本文選題：股票市場(chǎng) + 波動(dòng)性��； 參考：《杭州電子科技大學(xué)》2012年碩士論文

【摘要】：我國(guó)作為一個(gè)新興的金融市場(chǎng)，，股票市場(chǎng)的發(fā)展自滬市和深市開(kāi)始營(yíng)業(yè)開(kāi)始，經(jīng)歷了二十多年。在這二十多年里經(jīng)歷了兩次大規(guī)模的金融危機(jī)，我國(guó)的股票市場(chǎng)依然在健康的發(fā)展，并成功推出了創(chuàng)業(yè)板。然而，畢竟我國(guó)是一個(gè)新興的金融市場(chǎng)，其股票市場(chǎng)的波動(dòng)顯得異常劇烈，而且呈現(xiàn)出一些獨(dú)有的特征。如熊市長(zhǎng)，牛市短；波動(dòng)幅度過(guò)大；對(duì)信息反應(yīng)過(guò)于劇烈等。同時(shí)，基金作為機(jī)構(gòu)投資者，其投資行為對(duì)我國(guó)股市波動(dòng)的影響也異常明顯。因此，研究我國(guó)股票市場(chǎng)的這些波動(dòng)特征并進(jìn)而確定基金的投資行為對(duì)我國(guó)股票市場(chǎng)波動(dòng)的影響效應(yīng)對(duì)于我國(guó)相關(guān)機(jī)構(gòu)進(jìn)行金融監(jiān)管和投資者更好的選擇投資策略，從而使得我國(guó)股票市場(chǎng)可以更好的發(fā)揮資源優(yōu)化配置的作用。 股票市場(chǎng)收益率的波動(dòng)問(wèn)題一直是學(xué)術(shù)界研究的重點(diǎn)，學(xué)者們從最初簡(jiǎn)單的通過(guò)圖形來(lái)描繪波動(dòng)特征，發(fā)展到后來(lái)用指標(biāo)描繪波動(dòng)特征。隨后又出現(xiàn)了ARCH模型，進(jìn)而出現(xiàn)了GARCH類(lèi)模型，用來(lái)描繪波動(dòng)的各種特征。后來(lái)，學(xué)者們又開(kāi)始致力于研究影響這些波動(dòng)的因素，包括政策、機(jī)構(gòu)投資者、投資心理等。越來(lái)越多的學(xué)者開(kāi)始將重點(diǎn)放在研究基金在投資行為中呈現(xiàn)出的羊群效應(yīng)和回饋效應(yīng)對(duì)我國(guó)股市波動(dòng)的影響上。 本文在總結(jié)之前相關(guān)學(xué)者研究方法和研究成果的基礎(chǔ)上，通過(guò)描述性分析了我國(guó)上證綜指、深證成指和創(chuàng)業(yè)板指數(shù)的收益波動(dòng)特征，并對(duì)三者的波動(dòng)特征進(jìn)行了對(duì)比分析；采用GARCH類(lèi)模型分別對(duì)三個(gè)指數(shù)的收益率波動(dòng)性進(jìn)行擬合，并對(duì)三個(gè)GARCH類(lèi)模型的擬合效果進(jìn)行了對(duì)比；建立股票池來(lái)模擬我國(guó)股票市場(chǎng)整體的收益波動(dòng)；通過(guò)建立對(duì)數(shù)回歸模型研究基金的投資行為對(duì)于我國(guó)股票市場(chǎng)收益波動(dòng)的影響。通過(guò)本文的相關(guān)研究，我們得到了如下結(jié)論： （一）上證綜指、深證成指和創(chuàng)業(yè)板指數(shù)的時(shí)間序列均呈現(xiàn)顯著的尖峰厚尾現(xiàn)象，且創(chuàng)業(yè)板指數(shù)左偏程度最大，上證綜指左偏程度最小。 （二）滬市和深市的收益時(shí)間序列都呈現(xiàn)出顯著的ARCH效應(yīng)，而創(chuàng)業(yè)板市場(chǎng)的收益時(shí)間序列則沒(méi)有呈現(xiàn)出顯著的ARCH效應(yīng)。在GARCH（1, 1），TGARCH（1, 1）和EGARCH（1, 1）模型中，EGARCH（1, 1）對(duì)上證綜指和深證成指收益波動(dòng)的擬合效果最好。兩個(gè)市場(chǎng)的收益波動(dòng)均呈現(xiàn)顯著的杠桿性、聚集性、長(zhǎng)記憶性和持續(xù)性、均值回復(fù)性。滬市相比深市而言，呈現(xiàn)出更強(qiáng)的非對(duì)稱(chēng)性，即更強(qiáng)的杠桿性。EGARCH（1, 1）可以很好的消除上證綜指和深證成指收益時(shí)間序列的ARCH效應(yīng)。 （三）本文建立的股票池可以很好的模擬我國(guó)股票市場(chǎng)的收益波動(dòng)性。我國(guó)股票的板塊市也會(huì)受到個(gè)股不同而在個(gè)股上呈現(xiàn)出不同的走勢(shì)，并且受基金投資行為的影響程度和方向也會(huì)不同，我國(guó)基金在投資過(guò)程中主要采用正回饋投資策略，一定程度上加劇了我國(guó)股市的波動(dòng)，同時(shí)基金的關(guān)注度也會(huì)在一定程度上加大波動(dòng)性，相比成交量等其他影響因素，基金的投資行為的影響程度顯著較大。
[Abstract]:As a new financial market, the development of the stock market has begun to start in Shanghai and Shenzhen. It has experienced more than 20 years. In the more than 20 years, the stock market has experienced two large-scale financial crises. The stock market in China is still developing healthfully, and it has successfully launched the gem. However, China is a new finance after all. In the market, the volatility of its stock market appears unusual, and presents some unique features, such as the mayor of bear, short bull market, excessive volatility, excessive response to information and so on. At the same time, as an institutional investor, the investment behavior of the fund has a very obvious effect on the volatility of our stock market. Therefore, the study of the stock market in China Some volatility features and then determine the effect of the investment behavior of the fund on the volatility of the stock market in China, which makes the financial supervision and investors better choose the investment strategies for the relevant institutions of our country, thus making the stock market of our country better play the role of optimizing the allocation of resources.
