中国股市主板与创业板指数波动差异性分析

发布时间：2018-03-28 20:59

本文选题：沪深300指数　切入点：创业板指数　出处：《西南财经大学》2014年硕士论文

【摘要】：随着我国经济的快速发展,为适应建立多层次资本市场的需要,创业板市场在2009年10月正式开通之后各个层次资本市场之间互补融合协同作用越来越明显。研究证券市场各个板块之间的差异性、联动性、波动性有利于管理层更好的制定政策,有利于投资者深刻认识其规律,定价及金融风险控制。因此,有关证券市场运行方面的研究在学术和实际应用方面显得愈发重要。本论文以创业板和主板市场作为研究对象,考察两者相互波动关系。一方面我国创业板创立的时间还不长,研究创业板和主板市场的相互关系对投资者借鉴主板市场的成熟经验起到启发作用；另一方面,我国关于创业板市场的研究尤其是各个市场间差异性、联动性的研究相对较少,因此将创业板与主板市场相结合起来对比研究有一定的创新性。本文分别选取了从2010年6月1日到2014年1月10日的主板和创业板指数,共计875个日数据。主板市场方面选用沪深300指数(399300)作为代表,探究主板市场波动特征；创业板市场方面选用创业板指数(399006)作为代表,探究创业板市场波动特征。在本文的写作中先利用自相关检验和单位根检验等方法检验指数收益率波动的平稳性；研究显示,主板沪深300指数和创业板指数日收益率时间序列皆平稳性；然后对我国创业板和主板市场指数进行协整检验,检验两者之间是否存在长期的均衡关系,实证结果表明：我国主板沪深300指数和创业板指数在样本区间内呈现均衡的协整关系；再次利用Granger因果检验方法检验创业板市场与主板市场的因果联系,通过阶段一、阶段二和阶段三分别检验得出不同结论并分析原因；最后利用类GARCH模型对主板和创业板指数的收益率波动性、非对称性进行实证研究。结果显示：在GARCH模型下,主板指数和创业板指数收益率呈现不同程度的波动聚集性现象；而且创业板指数条件方差大于主板指数条件方差,意味着创业板市场股票波动性大于主板市场,亦即创业板市场股票波动风险大于主板风险波动；创业板和主板市场都呈现不同程度的杠杆效应,即负面信息对指数的冲击大于正面信息。
[Abstract]:With the rapid economic development of our country, in order to meet the needs of establishing a multi-level capital market, After the gem market officially opened in October 2009, it is more and more obvious that the complementary, integrated and synergistic effect among the capital markets at all levels. Volatility is good for management to make policies better, and for investors to have a deep understanding of their laws, pricing and financial risk control. The research on the operation of the securities market is becoming more and more important in academic and practical applications. This paper takes the gem and the main board market as the research objects, and examines the relationship between the two markets. On the one hand, the establishment of the gem in China is not long. The study of the relationship between gem and the mainboard market is instructive for investors to learn from the mature experience of the main board market. On the other hand, the research on gem market in China, especially the differences among different markets, is relatively rare. Therefore, the gem and the main market combined with a comparative study has a certain degree of innovation. From June 1, 2010 to January 10, 2014, this paper selects the main board and the growth enterprise board index, which total 875 daily data. In the main board market, we choose the CSI 300 index 399300 as the representative to explore the fluctuation characteristics of the main board market. In the gem market, the gem index (399006) is chosen as the representative to explore the volatility characteristics of the gem market. In the writing of this paper, autocorrelation test and unit root test are used to test the stability of the volatility of the index return. The time series of daily yield of CSI 300 index and gem index are both stable, and then the co-integration test of gem and market index is carried out to see if there is a long-term equilibrium relationship between them. The empirical results show that the CSI 300 index and gem index of China's main board show a balanced cointegration relationship in the sample interval, and then use the Granger causality test method to test the causality relationship between the gem market and the main board market. Stage two and stage three respectively test different conclusions and analyze the reasons. Finally, we use the GARCH model to study the volatility and asymmetry of the return of the main board and the gem index. The results show that: under the GARCH model, And the conditional variance of gem index is greater than that of main board index, which means that the volatility of gem stock is higher than that of main board market. In other words, the risk of stock volatility is greater than that of the main market, and both the gem and the main market show different degree of leverage effect, that is, negative information has a greater impact on the index than positive information.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

【参考文献】