股票价格的波动与控制模型在中国股票市场中的应用

发布时间：2018-01-12 18:46

本文关键词：股票价格的波动与控制模型在中国股票市场中的应用　出处：《福州大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来,我国股票市场取得了迅猛的发展,目前股票市场的流通市值近乎是1992年的800倍,各项指标表明作为市场经济的重要组成部分,我国股票市场的发展已迈入了更高的阶段。然而近年来股票市场的振动异常激烈,因此对股票价格运行机制及其影响因素的研究成为了金融市场研究的主要议题。从长期看,股票价格波动是由股票的内在价值决定的,同时也受制于宏观经济等方面的因素。因此本文试图建立股票价格波动控制模型,研究加入宏观经济变量时,内在价值对股票价格调整力度的变化,同时研究宏观经济变量与股票价格之间的关系。影响股票价格波动的宏观因素有很多,本文从建立VAR模型入手,进而运用Granger因果关系、脉冲响应函数分析以及方差分解等方法分析股票价格与宏观经济变量之间的关系。研究结果表明货币供给量MO变动率、固定资产投资价格指数变动率以及财政支出变动率对股票价格收益率具有显著的影响。股票价格与内在价值之间的关系被称为股票价格调整过程,可以通过建立股票价格波动的综合模型来描述股票价格与内在价值的关系,并在该综合模型的基础上试图建立由内在价值、股票价格和宏观经济变量构成的股票价格波动控制模型,同时基于中国股票市场对股票价格波动的综合模型和波动控制模型进行实证。内在价值的确定方法有很多种,通过对不同的方法进行理论与实证的比较,本文采用原始股本模型增值法来确定股票的内在价值。随后本文建立了股票价格、内在价值及上述三个宏观经济因素构成的股票价格波动控制模型并用回归分析法进行实证分析,研究结果显示在加入宏观经济变量之后股票的内在价值对股票价格的调整力度加强,并且货币供给量MO变动率及固定资产投资价格指数变动率与股票价格收益率呈正相关关系,财政支出变动率与股票价格收益率呈负相关关系,基本符合现实情况,说明模型的构建具有一定的实效性和参考意义,由于所选取的宏观经济变量都是政府可以调整和控制的,因此该模型的构建能够为有关决策部门制定更有效的宏观调控和股票市场监管政策提供参考。
[Abstract]:In recent years, China's stock market has made rapid development, the current market value of the stock market is nearly 800 times that of 1992, the indicators show that as an important part of the market economy. The development of China's stock market has entered a higher stage, but in recent years, the vibration of the stock market is extremely fierce. Therefore, the research on the operating mechanism of stock price and its influencing factors has become the main topic of financial market research. In the long run, the fluctuation of stock price is determined by the intrinsic value of stock. At the same time, it is also subject to macroeconomic factors. Therefore, this paper attempts to establish a stock price volatility control model, to study the internal value of the stock price adjustment changes when the macroeconomic variables are added. At the same time, we study the relationship between macroeconomic variables and stock prices. There are many macro factors that affect the volatility of stock prices. This paper starts with the establishment of VAR model, and then uses Granger causality. Impulse response function analysis and variance decomposition are used to analyze the relationship between stock price and macroeconomic variables. The change rate of fixed asset investment price index and the change rate of fiscal expenditure have significant influence on stock price return. The relationship between stock price and intrinsic value is called stock price adjustment process. We can establish a comprehensive model of stock price fluctuation to describe the relationship between stock price and intrinsic value, and try to establish the intrinsic value on the basis of this comprehensive model. Stock price and macroeconomic variables constitute the stock price volatility control model. At the same time, based on the Chinese stock market, the comprehensive model and the volatility control model of stock price volatility are demonstrated. There are many methods to determine the intrinsic value, through the theoretical and empirical comparison of different methods. In this paper, the intrinsic value of the stock is determined by the method of appreciation of the original stock model, and then the price of the stock is established in this paper. The stock price volatility control model composed of intrinsic value and the above three macroeconomic factors is empirically analyzed by regression analysis. The results show that the adjustment of stock price is strengthened by the intrinsic value of stock after adding macroeconomic variables. And the change rate of money supply MO and fixed asset investment price index are positively correlated with the stock price return, and the change rate of financial expenditure has a negative correlation with the stock price return. Basically in line with the reality, it shows that the construction of the model has a certain effectiveness and reference significance, because the selected macroeconomic variables can be adjusted and controlled by the government. Therefore, the construction of the model can provide reference for the relevant decision-making departments to formulate more effective macro-control and stock market regulatory policies.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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