异质信念、信用交易与股票波动性

发布时间：2018-06-25 05:46

本文选题：ICSS算法 + 异质信念　；参考：《合肥工业大学》2017年硕士论文

【摘要】：信用交易是资本市场发展到一定阶段的产物,我国自2010年3月31日开展的融资融券业务,对资本市场发展发挥着积极地作用,但在平抑市场波动性方面还有待商榷。市场交易发现投资者的异质信念和羊群行为在融资融券的协同作用下显著影响着市场波动。融资融券交易推出后在不同阶段是否对投资者的异质信念产生了影响,进而给股市的波动性带来新的变化这一问题已成为理论界研究的热点。采用ICSS算法对行情下进行划分后,在市场层面运用主成分分析法构建了衡量投资者异质信念的指标,分析了异质信念与信用交易、异质信念与羊群行为对股票波动性的影响;在个股层面分不同行情着重分析了异质信念与信用交易对股票波动性的影响。实证研究发现:第一,投资者异质信念是动态变化的;第二,就市场层面的分析:(1)在平稳期,股票波动性与异质信念不相关;(2)在上涨初期,融资交易使得该阶段投资者的异质信念减弱,股票波动性下降;(3)在泡沫期,异质信念扩大与融资交易协同影响并加大股票波动性。在暴跌期间,异质信念被弱化,投资者的羊群卖出行为在杠杆作用下显著提升股票波动性和下跌速率。第三,就个股层面的分析:(1)个股的融资交易与异质信念均会增加股票波动性,并且会引发股票暴跌风险,而融券交易通过卖空股票释放股价高估的压力和削减异质信念双重作用下来降低股票波动性。(2)不同行情下,融资交易与异质信念的协同作用是有差异的。在异常波动期,二者的协同作用会更加剧股票波动性。最后,基于实证研究的结果,本文提出了相应的政策建议。
[Abstract]:Credit transaction is the result of the development of capital market to a certain stage. Since March 31, 2010, the financing and securities lending business in China has played a positive role in the development of capital market, but in the aspect of stabilizing the market volatility, it remains to be discussed. Market trading found that investors' heterogeneous beliefs and herd behavior significantly affected market volatility under the synergistic effect of margin and margin. The issue of whether margin trading affects investors' heterogeneous beliefs in different stages after the introduction of margin trading and brings new changes to the volatility of the stock market has become a hot topic in the theoretical circle. After using ICSS algorithm to divide the market, we use principal component analysis method to construct the index to measure investors' heterogeneity belief, and analyze the influence of heterogeneous belief and credit transaction, heterogeneity belief and herd behavior on stock volatility. The influence of heterogeneous beliefs and credit trading on stock volatility is analyzed at the individual stock level. The empirical study found that: first, investor heterogeneity belief is dynamic; second, on the market level analysis: (1) in the stable period, stock volatility is not related to heterogeneity belief; (2) in the early stage of the rise, Financing transaction makes investors' heterogeneity belief weaken, and stock volatility decrease; (3) during bubble period, heterogeneity belief expands and financing transaction synergistically influences and increases stock volatility. During the crash, heterogeneous beliefs were weakened, and investors' herd selling significantly increased volatility and decline rate under leverage. Third, on the stock level analysis: (1) the financing transactions and heterogeneous beliefs of individual stocks will increase the volatility of stocks, and will lead to the risk of stock collapse. Short selling stocks release the pressure of overvaluation and reduce the heterogeneity belief to reduce the volatility of stock. (2) under different market conditions, the synergy between financing and heterogeneous beliefs is different. In the abnormal volatility period, the synergy between the two will increase the volatility of stocks. Finally, based on the results of empirical research, this paper puts forward the corresponding policy recommendations.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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