本文選題：有效市場(chǎng)理論　切入點(diǎn)：中小板綜指　出處：《浙江師范大學(xué)》2013年碩士論文

【摘要】：作為創(chuàng)業(yè)板的一種過(guò)渡形式,中小企業(yè)板已成功運(yùn)行六年。作為中國(guó)多層次資本市場(chǎng)探索的重要實(shí)踐,中小企業(yè)板市場(chǎng)在創(chuàng)立初期與主板市場(chǎng)極為接近,因而可以借鑒我國(guó)股票市場(chǎng)的分析來(lái)研究中小企業(yè)板。筆者在中小板市場(chǎng)日益成熟的情況下,選取中小板綜指(399101)每日的收盤指數(shù)作為樣本序列進(jìn)行檢驗(yàn),數(shù)據(jù)選取2006年1月24日至2011年5月23日,除去周末兩日及特殊的國(guó)內(nèi)節(jié)假日,一共具有1293個(gè)數(shù)據(jù)點(diǎn),數(shù)據(jù)來(lái)源于中信金通證券有限責(zé)任公司。 本文第一、二兩章主要先介紹了論文的研究思路及涉及的一些金融模型理論,第三章主要闡述了中小板綜指的非對(duì)稱性研究,對(duì)中小板綜指建立隨機(jī)游走模型,發(fā)現(xiàn)其殘差序列具有ARCH效應(yīng),通過(guò)GARCH-M模型說(shuō)明均值方程中的條件標(biāo)準(zhǔn)差σt的系數(shù)估計(jì)值為正數(shù),即中小板綜指的收益率應(yīng)該與其風(fēng)險(xiǎn)成正比,對(duì)于風(fēng)險(xiǎn)較高的資產(chǎn),投資者要求獲得較高的收益從而為所承擔(dān)的高風(fēng)險(xiǎn)進(jìn)行補(bǔ)償。GARCH-M模型的條件方差方程說(shuō)明中小板綜指的波動(dòng)沖擊影響會(huì)持續(xù)很長(zhǎng)一段時(shí)間才會(huì)逐漸衰減。通過(guò)EGARCH模型繪制出相應(yīng)的信息曲線,表明同等程度下,利空消息比利好消息對(duì)中小板綜指的沖擊波動(dòng)更大一些。利用非對(duì)稱CARCH漠型估計(jì)結(jié)果表明這種非對(duì)稱效應(yīng)只是暫時(shí)的。最后利用EGARCH模型和非對(duì)稱CARCH模型進(jìn)行預(yù)測(cè),對(duì)比兩者的AIC,SC和對(duì)數(shù)似然值,得出與EGARCH模型相比,非對(duì)稱CARCH模型的對(duì)數(shù)似然值有所增加,而AI、SC值有所減小,故實(shí)際中用非對(duì)稱CARCH模型比EGARCH模型的預(yù)測(cè)效果更好。 在第四章相關(guān)性研究過(guò)程中,利用VAR模型研究了中小板綜指與上證指數(shù)、深證成指、恒生指數(shù)、B股指數(shù)的相關(guān)性影響。研究發(fā)現(xiàn)我國(guó)中小板綜指與上證指數(shù)、深證成指、恒生指數(shù)、B股指數(shù)具有良好的長(zhǎng)期均衡關(guān)系,運(yùn)用Granger長(zhǎng)短期因果分析說(shuō)明短期內(nèi)中小板綜指只與上證指數(shù)、深證成指具有雙向因果關(guān)系,但從長(zhǎng)期的角度來(lái)看,上證指數(shù)、深證成指、恒生指數(shù)、B股指數(shù)均是中小板綜指價(jià)格變化的重要影響因素；脈沖響應(yīng)函數(shù)說(shuō)明當(dāng)中小板綜指受到波動(dòng)時(shí),上證指數(shù)的影響最小。而上證指數(shù)和深證成指產(chǎn)生的沖擊對(duì)中小板綜指具有較長(zhǎng)時(shí)間的影響；方差分解結(jié)果表明中小板市場(chǎng)的運(yùn)行風(fēng)險(xiǎn)對(duì)上證指數(shù)產(chǎn)生的影響并不大,上證指數(shù)和深證成指的波動(dòng)對(duì)中小板綜指有明顯的影響。 通過(guò)對(duì)我國(guó)中小板綜指的非對(duì)稱性及相關(guān)性研究,得出中小板股票市場(chǎng)拒絕弱式有效假設(shè)的主要原因是投資者缺乏理性,”噪聲交易者”的存在使得股市產(chǎn)生非對(duì)稱性。在中小板盈利前景風(fēng)險(xiǎn)猶存的情況下,希望此分析結(jié)果能給投資者和政策制定者帶來(lái)一定啟示。
[Abstract]:As a transitional form of the gem, the SME Board has been running successfully for six years. As an important practice in the exploration of the multi-level capital market in China, the SME Market was very close to the main Market at the beginning of its establishment. Therefore, we can learn from the analysis of Chinese stock market to study the small and medium-sized enterprise board. Under the condition that the small and medium-sized board market is maturing day by day, the author selects the closing index of the small and medium-sized board composite index 399101) as the sample sequence to test. The data are selected from January 24, 2006 to May 23, 2011. Apart from the weekend and special domestic holidays, there are 1293 data points, which come from CITIC Jintong Securities Co., Ltd. The first and second chapters of this paper mainly introduce the research ideas and some financial model theories, the third chapter mainly describes the asymmetric study of the small and medium-sized board composite index, and establishes a random walk model for the small and medium-sized board composite index. It is found that the residual sequence has ARCH effect, and the GARCH-M model shows that the coefficient estimate of conditional standard deviation 蟽 t in