2015年股灾后A股市场的波动研究

发布时间：2019-03-29 07:55

【摘要】：2015年国内股票市场遭遇了过山车式的变化,在沉默了整整七年之后,随着国家对资本市场的大力扶持和五万亿资金的入市,股市开启了一波疯狂的牛市行情,然而随着国家对市场的管控和对杠杆资金的清理,市场由盛转衰,形成了三轮剧烈的下跌。本文首先介绍了问题产生的背景,引出了所要重点研究的问题,即市场波动性。具体的从两个方面总结了国内股票市场的历史剧烈波动,根据艾略特的波浪理论可以看到,从股票市场产生开始主要经历了两个完整的波浪周期,即2008年前后的大牛市和2015年前后的大牛市。在第二章对这两个阶段进行了具体的说明,紧接着介绍了股市的几个重要波动节点和重要影响事件。对于股市的波动性本文主要从两个方面来进行研究,主要是基于多元统计理论中聚类分析的股票波动类型的研究和基于时间序列理论中ARMA模型的波动趋势性的分析。在实证研究中,本文主要介绍了聚类分析的相关理论,并选取上证50的股票进行了数据分析,得到了贴合国内市场实际的结论,即市场的环境效应和板块效应明显,也就是说在剧烈波动阶段,股票本身的好坏对于其运动状况并不起决定作用,真正起决定作用的是股票所处的环境。针对股票波动的趋势性问题,本文主要基于时间序列分析中的ARMA模型对价格来进行预测。在数据分析阶段主要选取了 2016年上证指数的波动数据和2017年1月以来新股的波动数据进行了参数的拟合,最终得出了比较好的结果,通过验证发现预测的数据波动趋势和市场真实的波动趋势基本一致,说明模型的信度和效度都比较高。在本文的最后一章对本文的主要工作和2015年国内股票市场股灾影响因素以及措施进行了政策面和基本面的分析,指出了国内股市在当前快速发展的情况下所具有的几个问题,即市场资金的杠杆率较高,赌博心理明显;国家政策对市场的走向印象巨大,政策市效应明显;投资者不够理性,盲目跟风;整体信心不足,发展受阻。在指出了一系列问题之后提出了一系列的对策,即降低杠杆率和资金风险、完善监管体系、建立健全市场的各项体制机制、加强投资者的理性教育提振整个市场的信心。在完成了整个分析后对我国市场的发展进行了展望,即整体来说将平稳向好发展,在前进的过程中会有曲折和反复,但我们相信资本市场的明天是美好的。
[Abstract]:In 2015, the domestic stock market experienced roller coaster-style changes. After seven full years of silence, the stock market opened a frenzied bull market with the strong support of the state for the capital market and the introduction of 5 trillion funds into the market. However, with the national control of the market and the clean-up of leveraged funds, the market has turned from prosperity to decline, forming a three-round sharp decline. This paper first introduces the background of the problem, and leads to the focus of research, namely, market volatility. The history of the domestic stock market is summarized from two aspects. According to Eliot's wave theory, we can see that from the beginning of the stock market, we mainly experienced two complete wave cycles. That is, the big bull market around 2008 and the big bull market around 2015. In the second chapter, the two phases are explained in detail, followed by the introduction of several important fluctuation nodes and important impact events of the stock market. This paper mainly studies the volatility of stock market from two aspects: the research of stock volatility type based on cluster analysis in multivariate statistical theory and the analysis of volatility trend based on ARMA model in time series theory. In the empirical research, this paper mainly introduces the relevant theory of cluster analysis, and selects the Shanghai Stock Exchange 50 stock to carry on the data analysis, obtains the conclusion that the market environment effect and the plate effect are obvious, which are consistent with the domestic market practice. That is to say, in the stage of violent fluctuation, the quality of stock itself does not play a decisive role in its motion, but the real decisive effect is the environment in which the stock is located. Aiming at the trend of stock volatility, this paper forecasts the price based on the ARMA model in time series analysis. In the data analysis phase, we mainly selected the fluctuation data of the Shanghai stock index in 2016 and the fluctuation data of the new stock since January 2017 to fit the parameters, and finally got a better result. Through verification, it is found that the predicted data fluctuation trend is basically consistent with the real market fluctuation trend, indicating that the reliability and validity of the model are relatively high. In the last chapter of this paper, the main work of this paper and the influencing factors and measures of the stock market disaster in 2015 are analyzed, and some problems existing in the current rapid development of the domestic stock market are pointed out. That is, the leverage ratio of market funds is higher, and gambling psychology is obvious; The state policy has a great impression on the trend of the market, and the effect of the policy market is obvious; the investors are irrational and blindly follow the trend; the overall confidence is insufficient, and the development is hindered. After pointing out a series of problems, this paper puts forward a series of countermeasures, that is, to reduce the leverage ratio and capital risk, to perfect the supervision system, to establish and perfect the system and mechanism of the market, and to strengthen the rational education of investors to boost the confidence of the whole market. After completing the whole analysis, the author looks forward to the development of China's market, that is to say, the whole market will develop steadily and well, and there will be twists and turns in the process of progress, but we believe that the tomorrow of the capital market is a beautiful one.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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