异质信念对中国A股市场后市极端风险的冲击效应研究

发布时间：2018-05-21 19:55

本文选题：异质信念 + 卖空限制　；参考：《浙江工商大学》2013年硕士论文

【摘要】：基于中国A股股票市场的卖空限制、涨跌停板和T+1交易制度约束的这三大实际,本文将异质信念引入到条件分位数自回归CAViaR模型AS形式中,构建异质信念调整的受限条件分位数自回归模型,从综合指数和微观个股两个层面对中国A股股票市场后市极端风险VaR的异质信念冲击效应展开相关研究。研究结果表明：在卖空限制和T+1交易制度的双重约束下,不论是在综合指数层面,还是在微观个股层面,异质信念对中国A股股票市场后市极端风险VaR的冲击效应都是非常显著的。首先,从综合指数层面看,沪市A股的后市极端风险VaR主要受负向异质信念冲击的影响,而深市A股的后市极端风险VaR则更容易受到正向异质信念冲击的影响。因此,在股票价格上涨时,深市的A股投资者应注意正向异质信念对深证A股市场后市极端风险VaR的冲击效应,而在价格下跌时,沪市A股的投资者则应注意负向异质信念对上证A股市场后市极端风险VaR的冲击效应。其次,从微观个股层面看,大部分A股个股的后市极端风险VaR主要受极端风险VaR一阶自相关项、正向异质信念冲击和负向价格惯性三大因子的影响,而相对来说,负向异质信念冲击因子和正向价格惯性两个因子则仅对小部分A股个股的后市极端风险VaR产生影响。因此,投资者在考虑市场次日极端风险的时候,应着重考虑极端风险VaR的一阶自相关项、正向异质信念冲击因子和负向价格惯性这三大影响因子,特别是在股票价格上涨时,如果伴随着高换手率,应特别注意正向异质信念对次日市场极端风险的冲击效应。最后,正向异质信念对我国A股市场个股后市极端风险VaR的冲击效应还存在明显的规模差异.正向异质信念对A股个股后市极端风险VaR的冲击力度和个股流通市值大小成负向相关关系。如果某只股票的流通市值越小,则其后市极端风险VaR更容易受到异质信念的冲击。因此,当一只流通市值相对较小的股票价格出现上涨时,并且伴随着高换手率,投资者和相关的监管机构应特别警惕异质信念对其未来风险的冲击效应。
[Abstract]:Based on the three realities of short selling restriction, fluctuation limit and T1 trading system constraint in Chinese A-share stock market, this paper introduces heterogeneous beliefs into conditional quantile autoregressive CAViaR model as. This paper constructs a restricted conditional quantile autoregressive model of heterogeneous belief adjustment and studies the heterogeneity belief impact effect of extreme risk VaR in Chinese A-share stock market from two aspects of composite index and micro individual stock. The results show that: under the dual constraints of short selling restriction and T1 trading system, both in the composite index level and in the micro level of individual stocks, The impact of heterogeneous beliefs on VaR in the aftermarket is very significant. First of all, from the perspective of comprehensive index, the VaR of Shanghai A-shares is mainly affected by negative heterogeneity beliefs, while the VaR of Shenzhen A-shares is more vulnerable to the impact of positive heterogeneity beliefs. Therefore, when stock prices are rising, investors in Shenzhen should pay attention to the impact of positive heterogeneity beliefs on VaR, which is extremely risky in the aftermarket of Shenzhen A-share market, and when prices fall, Investors in Shanghai A-share market should pay attention to the impact of negative heterogeneity belief on the VaR of extreme risk in the aftermarket of Shanghai A-share market. Secondly, from the microcosmic stock level, the aftermarket extreme risk VaR of most A-share stocks is mainly affected by the first order autocorrelation of extreme risk VaR, positive heterogeneity belief impact and negative price inertia, but relatively speaking, The negative heterogeneity belief impact factor and the positive price inertia factor only have an effect on the aftermarket extreme risk VaR of a small number of A-share stocks. Therefore, investors should consider the first order autocorrelation of extreme risk VaR, positive heterogeneity belief impact factor and negative price inertia, especially when the stock price is rising, when considering the market next day extreme risk. If it is accompanied by high turnover rate, special attention should be paid to the impact of positive heterogeneity beliefs on the market extreme risks of the next day. Finally, the impact effect of positive heterogeneity belief on VaR in China's A-share market is significantly different. There is a negative correlation between the impact of positive heterogeneity belief on the VaR of extreme risk in the aftermarket of A-shares and the size of market value in circulation. If the circulating market value of a stock is smaller, the VaR is more vulnerable to heterogeneous beliefs. Therefore, when the price of a stock with a relatively small circulating market value rises, and with a high turnover rate, investors and relevant regulators should be particularly wary of the impact of heterogeneity on their future risks.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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