本文選題：股票市場(chǎng)　切入點(diǎn)：板塊間動(dòng)態(tài)關(guān)聯(lián)性　出處：《東北財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：在股票市場(chǎng)上,一個(gè)重要的表現(xiàn)就是,行業(yè)板塊運(yùn)動(dòng)的顯著變化：過(guò)去以個(gè)股普漲普跌為主要特點(diǎn)的股票市場(chǎng)如今更多的呈現(xiàn)出行業(yè)或概念板塊的群體運(yùn)動(dòng)的特征。另外,由于受到諸如每個(gè)月CPI指數(shù)的公布、商業(yè)銀行存貸款利率調(diào)整等宏觀經(jīng)濟(jì)因素變化的影響,我國(guó)股票市場(chǎng)中金融、地產(chǎn)、消費(fèi)類板塊或其他相關(guān)行業(yè)板塊之間產(chǎn)生輪動(dòng)現(xiàn)象并呈現(xiàn)動(dòng)態(tài)關(guān)聯(lián)的特征,而且投資者的情緒因素也日益成為影響股票市場(chǎng)整體表現(xiàn)的重要因素。因此,研究不同行業(yè)板塊間的動(dòng)態(tài)關(guān)聯(lián)性和不同類型經(jīng)濟(jì)因素對(duì)行業(yè)板塊動(dòng)態(tài)關(guān)聯(lián)的影響成為證券市場(chǎng)投資的現(xiàn)實(shí)需要。 本文結(jié)合我國(guó)股票市場(chǎng)發(fā)展?fàn)顩r分析了行業(yè)板塊指數(shù)間的動(dòng)態(tài)關(guān)聯(lián)性,著重對(duì)行業(yè)板塊間的Granger因果關(guān)系、條件相關(guān)系數(shù)和不同類型經(jīng)濟(jì)因素對(duì)行業(yè)板塊間的動(dòng)態(tài)關(guān)聯(lián)性構(gòu)成的影響進(jìn)行了實(shí)證檢驗(yàn)。首先,結(jié)合前人理論成果,對(duì)行業(yè)板塊指數(shù)間的動(dòng)態(tài)關(guān)聯(lián)性提出研究假設(shè)。然后,選用萬(wàn)德(Wind)數(shù)據(jù)庫(kù)中深交所一級(jí)行業(yè)分類指數(shù)的月數(shù)據(jù)做實(shí)證檢驗(yàn)。經(jīng)過(guò)數(shù)據(jù)處理,得到平穩(wěn)序列,并使用Granger方法,按照市場(chǎng)整體收益的波動(dòng)情況,將整個(gè)樣本期分四個(gè)階段對(duì)各行業(yè)指數(shù)進(jìn)行動(dòng)態(tài)關(guān)聯(lián)檢驗(yàn),發(fā)現(xiàn)一些行業(yè)板塊兩兩之間的動(dòng)態(tài)關(guān)聯(lián)關(guān)系。接著,文章引入BEKK模型,在整個(gè)考察周期里,分析了板塊指數(shù)波動(dòng)的動(dòng)態(tài)關(guān)聯(lián),并使用Ox Metrics軟件計(jì)算出行業(yè)指數(shù)收益間的條件相關(guān)系數(shù)。 實(shí)證結(jié)果發(fā)現(xiàn),我國(guó)股票市場(chǎng)中不同的行業(yè)板塊指數(shù)間存在動(dòng)態(tài)關(guān)聯(lián)性,動(dòng)態(tài)相關(guān)系數(shù)基本都大于0.5,說(shuō)明動(dòng)態(tài)關(guān)聯(lián)程度比較高。另外,不同類型的經(jīng)濟(jì)因素對(duì)行業(yè)板塊間的動(dòng)態(tài)關(guān)聯(lián)性構(gòu)成影響。 隨后,通過(guò)建立不同類型經(jīng)濟(jì)因素對(duì)行業(yè)板塊間的條件相關(guān)系數(shù)的回歸分析,我們發(fā)現(xiàn)在不同市場(chǎng)環(huán)境下,不同類型的經(jīng)濟(jì)因素對(duì)行業(yè)板塊間的條件相關(guān)系數(shù)存在不同程度的影響,尤其是同一類型的經(jīng)濟(jì)因素對(duì)行業(yè)板塊的動(dòng)態(tài)關(guān)聯(lián)性會(huì)構(gòu)成不同方向的影響。文章的最后,從機(jī)構(gòu)投資者、普通投資者、政府及監(jiān)管部門三個(gè)角度出發(fā)為我國(guó)股票市場(chǎng)未來(lái)的健康發(fā)展提出了政策建議。
[Abstract]:In the stock market, an important manifestation is the significant change of plate movement in the past: industry stocks broad Pudie as the main characteristics of the stock market is now more showing the characteristics of industry or the concept of plate group movement. In addition, due to the CPI index released such as every month, affect the commercial bank deposit change of the loan interest rate adjustment of macroeconomic factors, financial, real estate in our country stock market, between the consumer sector and other related industries plate rotation phenomenon and shows the characteristics of dynamic association, and investors were important factors affecting the stock market has become the overall performance. Therefore, the dynamic effect of relevance and different types of economic factors on different sectors of the industry sector dynamic association has become the need for investment in the stock market.
In this paper, combining the development of China's stock market analysis of the dynamic relationship between the industry sector index, focuses on the industry sector between the Granger causality, correlation coefficient and influence conditions of different types of economic factors on the dynamic relationship between the industry sector constitute empirically. First of all, combined with previous theoretical results, put forward the hypothesis of the dynamic relation between the industry sector index. Then, the Wande (Wind) monthly data in the database of Shenzhen an industry classification index to do empirical test. After data processing, stationary sequence, and using the method of Granger, according to the fluctuation of the whole stock market, the whole sample period is divided into four stages of dynamic association to test the industry index, the dynamic relationship between some industry sector of 22. Then, the paper introduces the BEKK model in the whole study period, analysis of the plate The dynamic correlation of the block index fluctuations and the Ox Metrics software are used to calculate the conditional correlation coefficient between the industry index returns.
The empirical results show that there are dynamic correlations between different industry sector indices in China's stock market. The dynamic correlation coefficients are basically greater than 0.5, indicating that the degree of dynamic correlation is relatively high. Besides, different types of economic factors affect the dynamic correlation between sectors.
Then, through the regression of industry sector between the conditional correlation coefficients of different types of economic factors, we find that in different market conditions, economic factors of different types of industry sector between the condition factor had different degree of effects, especially the economic factors the same type of dynamic relevance to the industry sector will effect of composition in different directions. Finally, from institutional investors and ordinary investors, the policy suggestions are put forward from three angles of government and regulatory authorities of China's stock market healthy development in the future.

