本文選題：錯誤定價　切入點：波動率　出處：《哈爾濱工業(yè)大學》2014年碩士論文　論文類型：學位論文

【摘要】：自1990年12月到現(xiàn)在中國資本市場歷經(jīng)了大致八次比較突出的漲跌，股價大幅度的波動會影響投資者和融資者的決策。 本文的核心內(nèi)容是研究通脹幻覺和異質(zhì)信念對中國股市錯誤定價及其波動率的相對影響程度，基本思路是先在理論上解釋異質(zhì)信念和通脹幻覺對股市錯誤定價及其波動率都是有影響的，然后進行格蘭杰因果檢驗，最后通過向量自回歸模型進行實證檢驗并對比這兩個因素對錯誤定價及其波動率的相對影響強度。 本文所采用的研究樣本為滬深300指數(shù)所有的成分股，，樣本選擇的時間區(qū)間為2002年2季度到2013年3季度，利用向量自回歸模型檢驗了中國股市錯誤定價及其波動率與異質(zhì)信念和通脹幻覺的動態(tài)聯(lián)系。通過格蘭杰因果檢驗發(fā)現(xiàn)，通脹幻覺不是股市錯誤定價的格蘭杰原因但是異質(zhì)信念是錯誤定價的格蘭杰原因。結(jié)合脈沖響應(yīng)函數(shù)和方差分解函數(shù)發(fā)現(xiàn)通脹幻覺對錯誤定價的影響明顯弱于異質(zhì)信念。同時也發(fā)現(xiàn)異質(zhì)信念是股市錯誤定價波動率的格蘭杰原因而通脹幻覺不是波動率的格蘭杰原因。進一步結(jié)合脈沖響應(yīng)函數(shù)和方差分解分析發(fā)現(xiàn)通脹幻覺對錯誤定價的波動率幾乎沒有影響而異質(zhì)信念對波動率有很強的影響。 在同質(zhì)信念條件下研究資產(chǎn)定價的文獻已較多，但同時結(jié)合異質(zhì)信念和通脹幻覺研究股市錯誤定價及其波動率文獻較少，特別是在有關(guān)新興市場股市上的研究。隨著我國資本市場的不斷發(fā)展和完善，研究異質(zhì)信念和通脹幻覺對股市錯誤定價及其波動率的影響對完善我國資本市場具有重要的現(xiàn)實指導意義。
[Abstract]:Since December 1990, China's capital market has experienced about eight more prominent ups and downs, the stock price volatility will affect investors and financiers' decisions. The core of this paper is to study the relative influence of inflation hallucinations and heterogeneous beliefs on the mispricing and volatility of Chinese stock market. The basic idea is to theoretically explain that heterogeneous beliefs and inflation hallucinations have an impact on stock market mispricing and volatility, and then Granger causality test is carried out. Finally, an empirical test is carried out by vector autoregressive model and the relative influence of these two factors on mispricing and volatility is compared. The study sample is all the constituent stocks of CSI 300 index. The time range of the sample is from the second quarter of 2002 to the third quarter of 2013. By using the vector autoregressive model, we examine the dynamic relationship between Chinese stock market mispricing and volatility with heterogeneous beliefs and inflation hallucinations, and find out by Granger causality test. Inflation hallucination is not the Granger cause of stock market mispricing, but heterogeneity belief is Granger cause of mispricing. Combining impulse response function and variance decomposition function, we find that inflation hallucination has a weaker effect on mispricing than heterogeneity. It is also found that heterogeneous belief is the Granger cause of stock market mispricing volatility, and inflation hallucination is not Granger cause of volatility. Further, combining impulse response function and variance decomposition analysis, we find inflation hallucination. The volatility of mispricing has little effect, but heterogeneity has a strong effect on volatility. There are many papers on asset pricing under the condition of homogeneous belief, but there are few papers on stock market mispricing and volatility combining heterogeneous beliefs and inflation hallucinations. Especially in the emerging market stock market research. With the continuous development and improvement of China's capital market, The study of the influence of heterogeneous beliefs and inflation hallucinations on the stock market mispricing and volatility is of great practical significance to the perfection of China's capital market.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1604049