基于市盈率、市净率的上证指数风险度量与预警研究

发布时间：2018-09-01 13:53

【摘要】：全球股市都是波动的,但相对于欧美等较为完善的市场,中国股市波动表现出频率更高波动幅度更大的特征。这种频繁大幅的波动给我国经济带来一系列不良的影响。加入世界贸易组织之后,中国股市与全球证券市场的联系日益密切,受外围股市影响也越加明显。如何在国际化的大背景下寻找到适合中国国情的股市风险预警方法就显得日趋重要。本文首先对导致中国股市波动较大的一些特殊原因进行分析,提出中国股市风险预警方法应该建立在对中国实际情况的分析基础上。然后利用VaR指标、市盈率和市净率指标建立预警模型,并结合中国股市与国外股市的动态相关情况,开户数情况,货币供应量以及市场人气等对上证指数的下跌风险进行综合预警分析。文章最后对如何保持股市稳定发展,减少市场的过度波动提出建议。预警模型是以市盈率、市净率设定预警区间,VaR揭示报警点的模型。通过研究发现,该预警模型对指数短期下跌风险进行预警具有现实可操作性。从长期看该预警模型虽然确实能够对指数的大幅下跌做出提前报警且报警强度级别随着指数的上升而增加,与指数的运行情况基本吻合,但对指数风险的判断还应该考虑到指数本身运行所具有的惯性。通过对中国股市和国外市场动态相关系数的研究本文发现国外中国企业指数(恒生中国企业指数、纳斯达克中国指数)与上证指数相关性高,可作为上证指数风险预警的参考之一。并且随着中国金融逐渐融入国际社会,资本在中国和国际间流动速度的不断加快,不同指数的相互影响对于风险预警的作用将会愈加突出。另外,货币供应量与指数的关系主要体现在货币结构的变化与指数变化有关。而开户数和市场人气均是上证指数的先行指标,在指数见顶前提前见顶均是大概率事件,也可作为预警参考。本文的创新点有三,一是与以往大多单独利用VaR方法对市场进行风险度量研究不同,本文把VaR方法加入到预警模型构建中来,结合其他预警指标对指数的下跌风险进行提前预警的研究。二是本文在数据的选取方面也有所创新。通过研究发现,不同交易所发布但全部反映中国公司情况的纳斯达克中国指数(CHNX)、香港恒生中国企业指数(HSCEI)和上证指数间的相关情况显著的好于纳斯达克指数、恒生指数和上证指数间相关性。三是中国股市过分的暴涨暴跌是新兴市场的共有现象,造成这种现象的一个原因是这些国家存在着数量巨大的潜在股民,在赚钱效应的影响下,大量新增资金的快速进入使得股指过分上涨。
[Abstract]:Global stock markets are volatile, but Chinese stocks are more volatile than more sophisticated markets such as Europe and the United States. This frequent and large fluctuation brings a series of adverse effects to our economy. After joining the World Trade Organization, China's stock market is increasingly closely linked to the global stock market, and the influence of the external stock market is becoming more and more obvious. Under the background of internationalization, it is increasingly important to find a stock market risk warning method suitable for China's national conditions. This paper first analyzes some special reasons leading to the volatility of China's stock market, and puts forward that the risk warning method of China's stock market should be based on the analysis of China's actual situation. Then using VaR index, price-to-earnings ratio and price-to-book ratio index to establish an early warning model, and combining the dynamic correlation between Chinese stock market and foreign stock market, the number of accounts opened. Money supply and market sentiment for the Shanghai stock index to carry out a comprehensive risk of falling early warning analysis. Finally, the paper puts forward some suggestions on how to maintain the stable development of the stock market and reduce the excessive volatility of the market. The early warning model is a model that sets early warning interval with price-to-earnings ratio and price-to-book ratio to reveal alarm point. It is found that the early warning model is practical and feasible to predict the short-term fall risk of the index. In the long run, although the early warning model can give an early warning of the sharp decline of the index and the alarm intensity level increases with the increase of the index, it basically coincides with the operation of the index. However, the judgment of exponential risk should also take into account the inertia of the index itself. By studying the dynamic correlation coefficient of Chinese stock market and foreign market, this paper finds that the index of foreign Chinese enterprises (Hang Seng China Enterprise Index, NASDAQ China Index) has a high correlation with Shanghai Stock Exchange Index. Can be used as the Shanghai stock index risk warning one of the reference. As China's finance gradually integrates into the international community and the speed of capital flowing between China and the world accelerates, the mutual influence of different indexes on risk warning will become more and more prominent. In addition, the relationship between money supply and index is mainly reflected in the change of money structure and index. The number of accounts and market sentiment are both the leading indicators of Shanghai stock index. It is a big probability event to reach the top in advance before the index reaches the top, which can also be used as a reference for early warning. There are three innovations in this paper. One is that the VaR method is added to the early-warning model, which is different from the previous research on the risk measurement of the market using VaR method alone. Combined with other early warning indicators to the index of the risk of early warning of the study. Second, this paper also has some innovation in the selection of data. Through research, it is found that the correlation between the Nasdaq China Index (CHNX),) and the Shanghai Stock Exchange Index (HSCEI), which is published by different exchanges but all reflects the situation of Chinese companies, is significantly better than that of the NASDAQ index. The correlation between the Hang Seng Index and the Shanghai Stock Exchange Index. Third, the excessive rise and fall of China's stock market is a common phenomenon in emerging markets. One of the reasons for this phenomenon is that these countries have a large number of potential investors, under the influence of the effect of making money. The rapid entry of a large number of new funds makes the stock index too high.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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