本文選題：波動持續(xù)性 + 協(xié)同持續(xù)關(guān)系　； 參考：《天津財經(jīng)大學(xué)》2012年碩士論文

【摘要】：金融市場是一個充滿風(fēng)險的市場,金融市場風(fēng)險在時間序列二階矩上的表現(xiàn)就是金融市場的波動性(以下簡稱金融波動性)。諸多的實證研究發(fā)現(xiàn)金融波動性具有時變特征和持續(xù)性特征。而波動持續(xù)性的存在進一步加大了投資者的未來投資收益的風(fēng)險,因此對波動持續(xù)性風(fēng)險的刻畫和規(guī)避是投資者投資所必須關(guān)心的問題。本文對我國金融市場波動的持續(xù)性和協(xié)同持續(xù)性的研究為波動持續(xù)性風(fēng)險的規(guī)避提供了理論和實踐指導(dǎo)意義。 本文通過對波動模型的建模方法進行梳理的同時,基于協(xié)整思想對波動持續(xù)性和協(xié)同持續(xù)性進行了蒙特卡羅模擬實驗,進一步對我國上證綜合指數(shù)和深成指數(shù)兩大股指進行了波動持續(xù)性和協(xié)同持續(xù)性的實證研究。研究發(fā)現(xiàn)：變結(jié)構(gòu)點的存在,使得所建立的波動模型高估了波動的持續(xù)性；同時我國上證綜合指數(shù)和深成指數(shù)均具有很高的波動持續(xù)性,且兩大股指之間不存在協(xié)整意義下的線性或非線性協(xié)同持續(xù)關(guān)系,而是表現(xiàn)為波動的階段性協(xié)同持續(xù)關(guān)系。研究表明,具有很高持續(xù)性的一系列資產(chǎn)的組合投資可能降低波動的持續(xù)性,從而降低風(fēng)險。即在進行資產(chǎn)投資時,不再需要研究資產(chǎn)之間的協(xié)方差關(guān)系,也不是簡單的篩選不存在波動持續(xù)性的資產(chǎn)進行投資,而是只要選擇那些組合后資產(chǎn)不再具有持續(xù)性的一組資產(chǎn)即可。即只要選擇具有協(xié)同持續(xù)關(guān)系的一組資產(chǎn)進行投資,就可以規(guī)避波動持續(xù)性帶來的風(fēng)險。同時還發(fā)現(xiàn),在金融市場的波動主要來自外在的宏觀的系統(tǒng)風(fēng)險時,金融資產(chǎn)的波動并不表現(xiàn)為很高的持續(xù)性,而當(dāng)微觀的非系統(tǒng)風(fēng)險對金融波動起關(guān)鍵作用時,金融資產(chǎn)的波動才突顯出很高的持續(xù)性。 本文的創(chuàng)新之處主要表現(xiàn)在以下幾點：1、在對波動持續(xù)性和協(xié)同持續(xù)性特征進行蒙特卡羅模擬研究的基礎(chǔ)上,對我國最新的股市數(shù)據(jù)進行了波動持續(xù)性及其規(guī)避方法的實證研究,認(rèn)為我國股市存在階段式的波動持續(xù)性和協(xié)同持續(xù)性關(guān)系；2、在對我國股市進行實證研究的基礎(chǔ)上,提出了金融波動持續(xù)性存在的現(xiàn)實條件。即股指波動的高持續(xù)性來自微觀的非系統(tǒng)風(fēng)險。而當(dāng)宏觀的外在系統(tǒng)風(fēng)險起主導(dǎo)作用時,股指波動的持續(xù)性將不是很高。
[Abstract]:Financial market is full of risks. The second moment of financial market risk in time series is the volatility of financial market (hereinafter referred to as financial volatility). Many empirical studies have found that financial volatility has the characteristics of time-varying and persistent. The existence of volatility sustainability further increases the risk of investors' future investment returns, so the characterization and avoidance of volatility persistence risk is the problem that investors must pay attention to. This paper provides theoretical and practical guidance for the study of volatility persistence and synergistic sustainability in financial markets in China. In this paper, the modeling method of wave model is combed, and Monte Carlo simulation experiment of volatility persistence and co-persistence is carried out based on cointegration theory. Furthermore, the volatility and synergistic persistence of Shanghai Composite Index and Shenzhen Composite Index are studied. It is found that the volatility model overestimates the volatility persistence due to the existence of variable structure points, and the Shanghai Composite Index and Shenzhen Composite Index both have high volatility persistence. Moreover, there is no linear or nonlinear synergistic persistence relationship in the sense of cointegration between the two major stock indexes, but a periodic synergistic sustained relationship of volatility. Studies show that portfolio investments with a high degree of sustainability may reduce volatility and thus reduce risk. That is, when investing assets, it is no longer necessary to study the covariance relationship between assets, nor is it simple to screen assets that do not have volatility sustainability to invest. Instead, choose a group of assets that are no longer sustainable. As long as we choose a group of assets with synergetic relationship to invest, we can avoid the risk of volatility persistence. At the same time, it is also found that when the volatility of financial market comes mainly from the external macro-systemic risk, the volatility of financial assets does not show a high persistence, but when the micro-non-systemic risk plays a key role in financial volatility, The volatility of financial assets highlights a high degree of sustainability. The innovations of this paper are as follows: 1. On the basis of Monte Carlo simulation of volatility persistence and co-persistence, the paper makes an empirical study on volatility persistence and its evading methods of the latest stock market data in China. Based on the empirical study of the stock market in China, this paper puts forward the realistic conditions for the persistence of financial volatility. That is, the high sustainability of stock index volatility comes from the micro-system risk. When macro-external systemic risk plays a leading role, the sustainability of stock index volatility will not be very high.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.5

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