本文關(guān)鍵詞：基于連續(xù)信念系統(tǒng)的中國A股市場不對稱羊群行為研究　出處：《華中科技大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 不對稱羊群行為 不對稱收益率波動(dòng) 反不對稱性

【摘要】：基于擴(kuò)展的連續(xù)信念系統(tǒng)(CBS)，本文對中國A股市場不對稱羊群行為的存在性及其對波動(dòng)產(chǎn)生的不對稱效應(yīng)進(jìn)行了研究。采用的數(shù)據(jù)是從1991年7月3日到2012年7月31日的滬深兩市A股流通市值加權(quán)市場指數(shù)，數(shù)據(jù)來源于CCER數(shù)據(jù)庫。并根據(jù)股市規(guī)范程度和經(jīng)濟(jì)背景的不同，將整個(gè)時(shí)期分為不規(guī)范的初始時(shí)期，緩慢震蕩上升的中間時(shí)期和全球金融危機(jī)爆發(fā)后的危機(jī)時(shí)期三個(gè)子時(shí)期，對這三個(gè)時(shí)期進(jìn)行了比較分析。根據(jù)擴(kuò)展的CBS的假設(shè)，經(jīng)過推導(dǎo)發(fā)現(xiàn)不對稱羊群行為可以用一個(gè)不對稱GARCH（1,1）模型來模擬。不對稱GARCH（1,1）模型的估計(jì)表明：三個(gè)子時(shí)期都存在不對稱羊群行為；但是，在中間和危機(jī)時(shí)期，負(fù)向沖擊下的羊群行為比正向沖擊下的嚴(yán)重，這與我們通常看到的現(xiàn)象相符合，但初始時(shí)期剛好與后兩個(gè)時(shí)候相反，即正向沖擊下的羊群行為比負(fù)向沖擊下的嚴(yán)重，我們稱之為反不對稱羊群行為；還有危機(jī)時(shí)期是羊群行為最不對稱的時(shí)期。隨后，本文用EGARCH（1,1）模型研究分析了收益率波動(dòng)的不對稱，發(fā)現(xiàn)各個(gè)時(shí)期收益率波動(dòng)的不對稱特征與羊群行為的不對稱特征表現(xiàn)的完全一致。不對稱羊群行為和波動(dòng)之間的這種清楚的聯(lián)系強(qiáng)有力地支持了不對稱羊群行為效應(yīng)假說，也說明可以用不對稱羊群行為來解釋波動(dòng)的不對稱性，尤其是傳統(tǒng)假說（比如杠桿效應(yīng)，反饋效應(yīng)）解釋不了的反不對稱性。這個(gè)結(jié)論提示可以通過防止不對稱羊群行為的發(fā)生來減少中國A股市場收益率的不對稱波動(dòng)，穩(wěn)定中國的經(jīng)濟(jì)發(fā)展。
[Abstract]:An extended continuous belief system (CBS). This paper studies the existence of asymmetric herding behavior and its asymmetric effect on volatility in Chinese A-share market. The data used are from July 3rd 1991 to July 31st 2012 in Shanghai and Shenzhen. Shanghai A-share circulation market value weighted market index. The data come from CCER database, and the whole period is divided into the non-standard initial period according to the stock market normative degree and the different economic background. In the middle period of slow shock rise and the three sub-periods of crisis period after the global financial crisis, the three periods are compared and analyzed. According to the extended CBS hypothesis, this paper makes a comparative analysis of these three periods. It is found that asymmetric herding behavior can be simulated by an asymmetric GARCH(1 model. 1) the estimation of the model shows that there is asymmetric herding behavior in all three sub-periods; However, in the middle and crisis period, the herding behavior under the negative shock is more serious than that under the positive shock, which is consistent with the phenomenon we usually see, but the initial period is exactly the opposite of the last two times. That is, the herd behavior under positive shock is more serious than that under negative shock, which is called anti-asymmetric herding behavior. There is also a crisis period is the most asymmetric period of herding behavior. Then, this paper uses EGARCH1) model to analyze the asymmetry of return volatility. It is found that the asymmetric characteristics of return volatility in each period are completely consistent with the asymmetric characteristics of herding behavior. This clear link between asymmetric herding behavior and volatility strongly supports asymmetric herding behavior. Effect hypothesis. It also shows that asymmetric herding behavior can be used to explain the asymmetry of volatility, especially the traditional hypothesis (such as leverage effect). This conclusion suggests that the asymmetric herding behavior can be prevented to reduce the asymmetric volatility of the yield in China's A-share market and stabilize China's economic development.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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