中国股票市场时变信息风险的测量与定价研究

发布时间：2018-01-15 14:32

本文关键词：中国股票市场时变信息风险的测量与定价研究　出处：《天津大学》2013年博士论文　论文类型：学位论文

【摘要】：对股票的时变信息风险的测量无论对投资者企业，还是监管者都有着重要意义由于测量股票的时变信息风险有助于更准确地测量信息风险，因此，它不仅有助于投资者管理信息风险企业管理资本成本监管者监管市场，而且还有助于资产定价本文对中国股票市场的时变信息风险测量与定价等问题进行了理论和实证研究，全文共分为四部分：第一部分，研究背景与研究意义文章结构安排与主要内容本文的创新点以及课题研究现状，包括第1～2章；第二部分，时变信息风险测量的研究，包括第3～5章；第三部分，基于时变信息风险测量的H股折价研究，包括第6章；第四部分，，全文的总结和展望，包括第7章各章内容简介如下：第一章，绪论介绍论文的研究背景和研究意义，并概括本文的研究内容结构框架和本文的创新点第二章，国内外研究现状综述系统梳理信息风险测量与定价的国内外研究成果和最新研究动向，并指出已有研究存在的不足第三章，考虑对称性冲击与消息状态时变的时变信息风险测量针对Duarte和Young(2009)[1]模型中消息状态概率和对称性订单流冲击概率的假设为常数这一缺陷，使用交易量建模消息状态概率和对称性订单流冲击概率，允许消息发生概率和对称性订单流冲击概率均时变，提出考虑对称性冲击的时变信息风险测量模型然后选取交易活跃的几只股票实证检验所建模型对数据的拟合效果第四章，基于MMPP模型的时变信息风险测量针对EKOP模型假设中的信息到达独立以及知情交易者和非知情交易者的到达率均为常数这一缺陷，提出考虑信息到达非独立，知情交易者和非知情交易者的到达率均时变的PIN估计方法首先，基于马尔科夫调制泊松过程模型（即MMPP模型）分别对流动性交易到达笔数和信息性交易到达笔数建模，从而建立基于马尔科夫调制泊松过程的交易笔数分离模型；其次，根据已建立的交易笔数分离模型，构建新的PIN估计方法；最后，估计交易活跃的几只股票的PIN，并对估计的结果进行适用性检验第五章，基于久期视角的时变信息风险测量考虑到卖空限制对传统PIN估计的影响，基于Tay,Ting,Tse和Warachka（2009）[2]的PIN估计模型，提出考虑卖空限制的PIN估计模型然后采用该模型估计交易活跃的几只股票的PIN,并对比我们的模型与Tay,Ting,Tse和Warachka（2009）[2]的模型对数据拟合的效果，同时估计出日内时间间隔和日间的PIN 第六章，基于时变信息风险测量的H股折价研究已有关于H股折价的研究对信息风险测量多采用间接测量的方法，本章采用第三章构建的时变信息风险测量模型，估计A股和H股的时变PIN在控制好相关变量的基础上，实证检验信息风险是否为产生H股折价的原因之一第七章，总结与展望对全文的研究内容进行总结，并在此基础上提出今后的研究展望
[Abstract]:Measuring information risk of the stock when the enterprise for the investors or regulators, are of great significance because of the time-varying risk measurement of stock information helps to more accurately measure the risk of information. Therefore, it not only helps investors risk management information management cost of capital market regulation, but also contribute to asset pricing the China stock market information time-varying risk measurement and pricing issues such as the theoretical and empirical research, this paper is divided into four parts: the first part, the research background and significance of the structure and main content of the innovation of this paper and the research status quo, including first to the 2 chapter; the second part, study on time varying the information risk measurement, including third to the 5 chapter; the third part, the research of H-shares discount based on time-varying risk measurement information, including the sixth chapter; the fourth part, a summary of the full text And prospects, including the following seventh chapters of the following chapters:
In the first chapter, the introduction introduces the background and significance of the research, and summarizes the framework of the research content and the innovation point of this paper.
The second chapter summarizes the research status at home and abroad, systematically reviews the domestic and foreign research results and the latest research trend of information risk measurement and pricing, and points out the shortcomings of existing research.
The third chapter, considering the symmetry of the impact and message state time-varying time-varying information risk measurement based on Duarte and Young (2009) impact probability message state probability and the symmetry of the order flow in the [1] model hypothesis for this defect using constant volume modeling message state probability and symmetric order flow shock probability, the message is allowed to happen the probability and the symmetry of the order flow shock probability time-varying is proposed considering the symmetry impact of time-varying risk measurement model of information and then select the active trading shares a few empirical tests on the model data fitting effect
The fourth chapter, the MMPP model of time-varying risk measurement information for EKOP model assumptions in the information reaches the independent and informed traders and uninformed traders of the arrival rate is constant the defect based on the proposed information to non independent, informed traders and uninformed traders of the arrival rate of time-varying PIN estimation method firstly, Markov based on the modulated Poisson process model (MMPP model) respectively for liquidity trading and transaction information reaches the number reached number of modeling, so as to establish the model of separation of number of transactions based on the Markov modulated Poisson process; secondly, according to the model number of transactions has been established, to construct a new PIN estimation method; finally, the estimated transaction a few stocks active PIN, and the applicability of the estimation results
The fifth chapter, from the perspective of the duration of time-varying risk measurement information considering the short selling restrictions on impact, the traditional PIN estimation based on Tay, Ting, Tse and Warachka (2009) [2] PIN estimate model, considering the restrictions on short selling PIN estimation model and then using the model to estimate a few stocks active trading of the PIN, and compared with the Tay model, our Ting, Tse and Warachka (2009) [2] model for data fitting, and the estimated time of day and day of the PIN interval
The sixth chapter, study on the H-share discount based on time-varying risk measurement information of H-shares discount many studies, uses the indirect measurement method of information measurement of risk, this chapter uses third chapters to construct time-varying information risk measurement model, estimation based A and H shares in good control of time varying PIN related variables, empirical test information is one of the causes of risk discount of H-shares
The seventh chapter, summing up and looking forward to the research content of the full text, and on this basis, put forward the future research prospect

【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】