本文選題：河北板塊 + R/S分析　； 參考：《河北經(jīng)貿(mào)大學(xué)》2012年碩士論文

【摘要】：股票作為一種常用的金融交易工具,其價(jià)格波動(dòng)問(wèn)題是當(dāng)前金融研究中的一項(xiàng)基本且重要的課題。有效市場(chǎng)理論在描述股票市場(chǎng)時(shí)被發(fā)現(xiàn)帶有一定的局限性。分形理論借助于非線(xiàn)性系統(tǒng)來(lái)分析股票市場(chǎng)復(fù)雜的波動(dòng)狀態(tài),解決了有效市場(chǎng)理論中許多前提假設(shè)的局限性和缺陷,從而所解釋股票市場(chǎng)的結(jié)構(gòu)和價(jià)格波動(dòng)特性更加接近于真實(shí)市場(chǎng)特性。因此,本文運(yùn)用分形理論對(duì)股票市場(chǎng)結(jié)構(gòu)和股價(jià)波動(dòng)特征進(jìn)行研究。 首先,通過(guò)對(duì)所研究的數(shù)據(jù)進(jìn)行正態(tài)性檢驗(yàn)、相關(guān)性檢驗(yàn)和非線(xiàn)性檢驗(yàn),驗(yàn)證了河北板塊股票收益率數(shù)據(jù)是非正態(tài)的、非線(xiàn)性的,從而證實(shí)了運(yùn)用有效市場(chǎng)假說(shuō)分析股票市場(chǎng)確實(shí)存在局限性。同時(shí),這也為分形方法的應(yīng)用提供了條件。 其次,對(duì)河北板塊股票收益率進(jìn)行單分形分析,發(fā)現(xiàn)股票收益率存在循環(huán)周期(即具有長(zhǎng)期記憶性),并從整個(gè)收益率序列、循環(huán)周期前和循環(huán)周期后三個(gè)時(shí)間段來(lái)計(jì)算Hurst指數(shù)。結(jié)果表明,H值具有明顯的差別：記憶周期前的H值整個(gè)時(shí)間區(qū)間的H值記憶周期后的H值,從而證實(shí)河北板塊股票收益率存在分形特征。另外,上證股票走勢(shì)比深證股票的持續(xù)性趨勢(shì)更明顯,相對(duì)風(fēng)險(xiǎn)較小。 再次,在存在單分形特征的基礎(chǔ)上,通過(guò)廣義Hurst指數(shù)、多重分形譜來(lái)檢驗(yàn)收益率序列是否存在多重分形特征。結(jié)果表明,收益率序列確實(shí)存在多重分形特征,并且分形特征是由收益率序列的自相關(guān)性和胖尾分布引起的。同時(shí)也說(shuō)明,單分形理論并不能對(duì)股票收益率序列進(jìn)行很好的描述,在結(jié)論的分析上應(yīng)以多重分形結(jié)果為依據(jù)。 最后,針對(duì)河北板塊股票收益率存在分形特征的現(xiàn)象,從河北板塊和全國(guó)股市大環(huán)境去探尋其原因。認(rèn)為,投資者中個(gè)體投資者占比重大且對(duì)信息的反應(yīng)不一致,是產(chǎn)生分形特征的主要原因；上市公司信息披露的不真實(shí)、不及時(shí)、不充分；國(guó)有企業(yè)改制上市后認(rèn)識(shí)的偏差、體制上的欠缺和操作上的不當(dāng)；股票市場(chǎng)本身的開(kāi)放性和非線(xiàn)性；上市企業(yè)發(fā)展和成長(zhǎng)歷程的不同以及發(fā)展和成長(zhǎng)歷程的非線(xiàn)性也都是導(dǎo)致股票收益率出現(xiàn)分形特征的原因。據(jù)此,針對(duì)證券監(jiān)管者、上市公司、投資者三方面給出了合理化建議。
[Abstract]:As a common financial trading tool, stock price fluctuation is a basic and important subject in current financial research. The efficient market theory is found to have some limitations in describing the stock market. Fractal theory analyzes the complex fluctuation state of stock market by means of nonlinear system, and solves the limitation and defect of many premise hypotheses in efficient market theory. Thus, the structure and price fluctuation characteristics of the stock market are closer to the real market characteristics. Therefore, this paper uses fractal theory to study the structure and volatility of stock market. Firstly, through normality test, correlation test and nonlinear test, the paper verifies that the data of stock yield of Hebei plate are non-normal and nonlinear. It is proved that the analysis of stock market by efficient market hypothesis has its limitations. At the same time, this also provides the condition for the application of fractal method. Secondly, the single-fractal analysis of the stock yield in Hebei plate shows that there exists a cycle (that is, long-term memory) in the stock return rate, and the Hurst exponent is calculated from the whole yield sequence, the period before and after the cycle. The results show that the H value has obvious difference: the H value before the memory period is the H value of the whole time interval after the H value memory period, thus confirming the existence of fractal characteristics of the stock yield in Hebei plate. In addition, the Shanghai stock market trend than Shenzhen stock market trend is more obvious, relatively less risk. Thirdly, on the basis of the existence of single fractal features, the multifractal features of yield series are tested by generalized Hurst exponent and multifractal spectrum. The results show that the multifractal feature does exist in the yield series, and the fractal feature is caused by the autocorrelation and the fat tail distribution of the return sequence. It also shows that the single-fractal theory can not describe the stock return series well, and the conclusion should be based on the multifractal results. Finally, in view of the phenomenon that the stock yield of Hebei plate has fractal characteristics, this paper explores the reasons from the stock market environment of Hebei plate and the whole country. It is believed that individual investors account for a large proportion of investors and react inconsistently to information, which is the main reason for fractal characteristics; the information disclosure of listed companies is not true, timely and insufficient; The lack of system and improper operation; the openness and nonlinearity of stock market itself; the difference of development and growth history of listed enterprises and the nonlinearity of development and growth process are also the reasons for the appearance of fractal characteristics of stock yield. Accordingly, for securities regulators, listed companies, investors three aspects to give reasonable advice.
【學(xué)位授予單位】：河北經(jīng)貿(mào)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F832.51

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