本文選題：主板 + 創(chuàng)業(yè)板�。� 參考：《北京工商大學》2014年碩士論文

【摘要】：2009年10月30日，創(chuàng)業(yè)板市場首批28家上市公司在深圳交易所正式掛牌交易，標志著我國創(chuàng)業(yè)板時代正式來臨。與主板市場相比，創(chuàng)業(yè)板市場在上市企業(yè)規(guī)模、行業(yè)分布、投資者結構、退市制度等方面存在較大的區(qū)別，但兩個市場均屬于我國多層次證券市場的一部分，都要面臨一些共同的影響因素，那么兩個市場的走勢是否相關，如果存在相關，那么在不同情形下相關程度如何，比如在暴跌或暴漲的情形下相關程度是否提高，這種“尾部相關性”，對于投資者和風險管理者是一個至關重要的問題。因此，本文對主板和創(chuàng)業(yè)板之間的相關結構進行深入研究。本文采用Copula函數技術對兩個市場的相關結構進行分析，并且結合風險價值VaR進行風險預測能力分析。 首先，本文分析了我國主板和創(chuàng)業(yè)板市場收益率各自的分布特征。在Q-Q圖等檢驗基礎上，通過對風險價值VaR的預測能力進行比較，發(fā)現GARCH-Normal模型不能很好的捕捉創(chuàng)業(yè)板市場的尾部特征，而較好的模型為GARCH-T模型。但在主板市場上，相比GARCH-T模型，簡單的GARCH-Normal能夠更準確的捕捉尾部特征。即與主板市場相比，創(chuàng)業(yè)板市場存在更厚的尾部。 其次，在對主板和創(chuàng)業(yè)板市場收益率分布特征有效估計的基礎上，對不同Copula函數進行估計。通過檢驗發(fā)現，混合Copula模型更適合用來描述我國主板和創(chuàng)業(yè)板市場之間的相關結構，兩個市場之間整體具有正相關關系，但存在非對稱的尾部相關，即兩個市場在暴漲或暴跌的情況下，相關程度明顯提高，并且在暴跌時的相關程度高于暴漲時的相關程度。并在Copula基礎下，利用蒙特卡洛模擬方法對投資組合的VaR進行分析，發(fā)現無論在樣本內還是樣本外混合Copula的風險預測效果最優(yōu)。
[Abstract]:On October 30, 2009, the first batch of 28 listed companies in the gem market were officially listed on the Shenzhen Stock Exchange, marking the formal arrival of the gem era in China. Compared with the main market, the gem market has great differences in the scale of listed enterprises, industry distribution, investor structure, delisting system and so on. However, the two markets are part of the multi-level securities market in China. All have to face some common influencing factors. Well, is the trend of the two markets relevant? if there is a correlation, what is the degree of correlation in different situations, for example, whether the correlation degree is increased in the case of a slump or a surge? This tail correlation is a crucial issue for investors and risk managers. Therefore, this article carries on the thorough research to the main board and the growth enterprise board correlation structure. In this paper, the Copula function technique is used to analyze the related structure of the two markets, and the risk forecasting ability is analyzed by combining the risk value VaR. First of all, this paper analyzes the distribution characteristics of the return rate of China's main board and gem market. On the basis of Q-Q chart and other tests, it is found that the GARCH-Normal model can not capture the tail characteristics of gem market well, and the better model is GARCH-T model by comparing the prediction ability of VaR with risk value. But in the main board market, compared with the GARCH-T model, the simple GARCH-Normal can capture the tail features more accurately. That is, compared with the main market, gem market has a thicker tail. Secondly, on the basis of the efficient estimation of the return distribution characteristics of the main board and the growth enterprise market, different Copula functions are estimated. It is found that the hybrid Copula model is more suitable to describe the correlation structure between the main board and the gem market in China. There is a positive correlation between the two markets, but there is an asymmetric tail correlation between the two markets. That is, the correlation between the two markets in the case of a sharp rise or fall, significantly increased, and the correlation in the collapse is higher than the correlation in the skyrocketing. On the basis of Copula, Monte Carlo simulation method is used to analyze the VaR of the portfolio, and it is found that the risk prediction effect of mixed Copula in and out of the sample is the best.
【學位授予單位】：北京工商大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前10條

1 余立凡;何海鷹;;基于半參數Copula的信用風險實證分析[J];福建金融;2010年10期

2 李堪;白雪晶;;Copula理論在金融市場分析應用中的理論探析[J];金融理論與教學;2011年02期

3 周義;李夢玄;;Copula-CVaR資產組合選擇模型分析[J];金融教學與研究;2010年02期

4 劉陽;高惠;;國別股市長期聯(lián)動的影響因子剖析——以中美股市為例[J];廣東金融學院學報;2012年05期

5 陳守東,王魯非;上證綜合指數VaR的度量[J];數量經濟技術經濟研究;2002年04期

6 韋艷華;張世英;;多元Copula-GARCH模型及其在金融風險分析上的應用[J];數理統(tǒng)計與管理;2007年03期

7 董秀良;曹鳳岐;;國內外股市波動溢出效應——基于多元GARCH模型的實證研究[J];數理統(tǒng)計與管理;2009年06期

8 王沁;;基于變結構Copula模型的相依關系分析[J];數理統(tǒng)計與管理;2012年02期

9 何樹紅;徐文濤;謝偉;;金融資產投資組合的風險度量研究[J];統(tǒng)計與決策;2010年04期

10 王沁;王璐;程世娟;;基于時變Copula模型的滬深股市相依分析[J];統(tǒng)計與決策;2010年19期

，

本文編號：1930755