本文選題：創(chuàng)業(yè)板市場　切入點(diǎn)：納斯達(dá)克市場　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：波動(dòng)性是股票市場最基本的特征之一,股票價(jià)格的波動(dòng)性對(duì)股票市場的存在和發(fā)展來說是至關(guān)重要的。股票價(jià)格的正常波動(dòng)是股票市場發(fā)揮資源配置作用的必備條件,也是投資者獲取合理合法投資收益的基礎(chǔ),對(duì)證券市場的規(guī)范和成熟有著積極的作用。 本文以現(xiàn)代金融理論和現(xiàn)代統(tǒng)計(jì)理論為指導(dǎo),以深圳創(chuàng)業(yè)板指數(shù)和納斯達(dá)克指數(shù)收益率為研究對(duì)象,采用統(tǒng)計(jì)分析和ARCH族模型實(shí)證分析相結(jié)合的方法,比較研究了兩個(gè)市場指數(shù)收益率波動(dòng)性。 文章首先簡明闡述了國內(nèi)外學(xué)術(shù)界對(duì)于股票市場波動(dòng)性的研究現(xiàn)狀,介紹了有關(guān)波動(dòng)性定義,股市波動(dòng)的主要特征包括波動(dòng)的集聚性、杠桿效應(yīng)和持續(xù)性等,研究了波動(dòng)性的測量方法,包括描述性統(tǒng)計(jì)和ARCH族模型測定波動(dòng)性的方法,重點(diǎn)研究了ARCH族模型關(guān)于波動(dòng)持久性、杠桿效應(yīng)和收益風(fēng)險(xiǎn)關(guān)系的測定方法；接著研究了深圳創(chuàng)業(yè)板指數(shù)和納斯達(dá)克指數(shù)波動(dòng)性的表現(xiàn),分階段分析了不同時(shí)期的走勢；其后選取了實(shí)證所采用的樣本并進(jìn)行了分析和檢驗(yàn),運(yùn)用不同的ARCH族模型實(shí)證研究分析中美兩國創(chuàng)業(yè)板市場的波動(dòng)性,包括對(duì)波動(dòng)持久性、波動(dòng)杠桿效應(yīng)和收益與風(fēng)險(xiǎn)關(guān)系的實(shí)證分析；隨后根據(jù)實(shí)證研究的結(jié)果,從投資者行為特征、交易制度、發(fā)行制度和退市制度四方面分析了可能造成中美創(chuàng)業(yè)板市場波動(dòng)性差異的原因,最后得出結(jié)論并提出相應(yīng)的建議。
[Abstract]:Volatility is one of the most basic characteristics of stock market, and the volatility of stock price is very important to the existence and development of stock market. It is also the basis for investors to obtain reasonable and legitimate investment returns, which plays a positive role in the regulation and maturity of the securities market. Under the guidance of modern financial theory and modern statistical theory, this paper takes the rate of return of Shenzhen gem index and NASDAQ index as the research object, and adopts the method of combining the statistical analysis with the empirical analysis of ARCH family model. The volatility of yield of two market indexes is compared and studied. Firstly, this paper briefly describes the current research situation of stock market volatility at home and abroad, and introduces the definition of volatility. The main characteristics of stock market volatility include the agglomeration of volatility, leverage effect and persistence, etc. This paper studies the measurement methods of volatility, including descriptive statistics and ARCH family models, and focuses on the determination of volatility persistence, leverage effect and the relationship between return and risk in ARCH family model. Then it studies the performance of Shenzhen gem index and NASDAQ index, analyzes the trend of different periods in stages, and then selects the samples used in the empirical analysis and tests. Using different ARCH family models to analyze the volatility of gem in China and the United States, including volatility persistence, volatility leverage and the relationship between return and risk. This paper analyzes the causes of the volatility differences between China and the United States from the aspects of investor behavior, trading system, issuance system and delisting system, and finally draws a conclusion and puts forward corresponding suggestions.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F837.12

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