the mean equation is positive, that is, the return rate of the composite index of small and medium-sized plates should be proportional to its risk, and for the assets with higher risk, the return rate of the composite index of small and medium plate should be proportional to its risk. The conditional variance equation of the GARCH-M model shows that the impact of the fluctuation shock of the medium and small board composite index will last for a long time before gradually attenuating through the EGARCH model. Type to draw the corresponding information curve, Indicating that, to the same extent, The shock volatility of bearish news is larger than that of good news. The asymmetric CARCH desert estimation results show that this asymmetric effect is only temporary. Finally, the EGARCH model and asymmetric CARCH model are used to predict the impact. Compared with EGARCH model, the logarithmic likelihood value of asymmetric CARCH model is increased, and the value of CARCH SC is decreased. Therefore, the prediction effect of asymmetric CARCH model is better than that of EGARCH model in practice. In the fourth chapter, we use VAR model to study the correlation between medium and small board composite index and Shanghai Stock Exchange Index, Shenzhen Stock Exchange Composite Index, Hang Seng Index, B share Index, and find out that China small and medium Board Composite Index and Shanghai Stock Exchange Index, Shenzhen Composite Index, Shenzhen Stock Exchange Composite Index. Hang Seng Index and B share Index have good long term equilibrium relationship. Using Granger long and short term causality analysis, it is shown that in the short and short term, the medium and small board composite index only has a two-way causal relationship with the Shanghai Stock Exchange Index, but from a long-term perspective, the Shanghai Stock Exchange Index has a two-way causality relationship. The Shenzhen Composite Index, Hang Seng Index and B share Index are all important factors that affect the price change of the small and medium board composite index, and the pulse response function shows that when the medium and small board composite index is fluctuated, The impact of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Composite Index is the least, while the impact of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Composite Index has a long time effect, and the variance decomposition results show that the operating risk of small and medium board market has little effect on Shanghai Stock Exchange Index. Shanghai Stock Exchange Index and Shenzhen Composite Index volatility on the small and medium board composite index has a significant impact. Through the research on asymmetry and correlation of Chinese medium and small board composite index, It is concluded that the main reason why the small and medium-sized board stock market rejects the weak efficient hypothesis is that the investors lack rationality and the presence of "noise trader" causes the stock market to produce asymmetry. Hope this analysis result can bring certain enlightenment to investor and policy maker.
【學(xué)位授予單位】：浙江師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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