创业板与主板联动性、波动性及风险分析实证研究

发布时间：2018-06-08 16:27

本文选题：创业板指数 + 联动性分析　；参考：《湖南工业大学》2012年硕士论文

【摘要】：创业板市场是指专门协助高成长的新兴创新公司特别是高科技公司筹资并进行资本运作的市场，是多层次资本市场的重要组成部分。对于中国这样一个经济高速发展的国家，中小企业的成长和发展需要提供与其相适应的经济金融环境，需要不断补充新的发展动力。开设创业板市场，，就是要为中国新经济创造一个生长和发展的宽松环境；就是要为这批新兴创业企业提供可持续发展的资金动力，提供比商业银行和传统证券市场更加灵活、方便而有效的融资安排。我国创业板市场主要由高成长性的中小企业组成的，企业面临的风险较大，因此创业板指数的波动性也较大。分析结果显示在5%显著性水平下，上证综指是创业板指数的格兰杰原因（但是在10%的显著性水平下，创业板指数变化和上证指数具有相互影响的关系），深成指数和创业板指数互为格兰杰因果关系，进而又研究了创业板市场上证、深证之间的动态关联关系。本文着重利用GARCH模型及其推广模型建立创业板市场的波动模型，刻画创业板市场的波动情况，并且针对金融资产的尖峰厚尾的特征，引入了能刻画收益率尖峰后尾特征的广义误差分布（GED分布），分别利用正态分布、学生-t分布、GED分布来拟合创业板指数收益率的分布，对比验证三种分布拟合的精准度，以求达到更精准地刻画金融资产波动性的要求。最后对创业板市场的风险进行度量，比较不同波动模型下的风险度量值。通过不同置信水平、不同分布、不同GARCH模型下计算的VaR值进行比较，可以得出：t分布下和99%的置信水平下，容易高估风险；在GED分布下EGARCH-VaR模型对风险的覆盖程度较好。在实际的投资决策过程中，无论风险被高估还是被低估，都不利于决策者对风险进行有效的管理,因此，对创业板市场的波动性风险进行准确评估可以有效的来管理创业板市场的风险。
[Abstract]:Growth Enterprise Market (gem) is an important part of multi-level capital market, which refers to the market that helps new and innovative companies with high growth, especially high-tech companies, to raise funds and operate capital. For a country such as China with rapid economic development, the growth and development of small and medium-sized enterprises need to provide a suitable economic and financial environment, and need to constantly supplement the new development power. The purpose of opening the gem market is to create a relaxed environment for the growth and development of China's new economy; that is, to provide these new startups with financial impetus for sustainable development and to provide them with more flexibility than commercial banks and the traditional securities market. The gem market in our country is mainly composed of small and medium-sized enterprises with high growth, and the risks faced by enterprises are great, so the volatility of gem index is also large. The results show that the Shanghai Composite Index is the Granger cause of the gem index at the significant level of 5% (but at the significant level of 10%). The relationship between the change of gem index and the index of Shanghai Stock Exchange has mutual influence. The relationship between Shenzhen index and gem index is Granger causality, and then the gem market is studied. This paper focuses on the GARCH model and its extension model to establish the gem market volatility model, describes the gem market volatility, and in view of the financial assets of the peak and thick tail characteristics, The generalized error distribution (GED), which can describe the characteristics of the tail of the peak of yield, is introduced. The distribution of return rate of gem index is fitted by normal distribution and student -t distribution respectively, and the accuracy of the fitting of the three distributions is compared and verified. In order to describe the volatility of financial assets more accurately, the paper measures the risk of gem market and compares the risk measures under different volatility models. By comparing the VaR values under different confidence levels, distributions and GARCH models, it can be concluded that the risk is easily overestimated under the ratio t distribution and 99% confidence level, and the EGARCH-VaR model has better coverage of risk under GED distribution. In the actual investment decision-making process, whether the risk is overestimated or underestimated, it is not conducive to the decision makers to effectively manage the risk, therefore, Accurate assessment of the volatility risk of the gem market can effectively manage the risk of the gem market.
【学位授予单位】：湖南工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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