金融危机背景下中国股市收益波动率研究

发布时间：2018-05-14 17:37

本文选题：金融危机 + 收益率　；参考：《成都理工大学》2012年硕士论文

【摘要】：2007年以来，美国的次贷危机不断蔓延扩展，一场局部的信贷危机蔓延到债券市场，演变为系统性的金融危机，又从美国席卷到全球，演变成为全球性的金融危机，最终蔓延到实体经济，演变成为经济危机。全球性金融危机爆发以来，中国金融市场的整体表现要优于发达经济体，但是，“覆巢之下，焉有完卵”，在经济金融全球化程度不断提高、虚拟经济与实体经济关联日益紧密的今天，任何国家的金融市场都不能在全球性金融危机及经济衰退的大环境中独善其身，而中国作为国际政治经济体系中的一个重要组成部分，更是一个经济对外依存度接近70%的新兴经济体，全球性金融危机对中国金融市场的间接影响是全方位而且是久远的。就中国股票市场的发展而言，在金融经济全球化发展的背景下，由于全球经济运行不确定性的冲击以及中国自身诸多制度性、体制性和历史性因素的制约，上市公司效益严重下滑，导致股票市场的运行处于剧烈的波动之中，呈现出较强的非理性特征。截至2009年9月，尽管中国宏观经济运行出现了止跌企稳的迹象，积极向好因素不断积累，但是，，整体经济回稳复苏的基础依然脆弱，未来中国金融经济的发展还面临着很大的不确定性。基于此，笔者通过对上证指数的实证分析，研究金融危机对投资者情绪的影响，以及金融危机对收益率和波动率的影响。为此，笔者提出了用交易量的对数变化作为投资者情绪的度量方法，并将投资者情绪作为回归因子引入EGARCH模型中，对EGARCH模型作出调整。然后将上证指数的收益率序列分为金融危机之前、金融危机期间和金融危机之后三个阶段，分别对三个阶段的收益率序列建立调整的EGARCH模型，通过金融危机之前、金融危机期间和金融危机之后三个阶段的EGARCH模型的比较，更加直观地分析金融危机对投资者情绪、收益率和波动率的显著影响。最后，笔者再对三个阶段的收益率序列建立原始的EGARCH模型，然后从预测能力和风险刻画能力两个方面对两类模型进行评价，考察EGARCH模型调整后是否更优。 Baker, Malcolm＆Stein(2004)认为市场的流动性反映了投资者的情绪，而市场的流动性在股票市场最直观的体现就是交易量的变化。笔者提出用交易量的对数变化度量投资者情绪，数据客观、真实、有效，覆盖全面，获取方便，并且具备一些较好的统计特征，更加有利于我们处理分析数据。通过对模型的评价，我们发现，在金融危机这一特殊时期，将投资者情绪作为回归因子引入EGARCH模型，明显优化了模型。但是在金融危机之前，原始的EGARCH模型较调整的EGARCH模型更优。建立模型的目的不同，经济的背景不同，都会导致模型的优劣程度不同，我们在实践中需要寻找的是满足当前需要的最优模型，而不必强求该模型在任意条件下都是最优的。通过对波动率模型的分析，我们发现，金融危机时期，市场风险最大，在同等风险水平下，收益率最低，而且投资者情绪对收益率的影响最大，持续时间最长。另外一方面，许多投资者亏损破产，市场上风声鹤唳，负面信息对波动率的冲击达到最大，波动率对正面信息的敏感程度迅速下降，波动率的“杠杆效应”明显加剧。金融危机之后，一方面，通过国家的宏观调控和政策干预，金融危机的影响逐步消除，投资者重拾信心，不再一听到“坏消息”就争相抛售股票，负面信息对波动率的冲击迅速下降；另一方面，经过金融危机的洗礼，投资者变得更加谨慎，不再一听到“好消息”就盲目跟风，导致波动率对正面信息的敏感程度比金融危机时期和金融危机之前都要低，这意味着投资者群体趋向理性。除此之外，金融危机之后，市场风险明显降低，同等风险条件下，收益水平明显上升；前期波动项的系数更加接近1，这说明股市的记忆性增强；投资者情绪对收益率的影响明显减小，而且持续时间更短。这一切都预示着，经过金融危机的洗礼，中国股市更加成熟，投资者更加趋于理性。
[Abstract]:Since 2007 , the US subprime mortgage crisis has spread , a local credit crisis spread to the bond market , has evolved into a systemic financial crisis , and has evolved into a global financial crisis , which eventually spread to the economic crisis . Since the global financial crisis broke out , China ' s financial market could not be alone in the global financial crisis and the economic recession . However , China , as an important part of the international political and economic system , is more than 70 % of the economy ' s external dependence . The indirect effect of the global financial crisis on China ' s financial market is all - round and long - distance .

With the development of China ' s stock market , under the background of the globalization of financial economy , due to the impact of the uncertainty of global economic operation and the institutional , institutional and historical factors of China ' s own many institutional , institutional and historical factors , the benefits of listed companies have been severely reduced . As of September 2009 , the foundation of the overall economic recovery is still fragile , and the future of China ' s financial economy faces great uncertainty .

Based on this , the author analyzes the influence of financial crisis on investor sentiment and the effect of financial crisis on the yield and volatility .

The market liquidity reflects the investor ' s mood , and the market ' s liquidity in the stock market reflects the change of the trading volume . The author puts forward that the investor sentiment as a regression factor is better than the adjusted EGARCH model in the special period of the financial crisis .

Through the analysis of the volatility model , we find that the market risk is the most at the time of the financial crisis . At the same level of risk , the yield is the lowest , and the investor sentiment has the largest effect on the yield , and the duration is the longest . On the other hand , many investors lose the bankruptcy , the market has the most influence on the volatility , and the volatility of the volatility is the most sensitive to the positive information , and the " leverage effect " of the fluctuation rate is obviously intensified .

After the financial crisis , on the one hand , through the macro - control and policy intervention of the country , the impact of the financial crisis is gradually eliminated , and the investor returns confidence , no longer hears the " bad news " to sell the stock , and the impact of the negative information on the volatility rapidly drops ;
On the other hand , after the financial crisis , investors become more cautious , no longer hear the " good news " blindly follow the wind , leading to the volatility of the sensitivity to the positive information is lower than before the financial crisis and the financial crisis , which means that the investor group tends to be rational . Besides , after the financial crisis , the market risk is obviously reduced , and under the same risk condition , the income level is obviously increased ;
The coefficient of the earlier fluctuation item is closer to 1 , which indicates that the memory of the stock market is enhanced ;
The effect of investor sentiment on yields is significantly reduced , and the duration is shorter . This is a sign that Chinese stocks are more mature and investors tend to be more rational through the financial crisis .

【学位授予单位】：成都理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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