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我国股市波动的理论研究与实证分析

发布时间:2018-07-08 09:46

  本文选题:波动率 + ARCH模型 ; 参考:《云南财经大学》2013年硕士论文


【摘要】:随着经济全球化、一体化和自由化,,金融市场在现代经济运行过程中所处的地位也越来越重要。股票市场作为金融市场的重要组成部分,对经济发展发挥巨大的作用。股票市场的波动已成为金融研究的核心,股票市场的波动有外部因素也有内部因素。股票的收益波动率是当代金融经济学的核心领域,作为市场风险的度量,对波动率的辨识直接影响证券定价、资产配置以及风险管理的建模。多年来,为了揭示经济及金融波动的本质,国内外学者进行了不懈的探索。 在本文中,通过理论研究和实证分析对股票市场的波动进行了探讨。首先从宏观经济因素、宏观经济政策、政治因素、行业因素、技术指标因素以及心理因素等各方面分析了股影响票市场波动的原因,这有助于我们更好的预测股市波动趋势,其次介绍了股市波动的相关理论和收益率波动的基本特征,这些都是我们研究股市波动的理论基础,对于股票市场波动的研究都是根据这些理论慢慢发展的。再次选取了上证指数和深证成指作为研究对象,采取了对数收益率,经过描述性分析,了解了我国股市收益率的尖峰厚尾等基本特征。最后,用GARCH模型对我国上证指数和深证成指收益率进行检验,发现收益率与风险存在正相关关系,且对两个市场的风险进行比较,深圳股市的投资者更加厌恶风险,即深圳股市的风险溢价高于上海。再用EGARCH模型检验,我国股市的股指收益率都具有杠杆效应,利空的消息比等量利好的消息产生的波动更大,最后通过格兰杰因果检验发现这两个市场之间存在溢出效应,在长期两市的溢出效应是对称的,二者同时大起大落。 最后,通过对我国股票市场的分析,为了有效的控制股市的异常波动,保证股市的正常稳定,增强股票市场的运行效率,促使股票市场持续、健康的发展,提出了相应的建议。首先,不断的完善证券法律法规;其次,减少政府干预;最后,规范信息披露制度。
[Abstract]:With the globalization, integration and liberalization of economy, the position of financial market in modern economic operation is becoming more and more important. As an important part of financial market, stock market plays a great role in economic development. The volatility of stock market has become the core of financial research. There are external and internal factors in the volatility of stock market. The volatility of stock returns is the core field of contemporary financial economics. As a measure of market risk, the identification of volatility directly affects the modeling of securities pricing, asset allocation and risk management. For many years, in order to reveal the nature of economic and financial fluctuations, domestic and foreign scholars have made unremitting exploration. In this paper, the volatility of stock market is discussed through theoretical research and empirical analysis. First of all, from the macroeconomic factors, macroeconomic policies, political factors, industry factors, technical indicators and psychological factors, this paper analyzes the causes of stock market volatility, which will help us better predict the stock market volatility trend. Secondly, this paper introduces the relevant theories of stock market volatility and the basic characteristics of return volatility, which are the theoretical basis of our research on stock market volatility, and the research on stock market volatility develops slowly according to these theories. Thirdly, the author chooses Shanghai Stock Exchange Index and Shenzhen Stock Exchange Composite Index as the research object, takes logarithmic rate of return, through descriptive analysis, understands the basic characteristics of the sharp and thick tail of the stock market return rate in our country. Finally, the GARCH model is used to test the yield of Shanghai Stock Exchange and Shenzhen Stock Exchange. It is found that there is a positive correlation between return and risk. Compared with the risk in the two markets, investors in Shenzhen stock market are more risk-averse. That is, the Shenzhen stock market risk premium is higher than Shanghai. Then using EGARCH model test, the stock index yield of our stock market has leverage effect, the bad news is more volatile than the same amount of good news. Finally, through Granger causality test, we find that there is spillover effect between the two markets. In the long run, the spillover effects of the two cities are symmetrical, both fluctuating at the same time. Finally, through the analysis of the stock market of our country, in order to effectively control the abnormal fluctuation of the stock market, guarantee the normal stability of the stock market, enhance the operation efficiency of the stock market, and promote the stock market to develop continuously and healthily, the corresponding suggestions are put forward. First, constantly improve the securities laws and regulations; secondly, reduce government intervention; finally, standardize the information disclosure system.
【学位授予单位】:云南财经大学
【学位级别】:硕士
【学位授予年份】:2013
【分类号】:F832.51

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