非对称均值回归与金融危机的形成机理

发布时间：2017-12-26 22:27

本文关键词：非对称均值回归与金融危机的形成机理　出处：《吉林大学》2016年博士论文　论文类型：学位论文

【摘要】：随着经济的发展,金融市场在一国经济发展中发挥的作用越来越重要,金融市场已经成为现代经济发展的核心。作为金融市场的一种非正常状态,金融危机能够扰乱金融市场的正常运行,终结经济的繁荣发展,彻底改变一国的经济发展状态。为保障经济的持续、健康、稳定发展,需要对金融危机爆发的原因进行深入研究,并在此基础上采取有效措施来避免金融危机全面爆发或者在危机爆发后尽量降低其可能造成的危害。金融市场的基本职能是配置社会资金,促使资金在供需双方之间合理流动,随着经济的发展,市场需求者更多采用直接融资方式筹措其所需要的资金,证券市场作为最主要的直接融资场所,在满足不断增长的社会直接融资需求的同时,也积聚了大量的风险,证券市场价格波动对金融市场的影响日益增强,证券价格波动已逐渐成为诱发金融危机的主要因素。股票市场作为证券市场的重要组成部分,任何市场震荡能够通过股票市场迅速传递出去。因而本文选择股票价格作为具体的研究对象,从股票价格波动的角度分析金融危机的形成机理。股票价格的变化存在明显的均值回归特征,偏离均值的股票价格最终都会再次向其均值收敛,即使市场处于金融危机的特殊状态下,股票价格的变化也服从均值回归过程。本文正是紧紧抓住股票价格的变化始终呈现均值回归这一特征,在均值回归理论的框架内对金融危机的形成进行分析。股票价格的均值回归过程可以分为两个阶段:一是股票价格偏离其均值的阶段,二是已偏离的价格向其均值回归的阶段。与之类似,金融危机也可以分为两个阶段:一是市场具备爆发金融危机可能性的阶段,二是这种可能性转化为现实性的阶段。股票价格被严重高估时,市场就具备爆发危机的可能性,市场流动性过剩和市场参与者追求更高收益的投资行为,共同促使股票价格逐渐严重偏离其均值。而当被严重高估的股票价格在短时间内迅速向其均值回归时,金融危机就由可能性转化为现实性。投资者在面临可能损失时,会对负向信息冲击反应过度,股票价格也随之会呈现出显著的非对称均值回归特征,这种非对称特征决定了被严重高估的股票价格会以极快的速度向其均值收敛。股票价格的非对称均值回归特征在金融危机由可能性转化为现实性的过程中,发挥着至关重要的作用。为了更加细致的分析金融危机的形成机理、验证非对称均值回归特征在诱发金融危机过程中的作用,金融危机期间不再看作是一个不可分割的整体,后续的分析都是建立在对金融危机进行合理阶段划分的基础上。为了解决传统事件分析方法划分阶段所带来的缺陷,本文选择修正后的CPM模型对20世纪80年代以来的7次金融危机期间股票价格分布的变化进行甄别,并依据这些突变点将对应金融危机危机分为数量不尽相同的阶段。每次金融危机都包含股票价格持续上涨阶段、价格短时间大幅下跌阶段以及危机过后价格震荡变动阶段。在所做阶段划分的基础上,本文首先选择ANST-GARCH模型对各次金融危机期间股票价格的均值回归特征进行了分析,实证结果表明在价格短时间大幅下跌的阶段,能够检测到显著的、对负向信息冲击更加敏感的非对称均值回归特征,而在其他阶段则仅能检验到存在显著的均值回归现象,但是不能检验到显著的非对称性。随后,选择TAR和MTAR模型,对各次金融危机期间已偏离均值的股票价格向其均值收敛的路径进行了实证分析。结果表明股票价格的均值回归速度与价格偏离均值程度有直接关系,但无论股票价格处于被高估还是被低估状态,都不会使均值回归路径呈现出非对称特征,而在个别金融危机的某几个阶段却能够检验到均值回归路径对不同方向的信息冲击呈现出非对称特征的现象。金融危机爆发阶段股票价格多以震荡的方式向其均值回归,其他阶段则多以平缓的方式向其均值回归。金融危机期间平均均值回归周期最短的阶段都是危机爆发、股票价格大幅下跌的阶段。市场流动性过剩和市场参与者对超额收益的过度追求,使股票价格逐渐被高估,而被严重高估的股票价格则使市场具备了爆发金融危机的可能性。投资者在面对可能损失时会对负向信息冲击反应过度的特征,则决定了被严重高估的股票价格容易以极快的速度向其均值收敛,金融危机由可能性继而转化为现实性。股票价格的非对称均值回归特征成为诱发金融危机爆发的关键因素。对金融危机形成机理所做的理论分析和实证分析,为更有效的应对金融危机指明了方向:应该既做好事前预防,尽量将金融危机解决在萌芽阶段;又要做好事后调控,一旦金融危机爆发能够降低危机对经济的危害,减少危机持续的时间。本文具体的章节安排如下:第1章绪论。对在当前背景下,从股票价格波动的角度研究金融危机形成机理的原因、意义进行简要的陈述,并依据具体的章节安排,对本文的基本内容进行概述。第2章金融危机理论及研究综述。本章以时间为线索对大萧条之后的金融危机相关理论进行了回顾,从中能够发现金融危机相关理论的发展与不同阶段金融市场的发展特点紧密相关。随后对国内、外学者对金融危机进行的近期研究进行简要阐述。第3章对世界主要金融危机影响的阶段性特征。本章选择运用修正后的CPM模型对20世界80年代以来的7次著名金融危机期间的突变点进行了甄别,将样本期分为几个不同的阶段,并对每个阶段内股票指数的变化情况做了初步的定量分析。第4章非对称均值回归与金融危机形成的理论分析。本章首先对股票价格的均值回归相关研究进行了简要总结,对股票价格均值回归理论做了更进一步的分析。然后在股票价格均值回归理论的框架内对金融危机的形成做了理论阐述。股票价格被严重高估使市场具备了爆发金融危机的可能性,但仅具备可能性并不意味着金融危机一定会爆发,只有当被严重高估的股票价格在短时间内迅速向其均值回归时,金融危机才会由可能性转化为现实性。而在由普通均值回归演变为金融危机的过程中,股票价格的非对称均值回归特征发挥着至关重要的作用。第5章非对称均值回归与金融危机形成的实证分析。本章运用ANST-GARCH模型对金融危机各个阶段内的股票指数变化特征进行了具体的实证分析,实证结果表明:在股票指数发生大幅下跌的阶段,能够检验到显著的非对称均值回归特征,此时股票市场对负向信息冲击存在着过度反应;而在样本期的其他阶段,仅能检验到显著的均值回归特征。第6章非对称均值回归与金融危机的冲击路径。本章运用TAR和MTAR模型对金融危机期间各个阶段均值回归路径进行了具体的实证分析。在金融危机的某些阶段,股票价格的均值回归路径对不同方向的信息冲击有着非对称的反应;在股票价格大幅下跌的阶段,股票价格的均值回归速度更快,并多以震荡的方式向其均值回归。第7章金融危机的监管与调控行为研究。在前文所做的理论分析和实证检验的基础上,对金融危机的形成与股票价格非对称均值回归之间的关系进行了阐述,对如何更有效预防金融危机爆发以及如何有效缓解金融危机对经济的影响,进行理论方面的探讨,并提出一些具体的建议。
