本文選題：滬深300指數(shù)　切入點(diǎn)：創(chuàng)業(yè)板指數(shù)　出處：《西南財經(jīng)大學(xué)》2014年碩士論文

【摘要】：隨著我國經(jīng)濟(jì)的快速發(fā)展,為適應(yīng)建立多層次資本市場的需要,創(chuàng)業(yè)板市場在2009年10月正式開通之后各個層次資本市場之間互補(bǔ)融合協(xié)同作用越來越明顯。研究證券市場各個板塊之間的差異性、聯(lián)動性、波動性有利于管理層更好的制定政策,有利于投資者深刻認(rèn)識其規(guī)律,定價及金融風(fēng)險控制。因此,有關(guān)證券市場運(yùn)行方面的研究在學(xué)術(shù)和實(shí)際應(yīng)用方面顯得愈發(fā)重要。本論文以創(chuàng)業(yè)板和主板市場作為研究對象,考察兩者相互波動關(guān)系。一方面我國創(chuàng)業(yè)板創(chuàng)立的時間還不長,研究創(chuàng)業(yè)板和主板市場的相互關(guān)系對投資者借鑒主板市場的成熟經(jīng)驗(yàn)起到啟發(fā)作用；另一方面,我國關(guān)于創(chuàng)業(yè)板市場的研究尤其是各個市場間差異性、聯(lián)動性的研究相對較少,因此將創(chuàng)業(yè)板與主板市場相結(jié)合起來對比研究有一定的創(chuàng)新性。 本文分別選取了從2010年6月1日到2014年1月10日的主板和創(chuàng)業(yè)板指數(shù),共計(jì)875個日數(shù)據(jù)。主板市場方面選用滬深300指數(shù)(399300)作為代表,探究主板市場波動特征；創(chuàng)業(yè)板市場方面選用創(chuàng)業(yè)板指數(shù)(399006)作為代表,探究創(chuàng)業(yè)板市場波動特征。在本文的寫作中先利用自相關(guān)檢驗(yàn)和單位根檢驗(yàn)等方法檢驗(yàn)指數(shù)收益率波動的平穩(wěn)性；研究顯示,主板滬深300指數(shù)和創(chuàng)業(yè)板指數(shù)日收益率時間序列皆平穩(wěn)性；然后對我國創(chuàng)業(yè)板和主板市場指數(shù)進(jìn)行協(xié)整檢驗(yàn),檢驗(yàn)兩者之間是否存在長期的均衡關(guān)系,實(shí)證結(jié)果表明：我國主板滬深300指數(shù)和創(chuàng)業(yè)板指數(shù)在樣本區(qū)間內(nèi)呈現(xiàn)均衡的協(xié)整關(guān)系；再次利用Granger因果檢驗(yàn)方法檢驗(yàn)創(chuàng)業(yè)板市場與主板市場的因果聯(lián)系,通過階段一、階段二和階段三分別檢驗(yàn)得出不同結(jié)論并分析原因；最后利用類GARCH模型對主板和創(chuàng)業(yè)板指數(shù)的收益率波動性、非對稱性進(jìn)行實(shí)證研究。結(jié)果顯示：在GARCH模型下,主板指數(shù)和創(chuàng)業(yè)板指數(shù)收益率呈現(xiàn)不同程度的波動聚集性現(xiàn)象；而且創(chuàng)業(yè)板指數(shù)條件方差大于主板指數(shù)條件方差,意味著創(chuàng)業(yè)板市場股票波動性大于主板市場,亦即創(chuàng)業(yè)板市場股票波動風(fēng)險大于主板風(fēng)險波動；創(chuàng)業(yè)板和主板市場都呈現(xiàn)不同程度的杠桿效應(yīng),即負(fù)面信息對指數(shù)的沖擊大于正面信息。
[Abstract]:With the rapid economic development of our country, in order to meet the needs of establishing a multi-level capital market, After the gem market officially opened in October 2009, it is more and more obvious that the complementary, integrated and synergistic effect among the capital markets at all levels. Volatility is good for management to make policies better, and for investors to have a deep understanding of their laws, pricing and financial risk control. The research on the operation of the securities market is becoming more and more important in academic and practical applications. This paper takes the gem and the main board market as the research objects, and examines the relationship between the two markets. On the one hand, the establishment of the gem in China is not long. The study of the relationship between gem and the mainboard market is instructive for investors to learn from the mature experience of the main board market. On the other hand, the research on gem market in China, especially the differences among different markets, is relatively rare. Therefore, the gem and the main market combined with a comparative study has a certain degree of innovation. From June 1, 2010 to January 10, 2014, this paper selects the main board and the growth enterprise board index, which total 875 daily data. In the main board market, we choose the CSI 300 index 399300 as the representative to explore the fluctuation characteristics of the main board market. In the gem market, the gem index (399006) is chosen as the representative to explore the volatility characteristics of the gem market. In the writing of this paper, autocorrelation test and unit root test are used to test the stability of the volatility of the index return. The time series of daily yield of CSI 300 index and gem index are both stable, and then the co-integration test of gem and market index is carried out to see if there is a long-term equilibrium relationship between them. The empirical results show that the CSI 300 index and gem index of China's main board show a balanced cointegration relationship in the sample interval, and then use the Granger causality test method to test the causality relationship between the gem market and the main board market. Stage two and stage three respectively test different conclusions and analyze the reasons. Finally, we use the GARCH model to study the volatility and asymmetry of the return of the main board and the gem index. The results show that: under the GARCH model, And the conditional variance of gem index is greater than that of main board index, which means that the volatility of gem stock is higher than that of main board market. In other words, the risk of stock volatility is greater than that of the main market, and both the gem and the main market show different degree of leverage effect, that is, negative information has a greater impact on the index than positive information.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

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