沪港股市资产价格联动效应检测模型

发布时间：2018-04-18 05:07

本文选题：沪港股市 + 联动效应　；参考：《南京理工大学》2014年硕士论文

【摘要】：随着上海股市的日益国际化和香港股市的日益“内地化”,沪港股市间的相互联系显著加强。本文通过构建沪港股市资产价格联动效应检测模型,度量沪港股市资产价格联动效应的规模及程度,为证券市场投资者制定投资决策和股市监管部门制定监管政策提供理论指导。目前,资产价格联动效应检测模型主要包括未单独考虑跳跃的资产价格联动效应检测模型和单独考虑跳跃的资产价格联动效应检测模型两种类型。在第一类模型中,BEKK-GARCH (Baba-Engle-Kraft-Kroner Generalized AutoRegressive Conditional Heteroskedasticity)模型的准确性和预测性能比较好。BN-S (Barndorff-Nielsen-Shephard Model)模型能够度量单个资产价格跳跃效应,但是其检测多个资产价格的跳跃联动效应的能力比较有限。因此,本文在BN-S模型的基础上进行扩展,构建基于BN-S的沪港股市资产价格跳跃联动效应检测模型,并进行实证研究。首先,本文构建基于BEKK-GARCH的沪港股市资产价格联动效应检测应用模型,利用2005-2012年沪港股指日频数据进行实证分析。研究发现沪港股市资产价格间存在双向且非对称的联动关系,即上海股市资产价格波动对香港股市的冲击大于香港股市对上海股市的冲击。其次,本文构建基于BN-S的沪港股市单个资产价格跳跃检测应用模型,以2009-2012年沪港股指的5分钟高频数据为样本进行实证分析,研究结果表明,沪港股市资产价格波动过程普遍存在跳跃现象。最后,本文在单个资产价格跳跃检测模型的基础上,构建基于BN-S的沪港股市资产价格跳跃联动效应检测模型。研究表明,沪港股市资产价格存在一定的联动效应,并且沪港股市资产价格存在普遍的联合跳跃现象。
[Abstract]:With the increasing internationalization of the Shanghai stock market and the increasingly "inland" of the Hong Kong stock market, the relationship between the Shanghai and Hong Kong stock markets has strengthened significantly.In this paper, the scale and extent of the linkage effect of asset prices in Shanghai and Hong Kong stock markets are measured by constructing a test model of the linkage effect of asset prices in Shanghai and Hong Kong stock markets.It provides theoretical guidance for investors in securities market to make investment decision and supervision policy for stock market supervision.At present, there are two main types of asset price linkage effect detection model, one is the asset price linkage effect detection model without considering the jump alone, and the other is the asset price linkage effect detection model which considers the jump alone.In the first kind of model, the BEKK-GARCH Baba-Engle-Kraft-Kroner Generalized AutoRegressive Conditional Heteroskedasticity-) model has better accuracy and prediction performance. The BN-S Barndorff-Nielsen-Shephard Model can measure the price jump effect of single asset, but its ability to detect the jump linkage effect of multiple asset prices is limited.Therefore, based on the BN-S model, this paper constructs the BN-S based test model of the linkage effect of asset price jump in Shanghai and Hong Kong stock market, and carries on the empirical research.First of all, this paper constructs an applied model based on BEKK-GARCH to detect the linkage effect of asset prices in Shanghai and Hong Kong stock markets, and makes an empirical analysis by using the daily frequency data of Shanghai and Hong Kong stock indexes from 2005 to 2012.The study found that there is a two-way and asymmetric linkage between asset prices in Shanghai and Hong Kong, that is, the impact of asset price fluctuations on the Hong Kong stock market is greater than the impact of Hong Kong stock market on Shanghai stock market.Secondly, this paper constructs an application model of single asset price jump detection based on BN-S in Shanghai and Hong Kong stock market. The empirical analysis is based on the 5-minute high frequency data of Shanghai and Hong Kong stock index in 2009-2012.Shanghai and Hong Kong stock market asset price fluctuation process generally exists jump phenomenon.Finally, on the basis of a single asset price jump detection model, this paper constructs a model based on BN-S to detect the linkage effect of asset price jump in Shanghai and Hong Kong stock markets.The results show that there is a linkage effect in the asset prices of Shanghai and Hong Kong stock markets, and there is a general phenomenon of joint jump in asset prices in Shanghai and Hong Kong stock markets.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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