本文選題：異質(zhì)信念 + 賣空限制��； 參考：《浙江工商大學(xué)》2013年碩士論文

【摘要】：基于中國A股股票市場的賣空限制、漲跌停板和T+1交易制度約束的這三大實(shí)際,本文將異質(zhì)信念引入到條件分位數(shù)自回歸CAViaR模型AS形式中,構(gòu)建異質(zhì)信念調(diào)整的受限條件分位數(shù)自回歸模型,從綜合指數(shù)和微觀個股兩個層面對中國A股股票市場后市極端風(fēng)險VaR的異質(zhì)信念沖擊效應(yīng)展開相關(guān)研究。 研究結(jié)果表明：在賣空限制和T+1交易制度的雙重約束下,不論是在綜合指數(shù)層面,還是在微觀個股層面,異質(zhì)信念對中國A股股票市場后市極端風(fēng)險VaR的沖擊效應(yīng)都是非常顯著的。首先,從綜合指數(shù)層面看,滬市A股的后市極端風(fēng)險VaR主要受負(fù)向異質(zhì)信念沖擊的影響,而深市A股的后市極端風(fēng)險VaR則更容易受到正向異質(zhì)信念沖擊的影響。因此,在股票價格上漲時,深市的A股投資者應(yīng)注意正向異質(zhì)信念對深證A股市場后市極端風(fēng)險VaR的沖擊效應(yīng),而在價格下跌時,滬市A股的投資者則應(yīng)注意負(fù)向異質(zhì)信念對上證A股市場后市極端風(fēng)險VaR的沖擊效應(yīng)。 其次,從微觀個股層面看,大部分A股個股的后市極端風(fēng)險VaR主要受極端風(fēng)險VaR一階自相關(guān)項(xiàng)、正向異質(zhì)信念沖擊和負(fù)向價格慣性三大因子的影響,而相對來說,負(fù)向異質(zhì)信念沖擊因子和正向價格慣性兩個因子則僅對小部分A股個股的后市極端風(fēng)險VaR產(chǎn)生影響。因此,投資者在考慮市場次日極端風(fēng)險的時候,應(yīng)著重考慮極端風(fēng)險VaR的一階自相關(guān)項(xiàng)、正向異質(zhì)信念沖擊因子和負(fù)向價格慣性這三大影響因子,特別是在股票價格上漲時,如果伴隨著高換手率,應(yīng)特別注意正向異質(zhì)信念對次日市場極端風(fēng)險的沖擊效應(yīng)。 最后,正向異質(zhì)信念對我國A股市場個股后市極端風(fēng)險VaR的沖擊效應(yīng)還存在明顯的規(guī)模差異.正向異質(zhì)信念對A股個股后市極端風(fēng)險VaR的沖擊力度和個股流通市值大小成負(fù)向相關(guān)關(guān)系。如果某只股票的流通市值越小,則其后市極端風(fēng)險VaR更容易受到異質(zhì)信念的沖擊。因此,當(dāng)一只流通市值相對較小的股票價格出現(xiàn)上漲時,并且伴隨著高換手率,投資者和相關(guān)的監(jiān)管機(jī)構(gòu)應(yīng)特別警惕異質(zhì)信念對其未來風(fēng)險的沖擊效應(yīng)。
[Abstract]:Based on the three realities of short selling restriction, fluctuation limit and T1 trading system constraint in Chinese A-share stock market, this paper introduces heterogeneous beliefs into conditional quantile autoregressive CAViaR model as. This paper constructs a restricted conditional quantile autoregressive model of heterogeneous belief adjustment and studies the heterogeneity belief impact effect of extreme risk VaR in Chinese A-share stock market from two aspects of composite index and micro individual stock. The results show that: under the dual constraints of short selling restriction and T1 trading system, both in the composite index level and in the micro level of individual stocks, The impact of heterogeneous beliefs on VaR in the aftermarket is very significant. First of all, from the perspective of comprehensive index, the VaR of Shanghai A-shares is mainly affected by negative heterogeneity beliefs, while the VaR of Shenzhen A-shares is more vulnerable to the impact of positive heterogeneity beliefs. Therefore, when stock prices are rising, investors in Shenzhen should pay attention to the impact of positive heterogeneity beliefs on VaR, which is extremely risky in the aftermarket of Shenzhen A-share market, and when prices fall, Investors in Shanghai A-share market should pay attention to the impact of negative heterogeneity belief on the VaR of extreme risk in the aftermarket of Shanghai A-share market. Secondly, from the microcosmic stock level, the aftermarket extreme risk VaR of most A-share stocks is mainly affected by the first order autocorrelation of extreme risk VaR, positive heterogeneity belief impact and negative price inertia, but relatively speaking, The negative heterogeneity belief impact factor and the positive price inertia factor only have an effect on the aftermarket extreme risk VaR of a small number of A-share stocks. Therefore, investors should consider the first order autocorrelation of extreme risk VaR, positive heterogeneity belief impact factor and negative price inertia, especially when the stock price is rising, when considering the market next day extreme risk. If it is accompanied by high turnover rate, special attention should be paid to the impact of positive heterogeneity beliefs on the market extreme risks of the next day. Finally, the impact effect of positive heterogeneity belief on VaR in China's A-share market is significantly different. There is a negative correlation between the impact of positive heterogeneity belief on the VaR of extreme risk in the aftermarket of A-shares and the size of market value in circulation. If the circulating market value of a stock is smaller, the VaR is more vulnerable to heterogeneous beliefs. Therefore, when the price of a stock with a relatively small circulating market value rises, and with a high turnover rate, investors and relevant regulators should be particularly wary of the impact of heterogeneity on their future risks.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1920544