中国股市和债市的跳跃及共跳研究

发布时间：2018-01-07 07:35

本文关键词：中国股市和债市的跳跃及共跳研究　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文利用2007年至2012年的沪深300指数和上证国债指数的5分钟高频数据研究了资产价格的跳跃与宏观经济信息发布的关系。我们使用了BTL(2013)的方法,在考虑了价格跳跃的日内模式的基础上提取了股票市场和债券市场的跳跃和共跳。此后利用Tobit-GARCH以及Logit模型研究了跳跃和共跳的特征以及与定期发布的宏观信息之间的关系。实证结果表明：股票市场和债券市场都有显著的跳跃特征,跳跃具有明显的集聚性和时变性。两个市场的跳跃比例要远大于欧美发达国家。债券市场的跳跃频率高但幅度较小,而股票市场的跳跃频率略低但幅度大。两个市场的正负向跳跃具有一定的对称性,跳跃具有周效应和日内特征。工业产值(IO)、工业品出厂价格指数(PPI)、贸易差(TB)、社会消费品零售总额(RS)和固定资产投资额(FI)对债券市场的跳跃有显著影响。工业产值(IO)、工业品出厂价格指数(PPI)、居民消费价格指数(CPI)、出口额(EX)、国内生产总值(GDP)、采购经理人指数(PMI)对股票市场跳跃有显著影响。宏观信息发布时,市场不会立刻做出调整,在信息发布10至15分钟,以及40至50分钟时市场才能反映完全,反映出信息解读效率较低。此外,大部分的显著指标的影响系数为负,这说明指标的负向冲击会显著的加大跳跃幅度,而正向冲击会减小跳跃幅度,市场对负向冲击的反应更为强烈。较单个市场与宏观信息发布的关系而言,股票市场与债券市场的共跳与宏观信息发布的关系更为紧密。研究的10个经济指标中,几乎所有的指标(除PMI外)均在某一或某几滞后期的影响系数显著。本文的主要贡献在于揭示了资产价格跳跃的日内模式,研究了两个市场的共跳并分析了各宏观经济信息对跳跃及共跳的不同影响。
[Abstract]:In this paper, from 2007 to 2012 in Shanghai and Shenzhen 300 index and Shanghai bond index of 5 minute high-frequency data of asset prices jump relations release and macroeconomic information. We use the BTL (2013) method, considering the price jump intraday pattern on the extraction of the jump and the stock market and bond market jump. The relationship between Tobit-GARCH and then use the Logit model to study the characteristics of jump and jump, and regularly publish the macro information.
The empirical results show that: the stock market and bond market have significant jump, jump has obvious agglomeration and time-varying. Two market jumps are far greater than the proportion of developed countries in Europe and America. The bond market jump high frequency but to a lesser extent, but the stock market jump frequency is slightly lower. But the range of plus or minus two a jump to the market has a certain symmetry, jump with the week effect characteristics and days. Industrial output (IO), producer price index (PPI), trade difference (TB), total retail sales of social consumer goods (RS) and the amount of investment in fixed assets (FI) has a significant influence on the bond jumping market. Industrial output (IO), producer price index (PPI), the consumer price index (CPI), exports (EX), the gross domestic product (GDP), purchasing managers index (PMI) on the stock market jump has a significant impact. The macro information is released, the market will not immediately Make adjustments in the information released in 10 to 15 minutes, and 40 to 50 minutes when the market can be fully reflected, reflecting the information of low efficiency. In addition, the most significant influence coefficient index is negative, indicating that the index of negative impact will significantly increase the jump, and it will reduce the impact to jump a strong negative impact on the market, the reaction is more than a single. The relationship between market and macro information, the relationship between the stock market and bond market total jump and macro information release more closely. 10 economic indicators in the study, almost all indexes (except PMI) were affected in one or some lag coefficient is significant.
The main contribution of this paper is to reveal the intraday pattern of asset price jump. We study the co jump of two markets and analyze the different effects of macroeconomic information on jump and co jump.

【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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