本文選題：偏相關(guān)性分析 + 秩相關(guān)系數(shù)��； 參考：《南昌航空大學(xué)》2017年碩士論文

【摘要】：金融市場作為當(dāng)今經(jīng)濟(jì)領(lǐng)域的一個(gè)組成部分,在人們的生活中扮演著重要的角色,金融理論和實(shí)證研究引起了來自不同領(lǐng)域科學(xué)家的興趣。本文基于中國金融市場的實(shí)證數(shù)據(jù),運(yùn)用了不同的相關(guān)性分析方法,研究了中國金融市場的演化特性,主要研究工作和成果如下:(1)基于偏相關(guān)性分析,研究了多種因素對中國金融市場金融資產(chǎn)間相關(guān)性的影響。首先,通過對比股票之間的皮爾遜相關(guān)性與剔除國內(nèi)市場指數(shù)影響的股票之間的偏相關(guān)性,研究國內(nèi)市場指數(shù)對中國金融市場的影響;其次,通過對比剔除國內(nèi)市場指數(shù)影響的股票之間的偏相關(guān)性和剔除國內(nèi)市場指數(shù)、個(gè)股影響的股票之間擴(kuò)展的偏相關(guān)性,研究了個(gè)股對中國金融市場的影響;然后,基于證監(jiān)會行業(yè)(CSRC)分類對股票的劃分,研究行業(yè)對個(gè)股的影響及各行業(yè)間的關(guān)聯(lián)性;最后,通過對比剔除國內(nèi)市場指數(shù)影響的股票之間的偏相關(guān)性和剔除國內(nèi)市場指數(shù)、國外市場指數(shù)影響的股票之間擴(kuò)展的偏相關(guān)性,研究國外市場指數(shù)對中國金融市場的影響。研究結(jié)果表明,國內(nèi)市場指數(shù)對國內(nèi)市場股票的相關(guān)性影響很大,而美國、歐洲和亞洲等外部市場指數(shù)對國內(nèi)市場股票的影響則很微弱。股票會受到不同行業(yè)的影響,但主要影響來自于本身所屬行業(yè)或密切相關(guān)行業(yè)。金融、保險(xiǎn)行業(yè)與其他行業(yè)的相關(guān)性較弱。(2)基于秩相關(guān)性分析,研究了中國股票市場的結(jié)構(gòu)演化特性。首先,將股票的時(shí)間分別以月、季度為單位劃分;其次,根據(jù)時(shí)間的劃分求出每個(gè)時(shí)間段股票市場之間的Kendallτ秩相關(guān)系數(shù),其中τ系數(shù)用來描述股票市場的結(jié)構(gòu)相似性;然后,通過計(jì)算系數(shù)τ與價(jià)格收益率的皮爾遜關(guān)聯(lián)系數(shù),研究市場結(jié)構(gòu)相似性和價(jià)格收益率的關(guān)系;最后,研究系數(shù)τ隨時(shí)間的變化趨勢,研究股票市場結(jié)構(gòu)的持續(xù)性。研究結(jié)果表明,市場結(jié)構(gòu)相似性與大多數(shù)時(shí)間的價(jià)格收益率呈負(fù)相關(guān),并且市場結(jié)構(gòu)相似性隨時(shí)間間隔增長而迅速衰減。(3)研究了中國股票市場的地理特性。首先,通過對股票每日的數(shù)據(jù)進(jìn)行主成分分析,研究各省級行政區(qū)在中國股票市場的重要性;其次,研究基于位置參數(shù)的相關(guān)性;最后,研究距離分布特性和基于距離參數(shù)的相關(guān)性。研究結(jié)果表明,除了金融大波動時(shí)的深圳市場,股票位置對金融市場演化均有影響;股市中的距離呈兩段式分布,短距離的概率遠(yuǎn)大于長距離的概率。上海證券交易所股票的相關(guān)性隨著股票距離增大呈現(xiàn)弱衰減趨勢,而深圳證券交易所股票的相關(guān)性隨著股票距離增大基本保持穩(wěn)定。綜上所述,本文通過對真實(shí)金融市場的演化特征進(jìn)行研究,能夠?yàn)榻鹑谙到y(tǒng)的風(fēng)險(xiǎn)控制提供一定的理論依據(jù)。
[Abstract]:As an integral part of today's economic field, financial market plays an important role in people's life. Financial theory and empirical research have aroused the interest of scientists from different fields. Based on the empirical data of Chinese financial market, this paper uses different correlation analysis methods to study the evolution characteristics of Chinese financial market. The main research work and results are as follows: (1) based on partial correlation analysis, This paper studies the influence of various factors on the correlation of financial assets in Chinese financial market. First of all, by comparing the Pearson correlation between stocks and the partial correlation between stocks excluding the influence of domestic market index, we study the impact of domestic market index on Chinese financial market. By comparing the partial correlation between stocks that exclude the influence of domestic market index and the extended partial correlation between stocks affected by individual stock, this paper studies the influence of individual stock on Chinese financial market. Based on the classification of CSRC to stocks, this paper studies the influence of industry on individual stock and the relevance of each industry. Finally, by comparing the partial correlation between stocks with excluding the influence of domestic market index and eliminating the domestic market index, This paper studies the influence of foreign market index on Chinese financial market. The results show that the domestic market index has a great impact on the domestic stock market, while the external market index, such as the United States, Europe and Asia, has a weak impact on the domestic stock market. Stocks will be affected by different industries, but mainly from their own industries or closely related industries. The correlation between finance and insurance industry and other industries is weak. (2) based on rank correlation analysis, the structural evolution characteristics of Chinese stock market are studied. Firstly, the time of stock is divided into month and quarter respectively. Secondly, the Kendall 蟿 rank correlation coefficient of stock market in each time period is obtained according to the division of time, where 蟿 coefficient is used to describe the structural similarity of stock market. By calculating the Pearson correlation coefficient between coefficient 蟿 and price return, the relationship between market structure similarity and price return is studied. Finally, the variation trend of coefficient 蟿 with time is studied to study the persistence of stock market structure. The results show that the similarity of market structure is negatively correlated with the price return in most time, and the similarity of market structure decreases rapidly with the increase of time interval. (3) the geographical characteristics of Chinese stock market are studied. Firstly, through the principal component analysis of the daily stock data, the importance of the provincial administrative regions in the Chinese stock market is studied. Secondly, the correlation based on the location parameters is studied. The distance distribution characteristics and the correlation based on distance parameters are studied. The results show that, except in Shenzhen market, stock position has influence on the evolution of financial market, and the distance in stock market is distributed in two sections, and the probability of short distance is much larger than that of long distance. The correlation of Shanghai Stock Exchange stock shows a weak attenuation trend with the increase of stock distance, while the correlation of Shenzhen Stock Exchange stock keeps stable with the increase of stock distance. To sum up, this paper studies the evolution characteristics of real financial market, which can provide some theoretical basis for the risk control of financial system.
【學(xué)位授予單位】：南昌航空大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.5

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本文編號：2092559