本文選題：資產(chǎn)價格跳躍　切入點：交易行為　出處：《天津大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：資產(chǎn)價格跳躍行為的識別、刻畫及基于跳躍視角的市場交易行為、交易特征研究,能夠深刻揭示資產(chǎn)價格的“發(fā)現(xiàn)—傳導(dǎo)—融入—反饋”過程,使得投資者能夠更為準確的把握資產(chǎn)價格行為的內(nèi)在本質(zhì),進而為資產(chǎn)定價、資產(chǎn)配置和風(fēng)險管理提供理論和實踐依據(jù),是目前證券市場微觀結(jié)構(gòu)研究的最前沿的領(lǐng)域之一。 本文在金融市場微觀結(jié)構(gòu)理論視角下,基于BNS(2004,2006)提出的二次冪變差非參數(shù)跳躍識別經(jīng)典框架,利用中國證券市場超高頻交易數(shù)據(jù),對中國證券市場日間低頻跳躍以及日內(nèi)高頻跳躍進行了識別和刻畫,并基于以上識別統(tǒng)計量研究了資產(chǎn)價格跳躍對市場交易行為的沖擊過程,揭示了跳躍發(fā)生前后的市場交易特征變化。全文從四個方面進行了討論和研究: 第一部分簡要闡述了本文的研究背景,結(jié)合金融市場微觀結(jié)構(gòu)與資產(chǎn)價格行為建模理論背景與我國證券市場目前存在的問題提出了研究問題及研究意義,在此基礎(chǔ)上介紹了資產(chǎn)價格跳躍識別研究進展,并對資產(chǎn)價格跳躍與市場交易行為、市場交易特征相關(guān)研究現(xiàn)狀進行了綜述,為下面的研究內(nèi)容做了理論鋪墊。 第二部分首先對資產(chǎn)價格跳躍識別方法進行了詳細闡述,分別介紹了資產(chǎn)價格跳躍參數(shù)及非參數(shù)識別方法體系,在此基礎(chǔ)上以資產(chǎn)價格跳躍非參數(shù)體系為研究基礎(chǔ),詳述了目前兩種較為經(jīng)典的非參數(shù)跳躍識別方法。最后,在以上跳躍識別的理論基礎(chǔ)上,基于BNS提出的二次冪變差理論跳躍識別框架,采用中國證券市場上證綜指高頻交易數(shù)據(jù),對我國證券市場的日間/日內(nèi)高頻跳躍進行了識別和描述,研究發(fā)現(xiàn)我國證券市場資產(chǎn)價格跳躍行為發(fā)生較為頻繁,其中存在大量日內(nèi)連續(xù)跳躍現(xiàn)象,且對于不同的個股來說,跳躍的頻率及幅度特征呈現(xiàn)出較大差異性,而大多數(shù)跳躍行為發(fā)生在開盤時間段。 第三部分將中國證券市場個股日內(nèi)高頻跳躍發(fā)生時刻作為虛擬變量,對MRR模型進行了擴展和改進,通過Jump-MRR模型研究了資產(chǎn)價格跳躍對于市場交易行為的影響過程。研究發(fā)現(xiàn),資產(chǎn)價格跳躍對交易行為存在顯著的沖擊影響,跳躍發(fā)生前,平均信息沖擊成本和流動性成本均低于非跳躍時刻;跳躍發(fā)生時,信息沖擊成本明顯沖高,表明跳躍是一種非常劇烈的信息融入價格的現(xiàn)象,同時跳躍發(fā)生時流動性成本顯著降低,表明跳躍的發(fā)生伴隨著投資者的交易意愿的增加;跳躍發(fā)生之后5分鐘左右,信息沖擊成本和流動性沖擊成本均存在一個迅速回復(fù)過程。最后,資產(chǎn)價格跳躍發(fā)生時不同市值規(guī)模的股票對應(yīng)的交易行為呈現(xiàn)出顯著的差異,隨著公司市值規(guī)模增大,發(fā)生跳躍時股票平均信息沖擊成本和流動性成本變小,顯示出資產(chǎn)價格跳躍發(fā)生時高市值股票流動性較好、信息非對稱程度較低,投資者對該類股票的交易意愿強烈。 第四部分為資產(chǎn)價格跳躍與市場交易特征關(guān)系研究。該部分刻畫了資產(chǎn)價格跳躍前后的交易量特征變化模式,并結(jié)合極端市場下的投資者情緒,研究了資產(chǎn)價格跳躍與市場交易量、收益率特征之間的關(guān)系,從更為微觀的角度揭示信息快速融入過程中投資者的反應(yīng)及市場交易狀態(tài)和影響因素。研究發(fā)現(xiàn),我國證券市場在資產(chǎn)價格跳躍發(fā)生時往往伴隨著交易量的大幅增加,跳躍幅度與即刻交易量之間顯著正相關(guān),跳躍發(fā)生后交易量存在迅速下降的過程;正向、負向跳躍所代表的利好、利空的市場沖擊對市場交易量、收益率存在非對稱影響,整體來說,投資者對利空消息更敏感,但在不同的市場情緒下投資者對市場沖擊存在非理性反應(yīng),牛市時投資者傾向于對利空消息反應(yīng)不足,而在熊市時傾向于對利好消息反應(yīng)不足。
[Abstract]:The identification of asset price jump behavior, and describe the market transaction behavior jump based on the perspective of the characteristics of the transaction, can reveal the asset price discovery - transmission into the feedback process, in essence allows investors to more accurately grasp the asset price behavior, and asset pricing, provide theoretical and practical basis asset allocation and risk management, is currently one of the most cutting-edge research on the micro structure of the securities market in the field.
