發(fā)布時間：2019-05-18 05:23

【摘要】：隨著中國經(jīng)濟的迅速發(fā)展，融資的資本化增強，股價也日漸成為各國經(jīng)濟發(fā)展的晴雨表。由于金融實力的不斷增強，股市所帶來的影響已經(jīng)不僅局限于金融領(lǐng)域，而是普遍影響到了經(jīng)濟、政治和社會生活的各方各面，從某種程度上可以說，一個國家股市發(fā)展的規(guī)模和狀況能直接或者間接地反映出該國的經(jīng)濟實力與經(jīng)濟的發(fā)展?fàn)顩r。 傳統(tǒng)意義上研究股市主要包含證券投資分析法和時間序列預(yù)測法，但是這兩種方法均存在著某種程度的局限性。而且，股票市場當(dāng)中普遍存在的尖峰厚尾的特點也是其中一大難題，時間序列預(yù)測法也較難確定預(yù)測模型及確定該法是否能夠準(zhǔn)確地預(yù)測股指。大部分時間序列預(yù)測模型的建立仍舊是基于傳統(tǒng)的線性假設(shè)，大量的數(shù)據(jù)都包含著噪聲。ARCH模型與GARCH模型常用來對主體模型的隨機擾動項來進行建模分析，更加充分地提取模型殘差當(dāng)中的信息，更適于擬合金融序列尖峰厚尾的特征。 本文通過五部分分別研究了上證綜指、深證成指牛市階段、熊市階段股指變化特征，政策效應(yīng)對我國股指波動的影響以及全球三大股市間的動態(tài)關(guān)系，得出如下結(jié)論：（1）上證綜指和深證成指都有如下特征：牛市階段的ARCH項和GARCH項的系數(shù)都是統(tǒng)計顯著的；熊市階段的ARCH項并不顯著，但是GARCH項是顯著的，因此認(rèn)為前期的沖擊對后面的條件方差的影響是持久的。（2）證監(jiān)會示警和創(chuàng)業(yè)板板塊上市都對中國股市有著顯著的影響，而且這種影響是通過影響股票價格條件方差的形成機制從而影響股市的波動的。（3）道瓊斯指數(shù)長期波動的固定成本最高，，美洲的股票市場在波動期內(nèi)伴隨著比較高的波動成本而上證指數(shù)的波動集群效應(yīng)最大，且三大股市的信息沖擊都存在杠桿效應(yīng)。
[Abstract]:With the rapid development of Chinese economy and the capitalization of financing, stock price has increasingly become a barometer of economic development in various countries. Due to the continuous strengthening of financial strength, the impact of the stock market has not only been limited to the financial sector, but has generally affected all sides of economic, political and social life. To some extent, it can be said that the impact of the stock market has not only been limited to the financial sector, but has generally affected all sides of economic, political and social life. The scale and condition of a country's stock market development can directly or indirectly reflect the country's economic strength and economic development. In the traditional sense, the study of stock market mainly includes securities investment analysis method and time series forecasting method, but these two methods have some limitations. Moreover, the characteristics of peak and thick tail are also one of the most difficult problems in the stock market, and the time series prediction method is also difficult to determine the prediction model and whether the method can accurately predict the stock index. Most of the time series prediction models are still based on the traditional linear hypothesis, and a large number of data contain noise. Arch model and GARCH model are often used to model and analyze the random disturbance terms of the main model. It is more suitable to fit the characteristics of the peak and thick tail of financial sequence by extracting the information from the residual of the model more fully. Through five parts, this paper studies the stock index variation characteristics of Shanghai Composite Index, Shenzhen Composite Index bull market stage, bear market stage, the influence of policy effect on stock index fluctuation in China and the dynamic relationship among the three major stock markets in the world. The conclusions are as follows: (1) both Shanghai Composite Index and Shenzhen Composite Index have the following characteristics: the coefficients of ARCH and GARCH in bull market stage are statistically significant; The ARCH item in the bear market stage is not significant, but the GARCH item is significant, so it is considered that the impact of the previous shock on the later conditional variance is lasting. (2) both the CSRC warning and the gem listing have a significant impact on the Chinese stock market. And this effect affects the volatility of the stock market by affecting the formation mechanism of the conditional variance of stock prices. (3) the Dow Jones index has the highest fixed cost of long-term volatility. During the volatility period, the American stock market is accompanied by a relatively high volatility cost, and the Shanghai Stock Exchange index has the largest volatility cluster effect, and the information shock of the three major stock markets has leverage effect.
【學(xué)位授予單位】：內(nèi)蒙古財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

【參考文獻】

相關(guān)期刊論文 前1條

1 菜叢;;股價終將回歸基本面?[J];金融經(jīng)濟;2009年17期

本文編號：2479717