本文選題：股市周期 + 馬爾科夫鏈　； 參考：《山西財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：眾所周知，股票市場(chǎng)作為國民經(jīng)濟(jì)的重要組成部分，它的繁榮與發(fā)展與國家的宏觀經(jīng)濟(jì)息息相關(guān)。它在一定程度上對(duì)一國經(jīng)濟(jì)的發(fā)展走勢(shì)具有預(yù)測(cè)作用，素有國民經(jīng)濟(jì)“晴雨表”之稱。不僅如此，證券市場(chǎng)還兼具聚攏資金、資產(chǎn)重組、價(jià)格發(fā)現(xiàn)及風(fēng)險(xiǎn)預(yù)測(cè)等功能，它是經(jīng)濟(jì)穩(wěn)健運(yùn)行的前提條件。 本文正是基于這樣的研究背景，，先對(duì)A股市場(chǎng)波動(dòng)特點(diǎn)進(jìn)行簡單地概括分析，之后運(yùn)用MA（移動(dòng)平均線）與馬爾科夫鏈研究方法分析中國股市的周期，并在此基礎(chǔ)上探討綜合影響A股市場(chǎng)周期形成的因子以期能更好的發(fā)揮證券市場(chǎng)“晴雨表”作用，避免股市的異常震蕩現(xiàn)象，更好地指導(dǎo)國民經(jīng)濟(jì)的健康發(fā)展。 研究結(jié)果表明，A股市場(chǎng)波動(dòng)總體分布的一般特點(diǎn)---并不符合標(biāo)準(zhǔn)的正態(tài)分布，呈現(xiàn)尖峰厚尾分布，同時(shí)伴隨著偏度大于零說明上證收益率存在右偏現(xiàn)象，表現(xiàn)為位于均值左邊的數(shù)據(jù)多于位于均值右邊的數(shù)據(jù)，市場(chǎng)收益率為負(fù)時(shí)持續(xù)時(shí)間較長，即熊長牛短現(xiàn)象。不僅如此，我國股市還存在著波動(dòng)的集聚效應(yīng)即大幅波動(dòng)集群與小幅波動(dòng)集群交替出現(xiàn)的現(xiàn)象。 論文進(jìn)一步分析了我國股市的增長型周期（反映股市收益率序列的擴(kuò)張和收縮交替周期）大概時(shí)間為8.4個(gè)月，其中在3、4、5月份擴(kuò)張的概率較大，達(dá)到了50%左右。3月份處在擴(kuò)張階段的次數(shù)最高，達(dá)到了17次；10月份進(jìn)入衰退階段的概率最大，頻數(shù)達(dá)到了16次。因此，投資者可以選擇3月份作為進(jìn)入股市的時(shí)機(jī)，同時(shí)，盡量在10月之前退出股市。 在股票市場(chǎng)的影響因子的研究當(dāng)中，本文主要從國內(nèi)外學(xué)者研究的焦點(diǎn)即宏觀經(jīng)濟(jì)及其政策因素出發(fā)。通過Granger因果關(guān)系檢驗(yàn)得出A股價(jià)格指數(shù)與CPI存在雙向的因果關(guān)系，廣義貨幣供應(yīng)量M2、進(jìn)出口總額、工業(yè)增加值均存在單向的因果關(guān)系，而經(jīng)驗(yàn)上認(rèn)為的銀行間同業(yè)拆借利率在5%的顯著性水平下，卻并非是A股價(jià)格指數(shù)的Granger原因，這在一定程度上說明了在我國，利率政策對(duì)股市影響并不顯著，利率政策的傳導(dǎo)渠道受阻。因此，有必要進(jìn)一步加快利率市場(chǎng)化改革，發(fā)揮利率政策對(duì)股票市場(chǎng)、宏觀經(jīng)濟(jì)的調(diào)節(jié)作用。 同時(shí)，通過對(duì)上證綜指的脈沖響應(yīng)和預(yù)測(cè)方差分解得出，在cpi上漲的前期，由于系統(tǒng)內(nèi)在的滯后性以及慣性的作用力，股票指數(shù)呈現(xiàn)出上漲的態(tài)勢(shì)，但伴隨著時(shí)間的累積，cpi的上漲開始對(duì)股票價(jià)格指數(shù)起到了反向的抑制作用，導(dǎo)致指數(shù)下跌。長期來看，通脹導(dǎo)致無牛市的現(xiàn)象。
[Abstract]:As is known to all, stock market as an important part of national economy, its prosperity and development are closely related to the country's macro economy.To a certain extent, it can predict the development trend of a country's economy, known as the "barometer" of the national economy.Moreover, the securities market also has the functions of collecting funds, asset reorganization, price discovery and risk forecasting, which is the prerequisite for the steady operation of the economy.Based on this research background, this paper analyzes the volatility characteristics of A share market, and then analyzes the cycle of Chinese stock market by using the method of moving average (MA) and Markov chain.On this basis, this paper discusses the factors that affect the formation of A share market cycle in order to play the role of "barometer" of the stock market better, to avoid the abnormal volatility of the stock market, and to better guide the healthy development of the national economy.The results show that the general characteristics of the general distribution of volatility in A share market-- do not conform to the standard normal distribution, showing a sharp and thick tail distribution, and accompanied by a bias greater than zero, indicating that the return rate of Shanghai Stock Exchange has a right deviation phenomenon.The data on the left side of the mean is more than the data on the right of the mean, and the market yield is longer when it is negative, that is, the bear is short of the bull.Moreover, the agglomeration effect of volatility also exists in Chinese stock market, that is, large volatility cluster and small fluctuation cluster alternately appear.The paper further analyses that the growth cycle of Chinese stock market (which reflects the alternating cycle of expansion and contraction of the stock market yield series) is about 8.4 months, in which the probability of expansion in May is higher.The number of times in the expansion stage reached the highest in about 50% in the month of March, and the probability of entering the recession stage in October reached the highest in 17 times, and the frequency reached 16 times.Therefore, investors can choose March as the time to enter the stock market, and try to withdraw from the stock market before October.In the research of influencing factors of stock market, this paper mainly starts from the research focus of domestic and foreign scholars, that is, macro-economy and its policy factors.The Granger causality test shows that there is a two-way causality between A-share price index and CPI. The generalized money supply M2, total import and export value, industrial added value all have one-way causality.However, the empirical view that the interbank offered rate is 5% significant is not the Granger cause of A share price index, which shows to some extent that interest rate policy has no significant impact on the stock market in China.The transmission channel of interest rate policy is blocked.Therefore, it is necessary to speed up the reform of interest rate marketization and bring into play the regulating effect of interest rate policy on stock market and macro economy.At the same time, through the impulse response and prediction variance decomposition of the Shanghai Composite Index, it is concluded that in the early stage of cpi rise, the stock index shows a rising trend due to the inherent lag and inertia force of the system.But the cumulative rise in CPI over time began to reverse the stock price index, causing the index to fall.In the long run, inflation has led to the absence of bull markets.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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