本文選題：上證指數(shù) + 趨勢(shì)分解�。� 參考：《天津財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：股票市場(chǎng)波動(dòng)變幻莫測(cè),處于一種無(wú)規(guī)則,隨機(jī)變化的混沌狀態(tài),當(dāng)外界條件發(fā)生變化時(shí),有時(shí)一些微小的改變則能引起“蝴蝶效應(yīng)”,掀起“軒然大波”,波及整個(gè)市場(chǎng),造成整個(gè)股市的大幅震蕩,甚至?xí)斐晒墒斜罎�。盡管如此,股市漲跌自有其規(guī)律,波動(dòng)的背后也必然有其驅(qū)動(dòng)因素。因此,探究股票指數(shù)的波動(dòng)特性及其驅(qū)動(dòng)因素就顯得尤為必要。 本文從國(guó)內(nèi)宏觀經(jīng)濟(jì),行業(yè)指數(shù)以及國(guó)外因素三個(gè)層面來(lái)分析上證指數(shù)的波動(dòng)動(dòng)態(tài)特性及其驅(qū)動(dòng)因素。在研究過(guò)程中,首先,基于2002年1月至2011年12月的月度數(shù)據(jù)采用HP濾波趨勢(shì)分解法探討經(jīng)濟(jì)增長(zhǎng)周期與上證指數(shù)波動(dòng)的關(guān)系。其次,選取上證A股市場(chǎng)市值60%以上的五大行業(yè)板塊指數(shù)和上證指數(shù)的周線分析各行業(yè)指數(shù)對(duì)上證指數(shù)的驅(qū)動(dòng)作用,發(fā)現(xiàn)五大行業(yè)板塊指數(shù)與上證指數(shù)有協(xié)整性關(guān)系。最后,基于美元流動(dòng)性、CRB、美元指數(shù)、標(biāo)準(zhǔn)普爾指數(shù)和匯率、利率、貨幣供應(yīng)量、CPI、產(chǎn)出缺口以及上證指數(shù)的2006年1月至2011年12月的月度數(shù)據(jù)構(gòu)建SVAR模型分析上述變量對(duì)上證指數(shù)波動(dòng)的驅(qū)動(dòng)。 在上述定性與定量分析的基礎(chǔ)上得出如下結(jié)論：(1)上證指數(shù)以宏觀經(jīng)濟(jì)為背景,以宏觀經(jīng)濟(jì)政策為導(dǎo)向,以五大行業(yè)指數(shù)為動(dòng)力進(jìn)行波動(dòng),上證指數(shù)與房地產(chǎn)指數(shù)、金融行業(yè)指數(shù)、煤炭石油指數(shù)與化工化纖指數(shù)具有聯(lián)動(dòng)性以及(2)上證指數(shù)對(duì)美元流動(dòng)性、貨幣供應(yīng)量、標(biāo)準(zhǔn)普爾指數(shù)和匯率的變化產(chǎn)生正向響應(yīng),對(duì)國(guó)際大宗商品價(jià)格指數(shù)、美元指數(shù)、通貨膨脹和利率變化產(chǎn)生負(fù)向響應(yīng)。論文根據(jù)所得結(jié)論提出政府宏觀調(diào)控穩(wěn)定股票市場(chǎng)的建議和對(duì)投資者適時(shí)止盈止損的投資決策建議。
[Abstract]:The volatility of the stock market is unpredictable, and it is in a state of chaos that is irregular and random. When the external conditions change, sometimes some minor changes can lead to the "butterfly effect", causing a "huge uproar" and affecting the entire market. Cause the whole stock market the big shock, even can cause the stock market to collapse. Nevertheless, the stock market ups and downs have their own laws, volatility behind the inevitable driving factors. Therefore, it is necessary to explore the volatility of stock index and its driving factors. This paper analyzes the dynamic characteristics and driving factors of Shanghai Stock Exchange Index from three aspects: domestic macro economy, industry index and foreign factors. Firstly, based on the monthly data from January 2002 to December 2011, the relationship between the economic growth cycle and the volatility of Shanghai Stock Exchange Index is discussed by using HP filter trend decomposition method. Secondly, the paper analyzes the driving effect of each industry index on Shanghai Stock Exchange Index by selecting five industry sector index and Shanghai stock index whose market value is more than 60%, and finds that there is a cointegration relationship between the five major industry sector index and Shanghai Stock Exchange Index. Finally, based on US dollar liquidity, CRB, US dollar index, S & P index and exchange rate, interest rate, Money supply, output gap and monthly data of Shanghai Stock Exchange Index from January 2006 to December 2011. The SVAR model is used to analyze the driving force of the above variables on the volatility of Shanghai Stock Exchange Index. On the basis of the above qualitative and quantitative analysis, the following conclusions are drawn: the Shanghai Stock Exchange Index is based on the macroeconomic background, the macroeconomic policy oriented index, the five industry indices as the driving force, the Shanghai Stock Exchange Index and the Real Estate Index. The financial industry index, the coal oil index and the chemical fiber index are linked and the Shanghai Stock Exchange Index has a positive response to the changes in US dollar liquidity, money supply, Standard & Poor's Index and exchange rate, and to the international commodity price index. Dollar index, inflation and interest rate changes have a negative response. According to the conclusions, the paper puts forward the suggestions of government macro-control and stabilization of stock market and the investment decision of investors to stop earnings and stop losses in good time.
【學(xué)位授予單位】：天津財(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

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