阳光私募基金与股市波动的关系研究

发布时间：2018-02-20 20:37

本文关键词： 阳光私募基金证券市场股价波动机构投资者 GARCH模型　出处：《北京交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：2004年赵丹阳设立了第一只阳光私募基金,自那时起,阳光私募在私募基金阳光化、丰富金融产品、优化投资者结构和引入先进的量化分析工具等方面做了突出贡献。股市波动是理论界研究的热点,而阳光私募作为机构投资者的新兴力量,对股票市场的影响也越来越大,因此对二者之间的关系进行研究是有必要的。在理论方面,运用了有限理性、市场投机与操纵、羊群效应、短视行为以及投资策略差异等理论论证了阳光私募存在加剧股市波动的可能。在实证方面,首先运用ADF检验、ARCH效应检验、GARCH模型验证了私募登记备案制是否会加大深证成份股指数波动;其次选取我国深圳成分股指数、阳光私募基金季度持股比例、深圳成指季度波动率和上市公司股票交易相关指标作为样本,运用回归模型衡量了阳光私募对股市局部波动的影响。结论:私募基金备案制度的实施在一定程度上加剧了深证成指的波动;阳光私募基金持股比例越高,个股波动越大。但股票波动率与阳光私募基金持股比例的关系受市场行情的影响。当整个市场处于快速上涨时期时,阳光私募基金的持股比例越高,股票的波动率越高;而在市场下降和调整的时期,阳光私募基金持股比例对股市波动的影响不显著。创新点:从整体和局部两个角度分析了阳光私募和股市波动之间的关系;引入了 GARCH模型分析阳光私募基金是否会加大深证成指波动;运用回归分析了阳光私募持股比例是否影响股票价格波动。
[Abstract]:In 2004, Zhao Danyang set up the first sunshine private equity fund. Since then, sunshine private equity has been sunny in private equity funds, enriching financial products. The optimization of investor structure and the introduction of advanced quantitative analysis tools have made outstanding contributions. Stock market volatility is a hot research topic in the theoretical circle. As a new force for institutional investors, sunshine private equity has a growing impact on the stock market. Therefore, it is necessary to study the relationship between them. In theory, limited rationality, market speculation and manipulation, herd effect are used. The theory of short-sighted behavior and investment strategy difference demonstrates the possibility that sunshine private equity can aggravate the volatility of stock market. First, the ADF test is used to test the arch effect. The GARCH model is used to verify whether the private equity registration and filing system will increase the volatility of Shenzhen stock index. Secondly, the Shenzhen component stock index of China and the quarterly shareholding ratio of sunshine private equity fund are selected. Shenzhen Composite Index quarterly volatility and listed company stock trading related indicators as samples, This paper uses regression model to measure the influence of sunshine private equity on the local volatility of stock market. Conclusion: the implementation of private equity fund filing system intensifies the volatility of Shenzhen Stock Exchange Index to a certain extent, and the higher the proportion of sunshine private equity fund is, But the relationship between stock volatility and the proportion of sunshine private equity is affected by the market market. When the whole market is in the period of rapid rise, the higher the proportion of sunshine private equity is, the higher the volatility of the stock; However, in the period of market decline and adjustment, the influence of the proportion of sunshine private equity fund on stock market volatility is not significant. Innovation: the relationship between sunshine private equity and stock market volatility is analyzed from the whole and local perspectives; The GARCH model is introduced to analyze whether the sunshine private equity fund will increase the volatility of Shenzhen stock index, and the regression analysis is used to analyze whether the proportion of sunshine private equity holdings affects the volatility of stock price.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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