基于HAM的突发事件对股票市场冲击的传导机制研究

发布时间：2018-04-24 08:11

本文选题：突发事件 + 股票市场　；参考：《哈尔滨工业大学》2013年硕士论文

【摘要】：突发事件对股票市场的冲击已经成为了学者和管理者最为关注的问题之一，，而目前已有的研究成果都集中于事件研究法，并未形成突发事件对股票市场的冲击的一般性的研究方法和结论。本文运用投资者行为的异质性的分析框架，研究突发事件对我国股票市场的冲击的传导机制。本文首先结合已有的研究成果定义了突发事件，并分别按基本分类法和突发事件冲击股票市场后的市场表现进行了分类；其次，分析了突发事件对我国股票市场的冲击传导机理。再次，在已有的研究基础上推导突发事件非线性冲击函数；在基本异质代理模型（HAM）的基础上并考虑了我国股票市场的相关规定和限制，建立了突发事件对我国股票市场冲击的HAM。最后，运用Lyapunov第二定理证明了基本HAM是渐进稳定；并运用近似系统的研究成果证明了含冲击条件的HAM也是局部渐进稳定。本文构建了多目标参数寻优模型，运用上证综指2007年1月1日至2012年12月31日的收盘价计算了我国股票市场的HAM的参数。计算结果表明我国股票市场非理性程度较高。运用仿真的方法研究了突发事件对我国股票市场冲击前的股票市场环境和突发事件内部特征对突发事件冲击后的投资者行为和市场表现的影响。仿真结果表明，突发事件爆发前的市场环境直接影响了突发事件爆发后的投资者行为进而影响了股票市场的表现；突发事件内部特征对我国股票市场的投资者行为存在显著的影响进而影响突发事件爆发的后市场表现。另外，研究还发现，突发事件冲击强度达到一定程度之后，在突发事件冲击我国股票市场后市场中的趋势投资策略失效，市场中的趋势投资者比例显著下降，而基本面投资者比例显著上升，市场表现更为理性。但是突发事件对股票市场冲击使股票市场表现更为理性的临界值还有待进一步的研究。
[Abstract]:The impact of emergencies on the stock market has become one of the most concerned questions of the scholars and managers, and the existing research results are concentrated on the event research method, and the general research methods and conclusions on the impact of sudden events on the stock market have not been formed. The transmission mechanism of unexpected events on China's stock market is studied.
First of all, this paper combines the existing research results to define the emergencies, and classifies the market performance according to the basic taxonomy and the emergencies after the impact of the stock market. Secondly, it analyzes the impact transmission mechanism of the sudden events on the stock market in China. On the basis of the basic heterogeneous agent model (HAM) and considering the relevant regulations and restrictions of the stock market in our country, the HAM. of the impact of the sudden event on our stock market is established. The Lyapunov second theorem is used to prove that the basic HAM is gradual and stable, and the research results of the approximate system prove that the HAM with the impact condition is also proved. It is locally progressive and stable.
This paper constructs a multi objective parameter optimization model, and uses the closing price of Shanghai Composite Index from January 1, 2007 to December 31, 2012 to calculate the parameters of HAM in China's stock market. The results show that the stock market in China has a high degree of irrationality. The simulation method is used to study the stock market ring before the impact of the sudden event on the stock market in China. The impact of internal characteristics on the behavior of investors and market performance after the shock of emergencies. The simulation results show that the market environment before the outbreak of emergencies directly affects the behavior of investors after the outbreak of emergencies and then affects the performance of the stock market; the internal characteristics of the unexpected events invest in the stock market of our country. In addition, the study also found that after the shock intensity reached a certain degree, the trend investment strategy in the market after the sudden event hit China's stock market failed, and the proportion of the trend investors in the market declined significantly, and the basic investor was in the market. The proportion of the stock market is more rational. But the critical value of the shock to the stock market that makes the stock market more rational remains to be further studied.

【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】：2013
【分类号】：F832.51

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