我国股市资产价格系统风险的实证研究

发布时间：2018-04-01 23:21

本文选题：股市系统风险　切入点：趋势理论　出处：《湘潭大学》2012年硕士论文

【摘要】：股市系统风险一直都是学者们争相关注的焦点，也是投资者作出决策的主要依据，但是以往的研究主要集中对个股系统风险的研究，对宏观股市系统风险的研究较少，并且大多采用规范研究，没有对影响整个股市系统风险的因素作出定量判断。本论文在参考以往文献的基础上，根据投资理论，建立实证模型，定量的研究影响宏观股市系统风险的因子。本文的主要内容简述如下：（1）股市资产价格系统风险的理论研究，以已有的投资理论为基础，找出可能影响股市系统风险的因素，设计实证研究模型。（2）选取深市A股指数中典型的波段为研究对象，对各波段中变量的数据进行计算，包括风险的度量，波峰整体市盈率、市净率的计算等，得出模型所需数据。（3）根据投资理论建立多元线性回归模型，利用SPSS统计软件进行数据处理，得出实证结果并进行显著性检验，定量的得出各个变量对股市系统风险的影响。（4）将实证结果与理论预测对比，找出差异原因，分析我国股市的影响因子及股市的特征，，提出规避股市风险的建议。本文着重于对股市系统风险的影响因子进行实证分析，创新性的选取股指下降幅度作为风险的度量因子，并且开拓性运用股指上升幅度和上升时间代表趋势理论，定量的计算出趋势理论对股市系统风险的影响，为投资者决策提供了新的思路和方法。
[Abstract]:Stock market systemic risk has always been the focus of scholars' attention, and it is also the main basis for investors to make decisions. However, previous studies mainly focus on the individual stock system risk, but the macro stock market system risk is less studied.And most of the normative research, there is no quantitative analysis of the risk factors affecting the whole stock market system.Based on the previous literatures, this paper establishes an empirical model according to the investment theory, and quantitatively studies the factors that affect the risk of the macro stock market system.The main contents of this paper are as follows:Based on the existing investment theory, this paper finds out the factors that may affect the systemic risk of stock market, and designs an empirical research model.(2) A typical wave band in Shenzhen A-share index is selected as the research object, and the data of variables in each band are calculated, including the measurement of risk, the whole price-to-earnings ratio of wave peak, the calculation of price-to-book ratio and so on, and the data needed by the model are obtained.3) based on the investment theory, the multivariate linear regression model is established, and the data are processed by the SPSS statistical software. The empirical results are obtained and the significance test is carried out, and the influence of each variable on the stock market system risk is obtained quantitatively.4) compare the empirical results with the theoretical prediction, find out the reasons of the difference, analyze the influencing factors and the characteristics of the stock market in our country, and put forward some suggestions to avoid the stock market risk.This paper focuses on the empirical analysis of the influencing factors of stock market system risk, and innovatively selects the decline of stock index as the measure of risk, and makes pioneering use of the theory of index rising range and rising time to represent the trend.The influence of trend theory on stock market system risk is calculated quantitatively, which provides a new way of thinking and method for investors to make decisions.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F830.42

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