【摘要】：This thesis takes a close and deep look at volatility of China's Stock Market Price.Based on the study of China's Stock Price volatility, this thesis analyses the cointegration between macroeconomic varibles and the index of Shanghai stock market.It has certain theoretical meaning and realistic meaning.Firstly,this thesis starts with probeing into characteristic of China's stock price volatility.And according to the range of the share index return,the quantitative definition of abnormal fluctuation was proposed.Secondly,theoretical models on the stock price are introduced,including random walk model,lognormality model and fluctuating sources model.GARCH and EGARCH class of models for time series and the method of parameter estimate are introduced.Then,the models of GARCH (1, 1) and EGARCH (1, 1) are used to test the volatility of the Shanghai stock logarithmic return time series .At last, In chapter 5,this section study the cointegration between the index of Shanghai stock market and 4 macroeconomic factors by using co-integrate technology.Our empirical results are as follows: Firstly, the phenomena of thick tails, volatility clustering,leverage effects,are exist in Shanghai stock market.Bad news affectiong is higher than good news;Secondly,It is found from the comparison that the ARCH type models with student't innovation is more capable to capture charateristics of logarithmic return time series;Thirdly, Fluctuating sources model can describe the stock market more accurately than the traditional models.Fourthly,the composite index of Shanghai stock market has a long run balanced relationship with the 4 macroeconomic varibles,such as gross domestic product,money supply,inflation rate, and interest,through which a long term trend of the composite index of Shanghai stock market can be forecasted. Fifthly,the results of the estimation of error correction model shows that the 4 macroeconomic varibles have not remarkable effect on index of Shanghai stock market in the short run.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2005
【分類號(hào)】：F832.51

【引證文獻(xiàn)】

相關(guān)期刊論文 前1條

1 余雪媛;;應(yīng)用波動(dòng)源模型研究股票價(jià)格波動(dòng)[J];中山大學(xué)研究生學(xué)刊(自然科學(xué).醫(yī)學(xué)版);2014年02期

相關(guān)博士學(xué)位論文 前1條

1 趙毓婷;我國造船訂單波動(dòng)及其風(fēng)險(xiǎn)研究[D];哈爾濱工程大學(xué);2011年

相關(guān)碩士學(xué)位論文 前3條

1 王巍巍;世界油船拆船量波動(dòng)與預(yù)測(cè)研究[D];哈爾濱工程大學(xué);2011年

2 白雪;世界油船訂單量的波動(dòng)及其預(yù)測(cè)研究[D];哈爾濱工程大學(xué);2010年

3 劉新華;中國A股市場(chǎng)股價(jià)指數(shù)動(dòng)態(tài)研究[D];南京農(nóng)業(yè)大學(xué);2009年

本文編號(hào)：2762243