【學(xué)位授予單位】：東北財(cái)經(jīng)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

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 王一茸;劉善存;;投資者情緒與股票收益:牛熊市對(duì)比及中美比較[J];北京航空航天大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2011年01期

2 劉超;韓澤縣;;投資者情緒和上證綜指關(guān)系的實(shí)證研究[J];北京理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2006年02期

3 杜偉錦;何桃富;;我國(guó)證券市場(chǎng)的板塊聯(lián)動(dòng)效應(yīng)及模糊聚類分析[J];商業(yè)研究;2005年22期

4 陳夢(mèng)根;曹鳳岐;;中國(guó)證券市場(chǎng)價(jià)格沖擊傳導(dǎo)效應(yīng)分析[J];管理世界;2005年10期

5 韓立巖;伍燕然;;投資者情緒與IPOs之謎——抑價(jià)或者溢價(jià)[J];管理世界;2007年03期

6 吳世農(nóng),潘越;香港紅籌股、H股與內(nèi)地股市的協(xié)整關(guān)系和引導(dǎo)關(guān)系研究[J];管理學(xué)報(bào);2005年02期

7 張磊;;中國(guó)股市板塊輪動(dòng)現(xiàn)象簡(jiǎn)析[J];經(jīng)營(yíng)管理者;2010年07期

8 陸蓉;中央銀行利率調(diào)整對(duì)股票市場(chǎng)影響的實(shí)證分析[J];華南金融研究;2003年05期

9 何誠(chéng)穎;中國(guó)股市“板塊現(xiàn)象”分析[J];經(jīng)濟(jì)研究;2001年12期

10 秦宛順,劉霖;中國(guó)股票市場(chǎng)協(xié)整現(xiàn)象與價(jià)格動(dòng)態(tài)調(diào)整過(guò)程研究[J];金融研究;2001年04期

相關(guān)博士學(xué)位論文 前1條

1 程文衛(wèi);通貨膨脹影響中國(guó)資本市場(chǎng)的實(shí)證研究[D];南開(kāi)大學(xué);2009年

，

本文編號(hào)：1583341