信息冲击、非理性投资与股市联动——基于沪深市场交易数据的实证检验

发布时间：2018-01-26 09:08

本文关键词： 证券市场联动效应羊群效应杠杆效应 VEC-GARCH-CCC模型　出处：《南方金融》2017年02期 　论文类型：期刊论文

【摘要】：不同证券市场之间的联动是金融一体化的表现,也是诱发金融动荡的重要因素之一。本文基于证券市场联动机理,构建VEC-GARCH-CCC模型,对沪深股票市场联动情况进行实证分析。研究结果表明:第一,上证指数与深圳成指存在长期一致性和短期双向因果联系,沪深两市股票价格具有同涨同跌与相互引导的联动特征,沪市对深市的影响占主导地位;第二,新信息与旧信息、利好消息与利空消息对市场的影响不存在差异性,市场投资行为决策主要依赖于"旧信息";第三,沪深两市投资者行为具有明显的羊群效应和动物精神等非理性特征,市场"追涨杀跌"的非理性投资行为盛行;第四,两市股票收益率服从尖峰厚尾的t分布特征,收益率处于极端市场条件下的概率将大幅上升,股票市场存在较高的系统性风险。有鉴于此,建议完善证券市场交易机制,降低沪深两市内部的异常波动和市场间的异常联动;大力培育机构投资者,同时引导散户投资者强化风险意识和理性投资观念;构建多部门协调配合的宏观审慎政策调控体系,避免股票市场系统性风险累积和暴露。
[Abstract]:The linkage between different securities markets is the manifestation of financial integration and one of the important factors to induce financial turbulence. This paper constructs VEC-GARCH-CCC model based on the linkage mechanism of securities market. Empirical analysis of Shanghai and Shenzhen stock market linkage. The results show that: first, there is a long-term consistency and short-term two-way causal relationship between Shanghai Stock Exchange Index and Shenzhen Composite Index. The stock price of Shanghai and Shenzhen stock market has the linkage characteristic of rising and falling with each other, and the influence of Shanghai stock market on Shenzhen stock market is dominant. Secondly, there is no difference between the new information and the old information, the good news and the bad news on the market, and the decision-making of the market investment behavior mainly depends on the "old information"; Thirdly, the behavior of investors in Shanghai and Shenzhen stock market has obvious irrational characteristics such as herd effect and animal spirit, and the irrational investment behavior of "chasing after rise and fall" is prevalent in the market. In 4th, the rate of return of the two stock markets will increase significantly under the extreme market conditions, and the stock market has a high systemic risk in view of the t distribution characteristics of the stock yield from the peak and the thick tail. It is suggested to perfect the trading mechanism of the stock market and reduce the abnormal fluctuation and the abnormal linkage between the Shanghai and Shenzhen stock markets. Cultivate institutional investors and guide retail investors to strengthen risk awareness and rational investment concept; To avoid the accumulation and exposure of systemic risk in stock market, we should construct a system of macro-prudential policy regulation and control.
【作者单位】：西安交通大学经济与金融学院;陕西学前师范学院;
【基金】：国家社会科学基金重大项目《民间资本供求、风险防范及其健康发展研究》(项目编号:12&ZD071)的资助
【分类号】：F832.51
【正文快照】： 一、引言不同证券市场价格之间存在同涨同跌的整体联动现象,这是市场信息传递与反馈效率提高的重要表现,也是金融一体化发展的必然结果。然而,不同市场价格之间的联动效应加剧了证券市场的共同风险,减弱了投资者跨市场分散投资的风险管理效果,提高了偶然性事件诱发系统性风险

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