[Abstract]:With the development of the economy, the financial market plays a more and more important role in the economic development of a country, and the financial market has become the core of the development of modern economy. As an abnormal state of financial market, financial crisis can disrupt the normal operation of financial market, end the prosperity and development of economy, and completely change the economic development state of a country. In order to ensure sustained, healthy and stable development of the economy, we need to further study the reasons for the outbreak of the financial crisis, and take effective measures on this basis to avoid the outbreak of the financial crisis or minimize the possible harm after the outbreak of the crisis. The basic function of financial market is the allocation of social funds, funds to promote the rational flow in both supply and demand, with the development of economy, the market demand more direct financing way to raise the necessary funds, the securities market as the main place of direct financing, to meet growing social direct financing needs at the same time, also accumulate a lot of risk, the impact of stock market price fluctuations on the financial market growing, securities price fluctuation has gradually become the main factors that trigger the financial crisis. As an important part of the stock market, the stock market can be transferred quickly through the stock market. Therefore, this paper chooses the stock price as the specific research object, and analyzes the formation mechanism of the financial crisis from the angle of the stock price fluctuation. The change of stock price has obvious mean regression characteristics, and the stock price deviating from the mean will eventually converge to its mean again. Even if the market is in a special state of financial crisis, the change of stock price will also obey the mean regression process. This paper grasped the characteristics of mean return and grasped the change of stock price, and analyzed the formation of financial crisis in the framework of mean regression theory. The mean regression process of stock price can be divided into two stages: one is the stage that the stock price deviates from its mean value, and the other is the stage that the deviated price is returning to its mean value. Two Similarly, the financial crisis can also be divided into two stages: first, the market has the possibility of breaking out the financial crisis, and the two is the possibility of turning the possibility into reality. When the stock price is seriously overestimated, the market will have the possibility of the outbreak of the crisis. The excess liquidity of the market and the investment behavior of the market participants who pursue higher returns will cause the stock price to gradually deviate from its mean value. The financial crisis is transformed from the possibility to reality when the heavily overvalued stock price is quickly returned to its average value in a short time. When confronted with possible losses, investors will overreact to negative information shocks, and stock prices will also exhibit significant asymmetric mean regressive characteristics. This asymmetric feature determines that severely overvalued stock prices will converge to their means at a very fast speed. The asymmetric mean regression characteristics of stock prices play a vital role in the process of transforming the