我国金融市场波动的协同持续研究

发布时间：2018-05-30 15:15

本文选题：波动持续性 + 协同持续关系　；参考：《天津财经大学》2012年硕士论文

【摘要】：金融市场是一个充满风险的市场,金融市场风险在时间序列二阶矩上的表现就是金融市场的波动性(以下简称金融波动性)。诸多的实证研究发现金融波动性具有时变特征和持续性特征。而波动持续性的存在进一步加大了投资者的未来投资收益的风险,因此对波动持续性风险的刻画和规避是投资者投资所必须关心的问题。本文对我国金融市场波动的持续性和协同持续性的研究为波动持续性风险的规避提供了理论和实践指导意义。本文通过对波动模型的建模方法进行梳理的同时,基于协整思想对波动持续性和协同持续性进行了蒙特卡罗模拟实验,进一步对我国上证综合指数和深成指数两大股指进行了波动持续性和协同持续性的实证研究。研究发现：变结构点的存在,使得所建立的波动模型高估了波动的持续性；同时我国上证综合指数和深成指数均具有很高的波动持续性,且两大股指之间不存在协整意义下的线性或非线性协同持续关系,而是表现为波动的阶段性协同持续关系。研究表明,具有很高持续性的一系列资产的组合投资可能降低波动的持续性,从而降低风险。即在进行资产投资时,不再需要研究资产之间的协方差关系,也不是简单的筛选不存在波动持续性的资产进行投资,而是只要选择那些组合后资产不再具有持续性的一组资产即可。即只要选择具有协同持续关系的一组资产进行投资,就可以规避波动持续性带来的风险。同时还发现,在金融市场的波动主要来自外在的宏观的系统风险时,金融资产的波动并不表现为很高的持续性,而当微观的非系统风险对金融波动起关键作用时,金融资产的波动才突显出很高的持续性。本文的创新之处主要表现在以下几点：1、在对波动持续性和协同持续性特征进行蒙特卡罗模拟研究的基础上,对我国最新的股市数据进行了波动持续性及其规避方法的实证研究,认为我国股市存在阶段式的波动持续性和协同持续性关系；2、在对我国股市进行实证研究的基础上,提出了金融波动持续性存在的现实条件。即股指波动的高持续性来自微观的非系统风险。而当宏观的外在系统风险起主导作用时,股指波动的持续性将不是很高。
[Abstract]:Financial market is full of risks. The second moment of financial market risk in time series is the volatility of financial market (hereinafter referred to as financial volatility). Many empirical studies have found that financial volatility has the characteristics of time-varying and persistent. The existence of volatility sustainability further increases the risk of investors' future investment returns, so the characterization and avoidance of volatility persistence risk is the problem that investors must pay attention to. This paper provides theoretical and practical guidance for the study of volatility persistence and synergistic sustainability in financial markets in China. In this paper, the modeling method of wave model is combed, and Monte Carlo simulation experiment of volatility persistence and co-persistence is carried out based on cointegration theory. Furthermore, the volatility and synergistic persistence of Shanghai Composite Index and Shenzhen Composite Index are studied. It is found that the volatility model overestimates the volatility persistence due to the existence of variable structure points, and the Shanghai Composite Index and Shenzhen Composite Index both have high volatility persistence. Moreover, there is no linear or nonlinear synergistic persistence relationship in the sense of cointegration between the two major stock indexes, but a periodic synergistic sustained relationship of volatility. Studies show that portfolio investments with a high degree of sustainability may reduce volatility and thus reduce risk. That is, when investing assets, it is no longer necessary to study the covariance relationship between assets, nor is it simple to screen assets that do not have volatility sustainability to invest. Instead, choose a group of assets that are no longer sustainable. As long as we choose a group of assets with synergetic relationship to invest, we can avoid the risk of volatility persistence. At the same time, it is also found that when the volatility of financial market comes mainly from the external macro-systemic risk, the volatility of financial assets does not show a high persistence, but when the micro-non-systemic risk plays a key role in financial volatility, The volatility of financial assets highlights a high degree of sustainability. The innovations of this paper are as follows: 1. On the basis of Monte Carlo simulation of volatility persistence and co-persistence, the paper makes an empirical study on volatility persistence and its evading methods of the latest stock market data in China. Based on the empirical study of the stock market in China, this paper puts forward the realistic conditions for the persistence of financial volatility. That is, the high sustainability of stock index volatility comes from the micro-system risk. When macro-external systemic risk plays a leading role, the sustainability of stock index volatility will not be very high.
【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】：F224;F832.5

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