本文選題：杠桿效應(yīng) + 波動(dòng)非對(duì)稱性�。� 參考：《江西財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：相當(dāng)長(zhǎng)一段時(shí)間以來,金融領(lǐng)域中的研究人員一直致力于對(duì)股票價(jià)格與其波動(dòng)率之間關(guān)系的研究,這是一項(xiàng)意義重大的課題,而在金融實(shí)證領(lǐng)域中對(duì)股價(jià)波動(dòng)非對(duì)稱性的研究方興未艾。市場(chǎng)波動(dòng)性在計(jì)量風(fēng)險(xiǎn)的大小、檢驗(yàn)市場(chǎng)的效率性以及估算CAPM中待估計(jì)參數(shù)值等方面得到了廣泛的應(yīng)用,股價(jià)的適度波動(dòng)在一定程度上可以起到提高市場(chǎng)流動(dòng)性和活躍市場(chǎng)的作用,它是金融經(jīng)濟(jì)學(xué)中的一項(xiàng)核心內(nèi)容。 本文以反映股市整體走勢(shì)的滬深300指數(shù)作為研究對(duì)象,對(duì)我國股市的波動(dòng)特點(diǎn)進(jìn)行分階段實(shí)證研究,進(jìn)而對(duì)波動(dòng)非對(duì)稱性進(jìn)行更加合理、全面的解釋。研究結(jié)果如下： 三個(gè)階段的日收益率序列都表現(xiàn)出波動(dòng)聚集性與尖峰厚尾性。相對(duì)于S1階段而言,S2、S3階段的峰度系數(shù)顯著地變小,這表明我國股市波動(dòng)異常行為正伴隨著股市的成熟日漸減少。GJR-GARCH-M模型和EGARCH-M模型擬合結(jié)果顯示S1階段是非平穩(wěn)過程,S2、S3階段是平穩(wěn)過程,且平穩(wěn)性逐漸增強(qiáng)。在平穩(wěn)過程中,滬深300指數(shù)收益率的相對(duì)風(fēng)險(xiǎn)系數(shù)由負(fù)數(shù)變成正數(shù),投資者由風(fēng)險(xiǎn)愛好型轉(zhuǎn)變?yōu)轱L(fēng)險(xiǎn)厭惡性,這說明我國股市經(jīng)過二十多年的發(fā)展,市場(chǎng)中的不理性投資現(xiàn)象正在逐漸減少,市場(chǎng)參與者的投資行為漸近理性。 我國股市不僅存在“杠桿效應(yīng)”,即相對(duì)于利好消息而言,等同程度的利空消息對(duì)股市造成的波動(dòng)較大,還存在“反杠桿效應(yīng)”,即相對(duì)于利空消息來說,等同程度的利好消息對(duì)股市產(chǎn)生更大的波動(dòng)效果。因此本文認(rèn)為股市波動(dòng)非對(duì)稱效應(yīng)不等同于杠桿效應(yīng),波動(dòng)非對(duì)稱性應(yīng)為利好消息與等同程度的利空消息對(duì)股市波動(dòng)產(chǎn)生不一樣的效果。S2階段的杠桿系數(shù)絕對(duì)值最大,說明在金融危機(jī)的背景下我國提高印花稅稅率對(duì)股市造成了較大的波動(dòng)效果。 三個(gè)階段的信息沖擊曲線表明,我國股市的信息沖擊曲線并不是都呈現(xiàn)V型的,還有L型的。S2階段信息沖擊曲線之所以呈現(xiàn)L型,是因?yàn)樨?cái)政部提高印花稅稅率對(duì)我國股市產(chǎn)生了較大的波動(dòng)。
[Abstract]:For a long time, researchers in the financial field have been working on the relationship between stock prices and their volatility, which is a significant topic. In the field of financial empirical research on the asymmetric volatility of stock prices is in the ascendant. Market volatility has been widely used in measuring the size of risk, testing the efficiency of the market and estimating the parameters to be estimated in CAPM. The moderate fluctuation of stock price can improve the liquidity of the market and activate the market to a certain extent. It is a core content in the financial economics. This paper takes the CSI 300 index which reflects the overall trend of the stock market as the research object, carries on the stage empirical research to the fluctuation characteristic of our country stock market, and then carries on the more reasonable and comprehensive explanation to the fluctuation asymmetry. The findings are as follows: The three stages of daily yield series all show volatility aggregation and peak thick tail. Compared with the S1 stage, the kurtosis coefficient of S2S3 phase has been significantly reduced. This indicates that the abnormal behavior of stock market volatility is decreasing with the maturity of the stock market. The fitting results of GJR-GARCH-M model and EGARCH-M model show that the S1 stage is a stationary process and the stationarity is gradually enhanced. In the steady process, the relative risk coefficient of the Shanghai and Shenzhen 300 index returns has changed from a negative number to a positive number, and the investors have changed from a risk-loving type to a risk-averse one. This shows that the stock market in our country has developed after more than 20 years of development. The irrational investment phenomenon in the market is gradually decreasing, and the investment behavior of market participants is asymptotically rational. There is not only "leverage effect" in China's stock market, that is, relative to the good news, the volatility of the stock market caused by the same degree of bad news is larger, but also the "anti-leverage effect", that is, relative to the bad news. The same level of good news on the stock market has greater volatility effect. Therefore, this paper holds that the asymmetric effect of stock market volatility is not equal to the leverage effect, and the asymmetry of volatility should be the maximum absolute value of leverage coefficient in S.2 stage, which is different from that of good news and the same degree of bad news. Under the background of the financial crisis, the increase of stamp duty rate has a great effect on the stock market. The information shock curve of three stages shows that the information shock curve of China's stock market is not all V-shaped, and the information shock curve of S-2 stage of L type is L-type. It is because the Ministry of Finance raised the stamp duty tax rate to our country stock market produced the big fluctuation.
【學(xué)位授予單位】：江西財(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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本文編號(hào)：1979711