沪深300指数收益率波动性分阶段研究

发布时间：2018-06-05 01:08

本文选题：杠杆效应 + 波动非对称性　；参考：《江西财经大学》2012年硕士论文

【摘要】：相当长一段时间以来,金融领域中的研究人员一直致力于对股票价格与其波动率之间关系的研究,这是一项意义重大的课题,而在金融实证领域中对股价波动非对称性的研究方兴未艾。市场波动性在计量风险的大小、检验市场的效率性以及估算CAPM中待估计参数值等方面得到了广泛的应用,股价的适度波动在一定程度上可以起到提高市场流动性和活跃市场的作用,它是金融经济学中的一项核心内容。本文以反映股市整体走势的沪深300指数作为研究对象,对我国股市的波动特点进行分阶段实证研究,进而对波动非对称性进行更加合理、全面的解释。研究结果如下：三个阶段的日收益率序列都表现出波动聚集性与尖峰厚尾性。相对于S1阶段而言,S2、S3阶段的峰度系数显著地变小,这表明我国股市波动异常行为正伴随着股市的成熟日渐减少。GJR-GARCH-M模型和EGARCH-M模型拟合结果显示S1阶段是非平稳过程,S2、S3阶段是平稳过程,且平稳性逐渐增强。在平稳过程中,沪深300指数收益率的相对风险系数由负数变成正数,投资者由风险爱好型转变为风险厌恶性,这说明我国股市经过二十多年的发展,市场中的不理性投资现象正在逐渐减少,市场参与者的投资行为渐近理性。我国股市不仅存在“杠杆效应”,即相对于利好消息而言,等同程度的利空消息对股市造成的波动较大,还存在“反杠杆效应”,即相对于利空消息来说,等同程度的利好消息对股市产生更大的波动效果。因此本文认为股市波动非对称效应不等同于杠杆效应,波动非对称性应为利好消息与等同程度的利空消息对股市波动产生不一样的效果。S2阶段的杠杆系数绝对值最大,说明在金融危机的背景下我国提高印花税税率对股市造成了较大的波动效果。三个阶段的信息冲击曲线表明,我国股市的信息冲击曲线并不是都呈现V型的,还有L型的。S2阶段信息冲击曲线之所以呈现L型,是因为财政部提高印花税税率对我国股市产生了较大的波动。
[Abstract]:For a long time, researchers in the financial field have been working on the relationship between stock prices and their volatility, which is a significant topic. In the field of financial empirical research on the asymmetric volatility of stock prices is in the ascendant. Market volatility has been widely used in measuring the size of risk, testing the efficiency of the market and estimating the parameters to be estimated in CAPM. The moderate fluctuation of stock price can improve the liquidity of the market and activate the market to a certain extent. It is a core content in the financial economics. This paper takes the CSI 300 index which reflects the overall trend of the stock market as the research object, carries on the stage empirical research to the fluctuation characteristic of our country stock market, and then carries on the more reasonable and comprehensive explanation to the fluctuation asymmetry. The findings are as follows: The three stages of daily yield series all show volatility aggregation and peak thick tail. Compared with the S1 stage, the kurtosis coefficient of S2S3 phase has been significantly reduced. This indicates that the abnormal behavior of stock market volatility is decreasing with the maturity of the stock market. The fitting results of GJR-GARCH-M model and EGARCH-M model show that the S1 stage is a stationary process and the stationarity is gradually enhanced. In the steady process, the relative risk coefficient of the Shanghai and Shenzhen 300 index returns has changed from a negative number to a positive number, and the investors have changed from a risk-loving type to a risk-averse one. This shows that the stock market in our country has developed after more than 20 years of development. The irrational investment phenomenon in the market is gradually decreasing, and the investment behavior of market participants is asymptotically rational. There is not only "leverage effect" in China's stock market, that is, relative to the good news, the volatility of the stock market caused by the same degree of bad news is larger, but also the "anti-leverage effect", that is, relative to the bad news. The same level of good news on the stock market has greater volatility effect. Therefore, this paper holds that the asymmetric effect of stock market volatility is not equal to the leverage effect, and the asymmetry of volatility should be the maximum absolute value of leverage coefficient in S.2 stage, which is different from that of good news and the same degree of bad news. Under the background of the financial crisis, the increase of stamp duty rate has a great effect on the stock market. The information shock curve of three stages shows that the information shock curve of China's stock market is not all V-shaped, and the information shock curve of S-2 stage of L type is L-type. It is because the Ministry of Finance raised the stamp duty tax rate to our country stock market produced the big fluctuation.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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