【摘要】：經(jīng)濟(jì)學(xué)領(lǐng)域的實(shí)證研究多把經(jīng)濟(jì)事件作為自然事件認(rèn)識(shí),以此認(rèn)為經(jīng)濟(jì)數(shù)據(jù)服從正態(tài)分布。顯然如此分析股市指數(shù)波動(dòng)會(huì)產(chǎn)生較大謬誤,因?yàn)橹T多的實(shí)證研究表明股票指數(shù)波動(dòng)率不服從正態(tài)分布,往往呈現(xiàn)正偏或者負(fù)偏。尤其是股指攜帶的市場(chǎng)信息量較大,這使得謬誤的影響會(huì)更加嚴(yán)重。本文以上證綜指波動(dòng)率偏度為研究對(duì)象,首先結(jié)合鞅理論分析其階段性特征,隨后在諸多可能影響上證綜指波動(dòng)率的因素中選取證券投資基金交易規(guī)模作為主要的解釋變量,并做實(shí)證分析。第一部分的實(shí)證研究結(jié)果發(fā)現(xiàn)上證綜指波動(dòng)率偏度SK長(zhǎng)期不為零,階段性特征明顯。其階段性的劃分基本上與波動(dòng)周期劃分相近,但是難以同步。同時(shí)發(fā)現(xiàn),上證綜指波動(dòng)率偏度在不同的歷史時(shí)期呈現(xiàn)不同的統(tǒng)計(jì)特征,差異性較大。但是,隨著滬市市場(chǎng)結(jié)構(gòu)的逐漸合理,機(jī)制的逐漸健全,上證綜指波動(dòng)率偏度呈現(xiàn)收斂趨勢(shì)。第二部分的研究結(jié)果表明證券投資基金交易規(guī)模是影響上證綜指變化的主要因素之一,對(duì)上證綜指波動(dòng)率偏度有著較大的影響。在滬市股票交易規(guī)模的影響下,證券投資基金交易規(guī)模依然對(duì)上證綜指波動(dòng)率偏度有的較大影響力。而且這種影響在資本市場(chǎng)的傳導(dǎo)下被放大數(shù)倍作用于上證綜指波動(dòng)率偏度值。
[Abstract]:Most of the empirical studies in the field of economics regard economic events as natural events, so as to think that economic data obey normal distribution. Obviously, there will be a great fallacy in the analysis of stock index volatility, because many empirical studies show that the volatility of stock index does not obey the normal distribution, often showing positive or negative bias. In particular, the stock index carries a large amount of market information, which makes the impact of fallacy more serious. This paper takes the volatility skewness of Shanghai Composite Index as the research object, first analyzes its stage characteristics with martingale theory, and then selects the trading scale of securities investment funds as the main explanatory variable among many factors that may affect the volatility of Shanghai Composite Index. And do empirical analysis. The results of the first part of the empirical study show that the volatility skewness SK of Shanghai Composite Index is not zero for a long time, and the stage characteristics are obvious. The division of stages is basically similar to the division of fluctuation period, but it is difficult to synchronize. At the same time, it is found that the volatility skewness of Shanghai Composite Index presents different statistical characteristics in different historical periods, and the difference is great. However, with the gradual reasonableness of the Shanghai stock market structure and the gradual improvement of the mechanism, the volatility skewness of the Shanghai Composite Index tends to converge. The results of the second part show that the trading scale of securities investment funds is one of the main factors that affect the change of Shanghai Composite Index, and has a great influence on the volatility bias of Shanghai Composite Index. Under the influence of the trading scale of Shanghai stock market, the trading scale of securities investment funds still has a great influence on the volatility bias of Shanghai Composite Index. Moreover, this effect is magnified several times under the transmission of capital market on the volatility skewness of Shanghai Composite Index.
【學(xué)位授予單位】：內(nèi)蒙古大學(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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