基于CAPM模型与干预模型的应用研究

发布时间：2018-03-20 22:03

本文选题：干预模型　切入点：CAPM模型　出处：《海南师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：本文主要研究干预事件对我国股市的影响。在干预模型的基础上作了一定的推广,引进了一个函数exp(-λt),主要用来刻画持续性干预的影响过程。并结合我国证券市场2014年沪深股市大盘指数受央行降息和中央经济会议干预影响进行了实证研究。通过数学统计软件Eviews拟合,结果发现推广后的干预模型更接近真实数据。以股票市场行业板块为对象,研究行业板块与大盘的关系。在银行降息前计算出股票市场中几个具有代表性板块的α与β系数,利用推广后的干预模型和CAPM模型计算降息后相应版块的α与β系数,通过对两个系数在降息前后变化的分析,得出银行降息对股市板块的影响程度,从而决定买进或卖出股票。
[Abstract]:This paper mainly studies the influence of intervention events on Chinese stock market. This paper introduces a function expan- 位 t, which is mainly used to describe the influence process of continuous intervention, and makes an empirical study on the influence of the central bank interest rate and the intervention of central economic conference on the stock market index of Shanghai and Shenzhen stock market in 2014 in our country. Mathematical statistics software Eviews fitting, The results show that the extended intervention model is closer to the real data. Taking the stock market sector as the object, the relationship between the industry sector and the market is studied. The 伪 and 尾 coefficients of several representative sectors in the stock market are calculated before the banks cut interest rates. By using the extended intervention model and the CAPM model to calculate the 伪 and 尾 coefficients of the corresponding plates after the interest rate cut, and through the analysis of the changes of the two coefficients before and after the interest rate cut, the influence degree of the bank interest rate reduction on the stock market plate is obtained, and the decision to buy or sell the stock is obtained.
【学位授予单位】：海南师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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