基于极值理论设置我国股票市场指数熔断机制触发点的研究

发布时间：2018-01-18 01:11

本文关键词：基于极值理论设置我国股票市场指数熔断机制触发点的研究　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：2016年1月1日,我国股票市场开始实施以沪深300指数(CSI300)为基准的指数熔断机制,但是仅仅4个交易日,就有2天因触发熔断机制导致交易所提前闭市。原本实施指数熔断是为了防止价格暴涨暴跌,维持市场稳定。但是事与愿违,我国实施的指数熔断机制并没有达到原本的目的,反而加剧了市场恐慌,所以紧急叫停,从1月8日开始暂停实施该机制。在我国,不管在指数熔断机制实施前还是实施后,对该机制的设置均存在争议:是否应该引入指数熔断制度,应该如何实施指数熔断制度等。虽然如此,但是国内关于熔断机制的研究更多的还是停留在定性研究层面,用定量方法对熔断机制进行实证研究的文献较少。所以,对我国股票市场熔断触发点进行定量实证分析,具有一定实际意义。在对熔断触发点进行设置的研究中,Booth和Broussard(1998)[1]曾用极值理论的方法对美国纽约股票交易所的熔断机制进行过研究。在此基础上,郭阳阳(2011)[2]用了极值理论中的POT模型对我国股指期货合约的熔断触发点水平进行了研究。本文将继续沿用上述研究方法,但是会结合我国市场的实际情况的不同、选用样本的差别等因素进行改进。本文将用极值理论中的POT模型,从CSI300日收益率、日内最大涨幅(跌幅)比率两个角度出发,分别进行熔断触发点的设置。并通过对比,分析是否有必要对CSI300在上涨方向和下降方向上分别设置熔断触发点。经过实证分析,本文主要得出如下结果:1.当将异常波动比率设为0.5%时,若将CSI300在上涨方向和下降方向上设置统一的熔断触发点,则可将其设置为7.6%;若分别设置熔断触发点,则可设置为7.0%(上涨方向)、7.8%(下降方向)。2.当将异常波动比率设为0.1%时,若将CSI300指数在上涨方向和下降方向上设置统一的熔断触发点,则可将其设置为8.8%;若分别设置熔断触发点,则可设置为8.8%(上涨方向)、8.9%(下降方向)。从实证分析过程中可以看出,CSI300指数在上涨方向和下降方向上的波动是不对称的,所以有必要在这两个方向上分别设置合理的熔断触发点。且以日收益率为基础来设置CSI300的熔断触发点,会忽略指数日内的波动规律,不能有效防范极端风险,从而存在一定弊端。由于CSI300是由300只具有10%涨跌停板幅度限制的成分股构成,所以CSI300指数本身就有[-10%,10%]的波动幅度限制。若在这个范围内,在两个方向上分别都设置不止一个熔断触发点,极有可能造成熔断触发点水平设置过低、距离过近,从而加剧市场的波动。所以结合我国及其他各国熔断机制设置的经验,本文选择在CSI300每个波动方向上只设置一个合适的熔断触发点。相较于现有的研究,本文主要的创新点可概述如下:1.研究主题:国内外关于熔断机制的研究较少,在这当中,国内对此的研究较多的是用定性方法,主要是一些评论性的文章。关于熔断机制实证方面的研究很少,而关于我国股票市场熔断机制触发点设置方面的实证研究更少,故本文所选的研究主题具备一定的创新性;2.样本选取:选用了 CSI300自2005年4月8日至2015年8月25日将近10年的交易数据,不仅包含最近几年的数据,反映了最新的市场交易情况;而且所选用数据的时间跨度长,样本量充足。由此所得的结果更具说服性;3.研究思路:在研究过程中,区分了 CSI300上涨方向和下跌方向两种情况,即分别研究日内最大涨幅比率、最大跌幅比率的熔断触发点,看这两个方向上的熔断触发点的设置情况是否一样。通过与日收益率研究的结果进行对比,结合我国股市的基本情况、以及CSI300自身的特点,分析是否有必要在CSI300上涨和下跌方向分别设置不同的熔断触发点水平。
[Abstract]:In January 1, 2016, China's stock market began in Shanghai and Shenzhen 300 index (CSI300 index) circuit breakers for the benchmark, but only 4 trading days, there are 2 days for trigger circuit breakers to close the exchange in advance. Originally the implementation index fuse is to prevent prices rising, maintain market stability. But instead, the index circuit breakers our implementation did not achieve the original purpose, but exacerbated the market panic, so an emergency stop, start to suspend the implementation of the mechanism from January 8th. In our country, no matter in the implementation of the implementation index before and after the circuit breakers, the mechanism settings are controversial: whether we should introduce the fuse index system, how to implement the index fuse system. Even so, but the domestic research on circuit breakers more or stay in qualitative research, empirical of circuit breakers with quantitative method The research literature is less. So, the fuse of China's stock market triggered quantitative empirical analysis, has certain practical significance. In the study set the trigger point on the fuse in Booth and Broussard (1998) [1] has used the method of extreme value theory on the New York stock exchange of the circuit breakers have been studied. On the basis of Guo Yangyang, (2011) [2] by fusing POT model in extreme value theory of China stock index futures contract the trigger level is studied. This paper will continue to use the above methods, but combined with the actual situation of the market of our country is different, the sample differences and other factors are improved. This paper uses the POT model of extreme value in the