The volatility of the stock market returns has always been the focus of academic research. Scholars have developed the volatility characteristics from the initial simple graphics to describe the volatility. Then, the ARCH model appeared, and then the GARCH model was developed to describe the various characteristics of the volatility. Later, scholars began to work again. In the study of the factors affecting these fluctuations, including policy, institutional investors, investment psychology, and so on, more and more scholars began to focus on the effect of herd and feedback effects on the stock market volatility in the investment behavior of the research fund.
On the basis of summarizing the previous scholars' research methods and research results, this paper makes a descriptive analysis of the volatility characteristics of the Shanghai Composite Index, Shenzhen stock index and gem index, and makes a comparative analysis on the volatility characteristics of the three parties, and uses the GARCH model to fit the volatility of the rate of return of the three indices respectively. The fitting effect of the three GARCH models is compared, the stock pool is established to simulate the volatility of the whole stock market in China, and the effect of the investment behavior of the fund on the volatility of the stock market in China is studied by establishing a logarithmic regression model. The following conclusions are obtained by the relevant research in this paper.
(1) the Shanghai Composite Index has a significant peak and thick tail phenomenon in the time series of the Shenzhen stock index and the gem index, and the left deviation of the gem index is the most, and the left deviation of the Shanghai composite index is the least.
(two) the time series of the Shanghai stock market and the Shenzhen stock market all present a significant ARCH effect, while the return time series of the GEM market does not show a significant ARCH effect. In GARCH (1, 1), TGARCH (1, 1) and EGARCH (1, 1) model, EGARCH (1, 1) has the best fitting effect on the Shanghai Composite Index and the deep proof index returns. The benefits of two markets are the best. The volatility shows significant leverage, aggregation, long memory and sustainability, and the mean reversibility. Compared with the Shenzhen market, the Shanghai stock market shows a stronger asymmetry, that is, the stronger leverage.EGARCH (1, 1) can well eliminate the ARCH effect of the Shanghai Composite Index and the time sequence of the Shenzhen Stock index income.
(three) the stock pool established in this paper can well simulate the volatility of income in the stock market of our country. The stock market in China will also be different in the stock market, and the influence degree and direction of the investment behavior of the fund will be different. In the process of investment, the fund of our country mainly adopts positive feedback investment policy. Slightly, to a certain extent, the volatility of China's stock market is aggravated, and the degree of concern of the fund will also increase volatility to a certain extent. Compared with other factors such as the volume of turnover, the investment behavior of the fund has a significant impact.
【學(xué)位授予單位】：杭州電子科技大學(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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