has a two-way causal relationship with the Shanghai Stock Exchange Index, but from a long-term perspective, the Shanghai Stock Exchange Index has a two-way causality relationship. The Shenzhen Composite Index, Hang Seng Index and B share Index are all important factors that affect the price change of the small and medium board composite index, and the pulse response function shows that when the medium and small board composite index is fluctuated, The impact of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Composite Index is the least, while the impact of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Composite Index has a long time effect, and the variance decomposition results show that the operating risk of small and medium board market has little effect on Shanghai Stock Exchange Index. Shanghai Stock Exchange Index and Shenzhen Composite Index volatility on the small and medium board composite index has a significant impact. Through the research on asymmetry and correlation of Chinese medium and small board composite index, It is concluded that the main reason why the small and medium-sized board stock market rejects the weak efficient hypothesis is that the investors lack rationality and the presence of "noise trader" causes the stock market to produce asymmetry. Hope this analysis result can bring certain enlightenment to investor and policy maker.
【学位授予单位】：浙江师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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