我国股市预警机制设计的研究

发布时间：2017-12-31 23:16

本文关键词：我国股市预警机制设计的研究　出处：《南京财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：由于我国股票市场在迅速发展的过程中仍然存在诸多不足，与成熟市场相比，我国股市的波动性相对较大。通过对股票市场波动的辨识，削弱波动性的不良影响，设计一套适应于我国股票市场的预警机制监测其运行显得十分必要。国内外学者针对股票市场预警机制已经做出了很多研究，，本文运用“信号法”模型，设计了适应于我国股票市场的预警机制，该预警机制将预警指标分为长期、中期、短期三个类别，并运用统计上的“3σ”原则确定指标阈值，本文把指标正常状态的安全值域定义为[X-2σ， X+2σ]，每类指标体系超过一定数量的指标超过阈值则视为发出预警信号。当长期预警指标发出预警信号时，就进入对股市的中期预警监测阶段；当中期预警发出预警信号时，监测频率即提高至每日监测。该预警机制与传统的预警机制相比较，提高了对股市的监测频率，因此能够更好的提升预警效率。为了检验上述股票市场预警机制的可靠性，本文开发了一个名为“MonetaryCrisis”的应用程序，并以我国股市过去的表现作为模拟环境，模拟结果发现，Monetary Crisis能够较好的反映我国股票市场的危机程度。这表明，该程序能够从长期、中期、短期对我国股票市场的运行进行有效的监测。在上述研究的基础上，本文最后从投资及监管两方面提出应对股市危机的建议。
[Abstract]:There are still many shortcomings in the rapid development of stock market in our country. Compared with the mature market, the volatility of stock market in our country is relatively large. So it is necessary to design a set of early warning mechanism to monitor the operation of stock market. Scholars at home and abroad have done a lot of research on the stock market early warning mechanism. In this paper, the "signal method" model is used to design an early warning mechanism suitable for China's stock market. The early warning mechanism divides the early warning index into three categories: long term, medium term and short term, and uses the statistical "3 蟽" principle to determine the threshold value of the index. In this paper, the safe range of the normal state of the indicator is defined as [X-2 蟽, X2 蟽], each type of index system exceeding a certain number of indicators over the threshold is considered as an early warning signal, when the long-term early warning indicators send out early warning signals. To enter the stage of mid-term early warning and monitoring of the stock market; When the early warning signal is issued, the monitoring frequency is increased to daily monitoring. Compared with the traditional early warning mechanism, the monitoring frequency of the stock market is increased, so it can improve the efficiency of early warning better. In order to test the reliability of the stock market warning mechanism mentioned above, an application called "MonetaryCrisis" is developed in this paper, and the past performance of the stock market in China is taken as the simulation environment. The simulation results show that the Crisis can well reflect the crisis degree of China's stock market. This shows that the program can be used in the long and medium term. Short-term monitoring of the operation of the stock market in China. On the basis of the above research, this paper puts forward some suggestions to deal with the stock market crisis from the aspects of investment and supervision.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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