A股市场波动周期及其影响因子研究

发布时间：2018-04-17 21:18

本文选题：股市周期 + 马尔科夫链　；参考：《山西财经大学》2014年硕士论文

【摘要】：众所周知，股票市场作为国民经济的重要组成部分，它的繁荣与发展与国家的宏观经济息息相关。它在一定程度上对一国经济的发展走势具有预测作用，素有国民经济“晴雨表”之称。不仅如此，证券市场还兼具聚拢资金、资产重组、价格发现及风险预测等功能，它是经济稳健运行的前提条件。本文正是基于这样的研究背景，，先对A股市场波动特点进行简单地概括分析，之后运用MA（移动平均线）与马尔科夫链研究方法分析中国股市的周期，并在此基础上探讨综合影响A股市场周期形成的因子以期能更好的发挥证券市场“晴雨表”作用，避免股市的异常震荡现象，更好地指导国民经济的健康发展。研究结果表明，A股市场波动总体分布的一般特点---并不符合标准的正态分布，呈现尖峰厚尾分布，同时伴随着偏度大于零说明上证收益率存在右偏现象，表现为位于均值左边的数据多于位于均值右边的数据，市场收益率为负时持续时间较长，即熊长牛短现象。不仅如此，我国股市还存在着波动的集聚效应即大幅波动集群与小幅波动集群交替出现的现象。论文进一步分析了我国股市的增长型周期（反映股市收益率序列的扩张和收缩交替周期）大概时间为8.4个月，其中在3、4、5月份扩张的概率较大，达到了50%左右。3月份处在扩张阶段的次数最高，达到了17次；10月份进入衰退阶段的概率最大，频数达到了16次。因此，投资者可以选择3月份作为进入股市的时机，同时，尽量在10月之前退出股市。在股票市场的影响因子的研究当中，本文主要从国内外学者研究的焦点即宏观经济及其政策因素出发。通过Granger因果关系检验得出A股价格指数与CPI存在双向的因果关系，广义货币供应量M2、进出口总额、工业增加值均存在单向的因果关系，而经验上认为的银行间同业拆借利率在5%的显著性水平下，却并非是A股价格指数的Granger原因，这在一定程度上说明了在我国，利率政策对股市影响并不显著，利率政策的传导渠道受阻。因此，有必要进一步加快利率市场化改革，发挥利率政策对股票市场、宏观经济的调节作用。同时，通过对上证综指的脉冲响应和预测方差分解得出，在cpi上涨的前期，由于系统内在的滞后性以及惯性的作用力，股票指数呈现出上涨的态势，但伴随着时间的累积，cpi的上涨开始对股票价格指数起到了反向的抑制作用，导致指数下跌。长期来看，通胀导致无牛市的现象。
[Abstract]:As is known to all, stock market as an important part of national economy, its prosperity and development are closely related to the country's macro economy.To a certain extent, it can predict the development trend of a country's economy, known as the "barometer" of the national economy.Moreover, the securities market also has the functions of collecting funds, asset reorganization, price discovery and risk forecasting, which is the prerequisite for the steady operation of the economy.Based on this research background, this paper analyzes the volatility characteristics of A share market, and then analyzes the cycle of Chinese stock market by using the method of moving average (MA) and Markov chain.On this basis, this paper discusses the factors that affect the formation of A share market cycle in order to play the role of "barometer" of the stock market better, to avoid the abnormal volatility of the stock market, and to better guide the healthy development of the national economy.The results show that the general characteristics of the general distribution of volatility in A share market-- do not conform to the standard normal distribution, showing a sharp and thick tail distribution, and accompanied by a bias greater than zero, indicating that the return rate of Shanghai Stock Exchange has a right deviation phenomenon.The data on the left side of the mean is more than the data on the right of the mean, and the market yield is longer when it is negative, that is, the bear is short of the bull.Moreover, the agglomeration effect of volatility also exists in Chinese stock market, that is, large volatility cluster and small fluctuation cluster alternately appear.The paper further analyses that the growth cycle of Chinese stock market (which reflects the alternating cycle of expansion and contraction of the stock market yield series) is about 8.4 months, in which the probability of expansion in May is higher.The number of times in the expansion stage reached the highest in about 50% in the month of March, and the probability of entering the recession stage in October reached the highest in 17 times, and the frequency reached 16 times.Therefore, investors can choose March as the time to enter the stock market, and try to withdraw from the stock market before October.In the research of influencing factors of stock market, this paper mainly starts from the research focus of domestic and foreign scholars, that is, macro-economy and its policy factors.The Granger causality test shows that there is a two-way causality between A-share price index and CPI. The generalized money supply M2, total import and export value, industrial added value all have one-way causality.However, the empirical view that the interbank offered rate is 5% significant is not the Granger cause of A share price index, which shows to some extent that interest rate policy has no significant impact on the stock market in China.The transmission channel of interest rate policy is blocked.Therefore, it is necessary to speed up the reform of interest rate marketization and bring into play the regulating effect of interest rate policy on stock market and macro economy.At the same time, through the impulse response and prediction variance decomposition of the Shanghai Composite Index, it is concluded that in the early stage of cpi rise, the stock index shows a rising trend due to the inherent lag and inertia force of the system.But the cumulative rise in CPI over time began to reverse the stock price index, causing the index to fall.In the long run, inflation has led to the absence of bull markets.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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