上证指数波动动态特性与驱动性因素分析

发布时间：2018-04-27 19:00

本文选题：上证指数 + 趋势分解　；参考：《天津财经大学》2012年硕士论文

【摘要】：股票市场波动变幻莫测,处于一种无规则,随机变化的混沌状态,当外界条件发生变化时,有时一些微小的改变则能引起“蝴蝶效应”,掀起“轩然大波”,波及整个市场,造成整个股市的大幅震荡,甚至会造成股市崩溃。尽管如此,股市涨跌自有其规律,波动的背后也必然有其驱动因素。因此,探究股票指数的波动特性及其驱动因素就显得尤为必要。本文从国内宏观经济,行业指数以及国外因素三个层面来分析上证指数的波动动态特性及其驱动因素。在研究过程中,首先,基于2002年1月至2011年12月的月度数据采用HP滤波趋势分解法探讨经济增长周期与上证指数波动的关系。其次,选取上证A股市场市值60%以上的五大行业板块指数和上证指数的周线分析各行业指数对上证指数的驱动作用,发现五大行业板块指数与上证指数有协整性关系。最后,基于美元流动性、CRB、美元指数、标准普尔指数和汇率、利率、货币供应量、CPI、产出缺口以及上证指数的2006年1月至2011年12月的月度数据构建SVAR模型分析上述变量对上证指数波动的驱动。在上述定性与定量分析的基础上得出如下结论：(1)上证指数以宏观经济为背景,以宏观经济政策为导向,以五大行业指数为动力进行波动,上证指数与房地产指数、金融行业指数、煤炭石油指数与化工化纤指数具有联动性以及(2)上证指数对美元流动性、货币供应量、标准普尔指数和汇率的变化产生正向响应,对国际大宗商品价格指数、美元指数、通货膨胀和利率变化产生负向响应。论文根据所得结论提出政府宏观调控稳定股票市场的建议和对投资者适时止盈止损的投资决策建议。
[Abstract]:The volatility of the stock market is unpredictable, and it is in a state of chaos that is irregular and random. When the external conditions change, sometimes some minor changes can lead to the "butterfly effect", causing a "huge uproar" and affecting the entire market. Cause the whole stock market the big shock, even can cause the stock market to collapse. Nevertheless, the stock market ups and downs have their own laws, volatility behind the inevitable driving factors. Therefore, it is necessary to explore the volatility of stock index and its driving factors. This paper analyzes the dynamic characteristics and driving factors of Shanghai Stock Exchange Index from three aspects: domestic macro economy, industry index and foreign factors. Firstly, based on the monthly data from January 2002 to December 2011, the relationship between the economic growth cycle and the volatility of Shanghai Stock Exchange Index is discussed by using HP filter trend decomposition method. Secondly, the paper analyzes the driving effect of each industry index on Shanghai Stock Exchange Index by selecting five industry sector index and Shanghai stock index whose market value is more than 60%, and finds that there is a cointegration relationship between the five major industry sector index and Shanghai Stock Exchange Index. Finally, based on US dollar liquidity, CRB, US dollar index, S & P index and exchange rate, interest rate, Money supply, output gap and monthly data of Shanghai Stock Exchange Index from January 2006 to December 2011. The SVAR model is used to analyze the driving force of the above variables on the volatility of Shanghai Stock Exchange Index. On the basis of the above qualitative and quantitative analysis, the following conclusions are drawn: the Shanghai Stock Exchange Index is based on the macroeconomic background, the macroeconomic policy oriented index, the five industry indices as the driving force, the Shanghai Stock Exchange Index and the Real Estate Index. The financial industry index, the coal oil index and the chemical fiber index are linked and the Shanghai Stock Exchange Index has a positive response to the changes in US dollar liquidity, money supply, Standard & Poor's Index and exchange rate, and to the international commodity price index. Dollar index, inflation and interest rate changes have a negative response. According to the conclusions, the paper puts forward the suggestions of government macro-control and stabilization of stock market and the investment decision of investors to stop earnings and stop losses in good time.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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