基于异质信念和通胀幻觉的中国股市错误定价及其波动率的实证研究

发布时间：2018-03-13 00:35

本文选题：错误定价　切入点：波动率　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：自1990年12月到现在中国资本市场历经了大致八次比较突出的涨跌，股价大幅度的波动会影响投资者和融资者的决策。本文的核心内容是研究通胀幻觉和异质信念对中国股市错误定价及其波动率的相对影响程度，基本思路是先在理论上解释异质信念和通胀幻觉对股市错误定价及其波动率都是有影响的，然后进行格兰杰因果检验，最后通过向量自回归模型进行实证检验并对比这两个因素对错误定价及其波动率的相对影响强度。本文所采用的研究样本为沪深300指数所有的成分股，，样本选择的时间区间为2002年2季度到2013年3季度，利用向量自回归模型检验了中国股市错误定价及其波动率与异质信念和通胀幻觉的动态联系。通过格兰杰因果检验发现，通胀幻觉不是股市错误定价的格兰杰原因但是异质信念是错误定价的格兰杰原因。结合脉冲响应函数和方差分解函数发现通胀幻觉对错误定价的影响明显弱于异质信念。同时也发现异质信念是股市错误定价波动率的格兰杰原因而通胀幻觉不是波动率的格兰杰原因。进一步结合脉冲响应函数和方差分解分析发现通胀幻觉对错误定价的波动率几乎没有影响而异质信念对波动率有很强的影响。在同质信念条件下研究资产定价的文献已较多，但同时结合异质信念和通胀幻觉研究股市错误定价及其波动率文献较少，特别是在有关新兴市场股市上的研究。随着我国资本市场的不断发展和完善，研究异质信念和通胀幻觉对股市错误定价及其波动率的影响对完善我国资本市场具有重要的现实指导意义。
[Abstract]:Since December 1990, China's capital market has experienced about eight more prominent ups and downs, the stock price volatility will affect investors and financiers' decisions. The core of this paper is to study the relative influence of inflation hallucinations and heterogeneous beliefs on the mispricing and volatility of Chinese stock market. The basic idea is to theoretically explain that heterogeneous beliefs and inflation hallucinations have an impact on stock market mispricing and volatility, and then Granger causality test is carried out. Finally, an empirical test is carried out by vector autoregressive model and the relative influence of these two factors on mispricing and volatility is compared. The study sample is all the constituent stocks of CSI 300 index. The time range of the sample is from the second quarter of 2002 to the third quarter of 2013. By using the vector autoregressive model, we examine the dynamic relationship between Chinese stock market mispricing and volatility with heterogeneous beliefs and inflation hallucinations, and find out by Granger causality test. Inflation hallucination is not the Granger cause of stock market mispricing, but heterogeneity belief is Granger cause of mispricing. Combining impulse response function and variance decomposition function, we find that inflation hallucination has a weaker effect on mispricing than heterogeneity. It is also found that heterogeneous belief is the Granger cause of stock market mispricing volatility, and inflation hallucination is not Granger cause of volatility. Further, combining impulse response function and variance decomposition analysis, we find inflation hallucination. The volatility of mispricing has little effect, but heterogeneity has a strong effect on volatility. There are many papers on asset pricing under the condition of homogeneous belief, but there are few papers on stock market mispricing and volatility combining heterogeneous beliefs and inflation hallucinations. Especially in the emerging market stock market research. With the continuous development and improvement of China's capital market, The study of the influence of heterogeneous beliefs and inflation hallucinations on the stock market mispricing and volatility is of great practical significance to the perfection of China's capital market.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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