This article in the micro financial market structure from the perspective of the theory, based on the BNS (20042006) proposed two power variation of non parametric jump identification classic framework, ultra high frequency trading data by China securities market, the securities market of Chinese day low frequency hopping and high-frequency intraday jump for the identification and characterization, and based on the above statistics of asset recognition the price jump on the market trading behavior impact process, reveals the market trading characteristics before and after the jump change. This paper from the four aspects of the discussion and research:
The first part briefly introduces the research background of this paper, combined with the existing background of financial market microstructure and asset price behavior modeling theory and problems of China's stock market, put forward the research questions and research significance, introduced on the basis of the progress of asset prices jump identification, and asset price jumps and market transactions, are reviewed market characteristics of relevant research, as the theoretical foundation for the following research.
The second part elaborates on the asset price jumps identification method are introduced. The asset prices jump system parameter and non parameter recognition method based on non parametric asset price jumps system as the research foundation, described the current two kinds of more classical non parametric jump identification method. Finally, the above theoretical basis of jump recognition on the variational theory of jump recognition framework is put forward based on a power of two BNS, the Chinese Shanghai stock market high-frequency data on China's securities market day / days of jump by the recognition and description of asset price discovery in China's securities market jumps occur more frequently, there are a lot of day in the continuous jumping phenomenon, and for different stocks, frequency and amplitude characteristics of jumping shows a large difference, and most jump behavior occurred in the opening Time slot.
The third part will Chinese stock market intraday jump moment as dummy variables and the MRR model was extended and improved, through the Jump-MRR model to study the process of asset prices jump effect on the market trading behavior. The study found that asset prices jump to the transaction there was a significant impact, jumping, average the impact of information costs and liquidity costs were lower than non jumping moment; jump occurs, the information costs shot up significantly, indicating that the jump is a very severe information into the price of the phenomenon, at the same time jump occurs when the liquidity cost is significantly reduced, indicating that the jump occurred with the increase in investors willingness to trade after the jump; about 5 minutes, showed a rapid response process the information costs and liquidity impact cost. Finally, asset price jumps occur with market value The size of the corresponding stock trading behavior showed significant differences, with the company's market capitalization size increases, the jump average stock information impact cost and liquidity cost decreases, showing the asset price jumps when the high market value of the stock liquidity is better, with lower degree of asymmetric information, investor of the stocks trading wishes.
The fourth part is the research on the relationship between asset price jumps and market transaction characteristics. This part describes the change pattern of asset price jumps and trading volume characteristics, and combined with the extreme market under the investor sentiment, of asset prices jump and market trading volume, the relationship between yield characteristics, reveal the factors from rapid integration into the information process of investors the transaction status and market response and influence more microcosmic view. The study found that China's securities market in asset price jumps is often accompanied by a substantial increase in transaction volume, a significant positive correlation between the jump and immediate trading volume, trading volume after the jump process decreased rapidly; the positive, negative jump on behalf of the good, the bad market impact on the market trading volume, there is asymmetric effect, the overall rate of return, investors are more sensitive to bad news, but in different In market sentiment, investors have irrational responses to market shocks. When bull market, investors tend to react poorly to bad news, but tend to react poorly to good news in bear market.

【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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