基于EGARCH-M模型的几种股指特征实证研究
发布时间：2019-05-18 05:23
【摘要】：随着中国经济的迅速发展，融资的资本化增强，股价也日渐成为各国经济发展的晴雨表。由于金融实力的不断增强，股市所带来的影响已经不仅局限于金融领域，而是普遍影响到了经济、政治和社会生活的各方各面，从某种程度上可以说，一个国家股市发展的规模和状况能直接或者间接地反映出该国的经济实力与经济的发展状况。 传统意义上研究股市主要包含证券投资分析法和时间序列预测法，但是这两种方法均存在着某种程度的局限性。而且，股票市场当中普遍存在的尖峰厚尾的特点也是其中一大难题，时间序列预测法也较难确定预测模型及确定该法是否能够准确地预测股指。大部分时间序列预测模型的建立仍旧是基于传统的线性假设，大量的数据都包含着噪声。ARCH模型与GARCH模型常用来对主体模型的随机扰动项来进行建模分析，更加充分地提取模型残差当中的信息，更适于拟合金融序列尖峰厚尾的特征。 本文通过五部分分别研究了上证综指、深证成指牛市阶段、熊市阶段股指变化特征，政策效应对我国股指波动的影响以及全球三大股市间的动态关系，得出如下结论：（1）上证综指和深证成指都有如下特征：牛市阶段的ARCH项和GARCH项的系数都是统计显著的；熊市阶段的ARCH项并不显著，但是GARCH项是显著的，因此认为前期的冲击对后面的条件方差的影响是持久的。（2）证监会示警和创业板板块上市都对中国股市有着显著的影响，而且这种影响是通过影响股票价格条件方差的形成机制从而影响股市的波动的。（3）道琼斯指数长期波动的固定成本最高，，美洲的股票市场在波动期内伴随着比较高的波动成本而上证指数的波动集群效应最大，且三大股市的信息冲击都存在杠杆效应。
[Abstract]:With the rapid development of Chinese economy and the capitalization of financing, stock price has increasingly become a barometer of economic development in various countries. Due to the continuous strengthening of financial strength, the impact of the stock market has not only been limited to the financial sector, but has generally affected all sides of economic, political and social life. To some extent, it can be said that the impact of the stock market has not only been limited to the financial sector, but has generally affected all sides of economic, political and social life. The scale and condition of a country's stock market development can directly or indirectly reflect the country's economic strength and economic development. In the traditional sense, the study of stock market mainly includes securities investment analysis method and time series forecasting method, but these two methods have some limitations. Moreover, the characteristics of peak and thick tail are also one of the most difficult problems in the stock market, and the time series prediction method is also difficult to determine the prediction model and whether the method can accurately predict the stock index. Most of the time series prediction models are still based on the traditional linear hypothesis, and a large number of data contain noise. Arch model and GARCH model are often used to model and analyze the random disturbance terms of the main model. It is more suitable to fit the characteristics of the peak and thick tail of financial sequence by extracting the information from the residual of the model more fully. Through five parts, this paper studies the stock index variation characteristics of Shanghai Composite Index, Shenzhen Composite Index bull market stage, bear market stage, the influence of policy effect on stock index fluctuation in China and the dynamic relationship among the three major stock markets in the world. The conclusions are as follows: (1) both Shanghai Composite Index and Shenzhen Composite Index have the following characteristics: the coefficients of ARCH and GARCH in bull market stage are statistically significant; The ARCH item in the bear market stage is not significant, but the GARCH item is significant, so it is considered that the impact of the previous shock on the later conditional variance is lasting. (2) both the CSRC warning and the gem listing have a significant impact on the Chinese stock market. And this effect affects the volatility of the stock market by affecting the formation mechanism of the conditional variance of stock prices. (3) the Dow Jones index has the highest fixed cost of long-term volatility. During the volatility period, the American stock market is accompanied by a relatively high volatility cost, and the Shanghai Stock Exchange index has the largest volatility cluster effect, and the information shock of the three major stock markets has leverage effect.
【学位授予单位】：内蒙古财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51
本文编号：2479717
[Abstract]:With the rapid development of Chinese economy and the capitalization of financing, stock price has increasingly become a barometer of economic development in various countries. Due to the continuous strengthening of financial strength, the impact of the stock market has not only been limited to the financial sector, but has generally affected all sides of economic, political and social life. To some extent, it can be said that the impact of the stock market has not only been limited to the financial sector, but has generally affected all sides of economic, political and social life. The scale and condition of a country's stock market development can directly or indirectly reflect the country's economic strength and economic development. In the traditional sense, the study of stock market mainly includes securities investment analysis method and time series forecasting method, but these two methods have some limitations. Moreover, the characteristics of peak and thick tail are also one of the most difficult problems in the stock market, and the time series prediction method is also difficult to determine the prediction model and whether the method can accurately predict the stock index. Most of the time series prediction models are still based on the traditional linear hypothesis, and a large number of data contain noise. Arch model and GARCH model are often used to model and analyze the random disturbance terms of the main model. It is more suitable to fit the characteristics of the peak and thick tail of financial sequence by extracting the information from the residual of the model more fully. Through five parts, this paper studies the stock index variation characteristics of Shanghai Composite Index, Shenzhen Composite Index bull market stage, bear market stage, the influence of policy effect on stock index fluctuation in China and the dynamic relationship among the three major stock markets in the world. The conclusions are as follows: (1) both Shanghai Composite Index and Shenzhen Composite Index have the following characteristics: the coefficients of ARCH and GARCH in bull market stage are statistically significant; The ARCH item in the bear market stage is not significant, but the GARCH item is significant, so it is considered that the impact of the previous shock on the later conditional variance is lasting. (2) both the CSRC warning and the gem listing have a significant impact on the Chinese stock market. And this effect affects the volatility of the stock market by affecting the formation mechanism of the conditional variance of stock prices. (3) the Dow Jones index has the highest fixed cost of long-term volatility. During the volatility period, the American stock market is accompanied by a relatively high volatility cost, and the Shanghai Stock Exchange index has the largest volatility cluster effect, and the information shock of the three major stock markets has leverage effect.
【学位授予单位】：内蒙古财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51
【参考文献】
相关期刊论文 前1条
1 菜丛;;股价终将回归基本面?[J];金融经济;2009年17期
本文编号：2479717
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