theory, from the CSI300 on the yield, the largest increase in two percentage point (decline), respectively the fuse trigger point set. Through comparison and analysis, whether it is necessary to CSI300 on the rise The direction and the descent direction are respectively arranged on the fuse trigger point. Through empirical analysis, this paper draws the following results: 1. when the fluctuation ratio is set to 0.5%, if the CSI300 will set up a unified fuse rising direction and descent direction of the trigger point, it can be set to 7.6%; if the fuse set trigger point it can be set to 7% (up 7.8% (direction), descent direction).2. when the fluctuation ratio is set to 0.1%, if the CSI300 index rose in the fuse set uniform direction and descent direction of the trigger point, it can be set to 8.8%; if the fuse set trigger point can be set to 8.8% (rising direction), 8.9% (down direction). It can be seen from the empirical analysis, the fluctuation of CSI300 index in the rise and fall of the direction of direction is asymmetric, so it is necessary to fuse the reasonable trigger point are respectively arranged in the two direction. And the day Rate of return as the basis to set the CSI300 fuse trigger point, will ignore the fluctuation of intraday index, can not effectively prevent the extreme risk, so there are some disadvantages. Because the CSI300 is composed of 300 stocks with only 10% price limit restrictions, so the CSI300 index itself is [-10%, the amplitude of fluctuation of 10%] if the limit. This range in two directions are respectively provided with more than one fuse trigger point, is likely to cause the fuse trigger level is set too low, too close, thus exacerbating the volatility of the market. So the combination of our country and other countries set up circuit breakers of experience, this paper choose a suitable fuse set in CSI300 each wave direction trigger point. Compared with the existing research, the main innovation of this paper can be summarized as follows: 1. research topics: there are few studies on circuit breakers, in this as in domestic This is the use of qualitative methods, mainly some commentary. Very little research on the empirical circuit breakers, and circuit breakers on the stock market of our country set the trigger point of empirical research is less, so this paper selected topic has certain innovation; 2. sample selection: selection of CSI300 from April 8, 2005 to August 25, 2015, nearly 10 years of trading data, not only contains the data in recent years, reflecting the latest market situation; and the data of the long span of time, a sufficient sample size. The result of more persuasive; 3. research ideas: in the course of the study, the distinction between the rise in CSI300 direction and the down direction of two kinds, namely the biggest gain ratio of days, the biggest decline in the ratio of the fuse trigger point, look at the two directions on the fuse trigger point whether things like setting By comparing with the results of daily yield research, combined with the basic situation of China's stock market and the characteristics of CSI300, it is necessary to analyze whether it is necessary to set different level of fuse trigger point in the direction of CSI300's rise and fall.

【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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