基于微观结构理论的证券市场可预测性研究

发布时间：2018-04-13 02:25

本文选题：微观结构 + 证券市场　；参考：《北京交通大学》2012年博士论文

【摘要】：资本市场作为现代金融的核心,推动着中国经济的持续快速增长。中国证券市场经历了20年发展,其成熟程度及有效性事关资本市场运行的效率,能影响到整个宏观经济的发展。传统的有效市场理论一般认为市场有效性越强,收益越趋近随机游走,可预测性就越差,所以可预测性可以作为有效性的外在表现。同时可预测性作为市场的一个显性的特征,其本身的相关研究也日趋受到学界的关注。目前我国对市场预测性的研究缺乏科学系统化。研究我国市场可预测性,能在关注市场有效性的同时也能进一步挖掘市场预测本身所包涵的经济意义。本文基于证券市场微观结构理论研究,主要考察证券市场微观结构对证券市场可预测性的影响。本文的研究有助于人们理解通过改进证券交易制度,完善信息披露制度等措施可以优化证券市场微观结构,提高我国证券市场运行效率,为我国证券市场交易体系的完善和我国证券市场的长远发展提供依据。从证券市场微观结构理论的角度出发,本文的研究主要包括以下三个方面的内容：(1)选取设立涨跌幅限制和实施开放式集合竞价机制这两个正好贯穿中国证券市场成立20年的事件,采用两种多元方差比法对交易机制与市场预测性进行实证研究,结果表明涨跌幅限制的设立在短期可能提高了市场的有效性,使得收益不可预测；开放式集合竞价的实施并没有改善市场有效性,甚至提高了市场收益预测性。交易机制对市场预测性产生了不可忽视的影响。(2)运用LSB模型对上证指数和万科A的信息成本大小进行度量,结果显示万科A的信息成本远低于上证指数。然后运用BP神经网络模型对它们的每分钟收益率分别进行模拟建立网络,进而预测一段时间的收益率,用预测结果与真实收益率进行比较,发现万科A的预测效果远好于上证指数。市场信息的不对称可能提高了市场可预测性。(3)采用GARCH模型来研究中国股票市场的流动性对价格波动的影响,沿用设置涨跌幅限制前后和实施开放式集合竞价机制前后的沪深市场A股收益为样本,结果表明,弱流动性指标有助于解释波动,流动性与可预测性呈负相关。流动性也扮演了一个影响市场预测性的角色。图60幅,表39个,参考文献169篇。
[Abstract]:As the core of modern finance, capital market promotes the sustained and rapid growth of Chinese economy.China's securities market has experienced 20 years of development, and its maturity and effectiveness have a bearing on the efficiency of the operation of the capital market, and can affect the development of the whole macro economy.The traditional efficient market theory generally holds that the stronger the market efficiency, the closer the return to random walk, the worse the predictability, so predictability can be taken as the external performance of efficiency.At the same time, predictability, as a dominant feature of the market, has attracted more and more attention.At present, the research on market predictability in China is lack of scientific systematization.The study of market predictability in China can not only pay attention to the market efficiency but also further explore the economic significance of the market forecast itself.Based on the theory of microstructure of securities market, this paper mainly studies the influence of microstructure on predictability of securities market.The research in this paper is helpful for people to understand that by improving the securities trading system and perfecting the information disclosure system, we can optimize the microstructure of the securities market and improve the efficiency of the securities market in our country.It provides the basis for the perfection of the trading system of China's securities market and the long-term development of our country's securities market.From the perspective of the microscopic structure theory of the securities market,The research in this paper mainly includes the following three aspects: 1) selecting the two events of setting up the limit of increase and decline and implementing the open collective bidding mechanism, which run through the 20 years of the establishment of China's securities market.The empirical study on transaction mechanism and market predictability by using two multivariate variance ratio methods shows that the establishment of price limit may improve the effectiveness of the market in the short term and make the return unpredictable.The implementation of open collective bidding has not improved the market effectiveness, and even improved the predictability of market returns.The transaction mechanism has an important influence on market predictability. (2) the LSB model is used to measure the information cost of Shanghai Stock Exchange Index and Vanke A. The results show that the information cost of Vanke A is much lower than that of Shanghai Stock Exchange.Then the BP neural network model is used to simulate and set up the network to predict the rate of return for a period of time, and the results are compared with the real rate of return.It is found that the prediction effect of Vanke A is much better than that of Shanghai Stock Exchange.The asymmetry of market information may improve the predictability of the market.) the GARCH model is used to study the effect of liquidity on price volatility in Chinese stock market.The results show that weak liquidity index is helpful to explain volatility and liquidity is negatively correlated with predictability.Liquidity also plays a role in influencing market predictability.There are 60 pictures, 39 tables and 169 references.
【学位授予单位】：北京交通大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】