financial crisis from the possibility to the reality. For a more detailed analysis of the financial crisis formation mechanism, verification of asymmetric mean reversion characteristic in the process induced by the financial crisis, the financial crisis is no longer regarded as an indivisible whole, subsequent analyses are based on the reasonable division of the stage of the financial crisis. In order to solve the traditional event analysis method to divide the stage defects caused by the selection of the modified CPM model of the distribution of stock price changes during the 7 financial crisis since 1980s to identify the point mutations, and on the basis of the corresponding financial crisis is divided into the number of different stages. Each financial crisis includes a period of rising stock prices, a sharp fall in short prices and a period of fluctuating price shocks after the crisis. Based on the phase division, this paper choose the ANST-GARCH model during the financial crisis on the average stock price return characteristics are analyzed, the empirical results show that the sharp decline in the price of short time period, able to detect significant and negative impact of information asymmetry is more sensitive to the mean reversion characteristic, and in the other stage can only test to have significant mean reversion phenomenon, but not to test significant asymmetry. Then, the TAR and MTAR models are selected to make an empirical analysis on the path of the average convergence of the stock prices that have deviated from the average during the financial crisis. The results show that there is a direct relationship between the average stock price return rate and price deviation from the mean level, but whether the stock price is overvalued or undervalued, will not make the mean regression path showing asymmetric features, and in some stage of individual financial crisis is able to test the mean regression path information impact on different directions showing asymmetry phenomenon. In the stage of the outbreak of the financial crisis, stock prices return to their average in a concussion, and the other stages are more slowly to return to their mean. The shortest period of the average mean return period during the financial crisis is the stage of the crisis and the sharp fall in the stock price. Excessive market liquidity and market participants' excessive pursuit of excess earnings make stock prices gradually overvalued, while severely overvalued stock prices make the market have the possibility of financial crisis. When investors face overreaction to negative information shocks when facing possible losses, they decide that the seriously overvalued stock prices tend to converge to their means at a very fast speed, and that the financial crisis can be transformed from possibility to reality. The asymmetric mean value regression of stock price has become the key factor to induce the financial crisis. Theoretical analysis and analysis of the formation mechanism of the financial crisis
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：O212.1;F831.59

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