熵理论在证券风险度量中的实证研究

发布时间：2018-03-03 16:12

本文选题：股票　切入点：熵模型　出处：《北方工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：2001年随着我国成功加入世界贸易组织,我国的社会经济借助于这次机会取得了快速的发展,与此同时,证券市场也借助于社会经济的发展不断完善。证券市场是我国社会主义市场经济的重要组成部分,对我国市场经济的整体运行起着重要的影响作用,证券市场能否有序健康运行直接关系到我国市场经济体系能否良好健康地发展,因此,整个社会对证券市场能否良好运行给予了高度重视。但是,由于自身发展的局限性,尽管我国证券市场得到了全面快速的发展,但同时也呈现出了较大的波动性,例如股票在交易日突然异常上涨或下跌,这些异常现象会影响投资者的投资行为,最终扩大投资者投资活动的不确定性。因此,为了对证券市场中的这种波动性进行更好地了解和控制,我们有必要对我国证券市场的投资风险进行度量,了解各个股票间的风险差异状况,为投资者进行证券投资提供帮助。本文首先介绍了当前学术领域对风险及证券风险的相关研究,并从风险度量理论的产生与发展角度展开,从国内、国际两个方向介绍了当前风险研究领域的相关研究工作;其次通过介绍熵理论的产生以及熵的定义与性质,引出熵理论在现代证券市场风险度量领域的研究现状,阐明构建熵模型的思想,将该思想应用于我国的证券风险度量领域,针对当前该模型存在的缺点,考虑熵模型的修正及投资者在投资活动中的风险厌恶程度,构建风险度量熵模型,以2006年1月到2017年3月之间创业板495只股票的每日收盘价为实证数据,利用风险度量熵模型得到创业板495只股票的风险排名;最后选取若干只风险较低的股票,构建投资组合模型,计算得到相应投资比重,为投资者的证券投资行为提供参考。
[Abstract]:In 2001, with China's successful accession to the World Trade Organization (WTO), China's social economy made rapid progress with the help of this opportunity, while at the same time, The securities market is an important part of our socialist market economy and plays an important role in the overall operation of our country's market economy. The orderly and healthy operation of the securities market is directly related to the sound and healthy development of the market economy system of our country. Therefore, the whole society attaches great importance to the good operation of the securities market. However, due to the limitations of its own development, Although the securities market in our country has developed rapidly and comprehensively, it has also shown great volatility, such as the sudden and abnormal rise or fall of stocks on the trading day, which will affect the investment behavior of investors. Therefore, in order to better understand and control the volatility in the securities market, it is necessary to measure the investment risk in China's securities market. This paper first introduces the current research on risk and securities risk in the academic field, and starts with the emergence and development of risk measurement theory. This paper introduces the current research work in the field of risk research from domestic and international perspectives. Secondly, by introducing the emergence of entropy theory and the definition and nature of entropy, the present situation of research on entropy theory in the field of risk measurement in modern securities market is introduced. This paper expounds the idea of constructing entropy model and applies it to the field of securities risk measurement in China. In view of the shortcomings of the present model, the modification of entropy model and the risk aversion of investors in investment activities are considered. Based on the daily closing price of 495 gem stocks from January 2006 to March 2017, the risk measurement entropy model is used to obtain the risk ranking of gem 495 stocks. Finally, some stocks with lower risk are selected, and the portfolio model is constructed, and the corresponding investment proportion is calculated, which provides a reference for investors' securities investment behavior.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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