熔断机制对我国A股市场波动性影响研究

发布时间：2018-02-24 15:12

本文关键词： 熔断机制 A股公告效应不同市值　出处：《哈尔滨工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：2015年我国A股市场波动剧烈,经历牛熊转换,市场哀鸿遍野。为减少股灾的发生,稳定金融市场,证监会于2016年初实施熔断机制,然而仅经过4日便宣告失败,草草结束。虽然熔断机制实施时间短暂,却对我国A股市场造成了巨大影响。熔断机制实施之前市场是否已经存在反应?实施之后又对市场具体造成何种影响?鉴于目前关于熔断机制对股市的影响仍存在争议,本文对这些问题进行实证分析,一方面为金融市场管理部门和相关政策制定者提供了借鉴依据,另一方面,促进投资者理性认识熔断机制,减少因恐慌而导致的盲目交易。本文选取2015年12月28日至2016年1月7日的沪深300指数五分钟高频数据和2015年3月13日至2016年1月7日的沪深300指数成分股的日涨跌幅数据,在掌握相关知识的基础上,采用非参数分析法、EGARCH模型和事件研究法分析熔断机制对我国A股市场波动的影响,并且进一步分析了熔断机制的公告效应对股市波动影响和熔断机制对不同市值股票波动的影响,研究结果表明:我国熔断机制造成了股市的巨大波动,熔断机制的公告效应导致了股市收益的负向波动,熔断机制对不同市值的股票波动影响程度不同,股票市值越小,影响越大。本文对我国熔断机制的再次实施具有借鉴和指导意义。尤其关于熔断机制公告效应的研究结果说明市场提前对相关政策的实施做出了反应,相关管理部门应及时利用这一信息对市场情绪做出判断并采取相应措施。此外,熔断机制对不同市值股票波动影响不同,也为熔断阈值的设置提供了参考,相关部门对于政策的制定应该进行更周全的考虑。
[Abstract]:In 2015, the A share market of our country fluctuated violently, experienced the transition of the bull and bear, and the market was full of grief. In order to reduce the occurrence of the stock market and stabilize the financial market, the CSRC implemented the melting break mechanism on early 2016, but it failed only after 4th. Although the implementation of the fusing mechanism is short, it has had a great impact on the A-share market of China. Has there been any reaction in the market before the implementation of the fusing mechanism? What is the specific impact on the market after implementation? In view of the current controversy about the impact of the melting off mechanism on the stock market, this paper makes an empirical analysis of these problems. On the one hand, it provides a reference for financial market management departments and relevant policy makers, on the other hand, Promote investors' rational understanding of the fuse mechanism, To reduce the blind trading caused by panic. This paper selects the five minute high frequency data of the CSI 300 index from December 28th 2015 to January 7th 2016 and the daily rise and fall data of the CSI 300 index from March 13th 2015 to March 13th 2015. On the basis of mastering the relevant knowledge, the non-parametric analysis method (EGARCH model) and the event research method are used to analyze the influence of the melting mechanism on the volatility of A-share market in China. Furthermore, the influence of the announcement effect of the melting break mechanism on the stock market volatility and the influence of the melting break mechanism on the volatility of different market value stocks are analyzed. The results show that the melting break mechanism of our country has caused the huge volatility of the stock market. The announcement effect of the melting break mechanism leads to the negative fluctuation of stock market income. The degree of influence of the melting break mechanism on the stock fluctuation of different market value is different, and the smaller the stock market value is, The greater the impact is, the more important this paper is for the re-implementation of the melting break mechanism in China. Especially, the research results on the announcement effect of the melting break mechanism show that the market has responded to the implementation of the relevant policies in advance. The relevant management departments should use this information to judge the market sentiment and take appropriate measures. In addition, the melting break mechanism has different effects on the volatility of different market value stocks, which also provides a reference for the setting of melting threshold. Relevant departments should consider policy making more carefully.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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