本文關(guān)鍵詞：中國(guó)股市和債市的跳躍及共跳研究　出處：《廈門(mén)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 跳躍 共跳 信息沖擊

【摘要】：本文利用2007年至2012年的滬深300指數(shù)和上證國(guó)債指數(shù)的5分鐘高頻數(shù)據(jù)研究了資產(chǎn)價(jià)格的跳躍與宏觀經(jīng)濟(jì)信息發(fā)布的關(guān)系。我們使用了BTL(2013)的方法,在考慮了價(jià)格跳躍的日內(nèi)模式的基礎(chǔ)上提取了股票市場(chǎng)和債券市場(chǎng)的跳躍和共跳。此后利用Tobit-GARCH以及Logit模型研究了跳躍和共跳的特征以及與定期發(fā)布的宏觀信息之間的關(guān)系。 實(shí)證結(jié)果表明：股票市場(chǎng)和債券市場(chǎng)都有顯著的跳躍特征,跳躍具有明顯的集聚性和時(shí)變性。兩個(gè)市場(chǎng)的跳躍比例要遠(yuǎn)大于歐美發(fā)達(dá)國(guó)家。債券市場(chǎng)的跳躍頻率高但幅度較小,而股票市場(chǎng)的跳躍頻率略低但幅度大。兩個(gè)市場(chǎng)的正負(fù)向跳躍具有一定的對(duì)稱性,跳躍具有周效應(yīng)和日內(nèi)特征。工業(yè)產(chǎn)值(IO)、工業(yè)品出廠價(jià)格指數(shù)(PPI)、貿(mào)易差(TB)、社會(huì)消費(fèi)品零售總額(RS)和固定資產(chǎn)投資額(FI)對(duì)債券市場(chǎng)的跳躍有顯著影響。工業(yè)產(chǎn)值(IO)、工業(yè)品出廠價(jià)格指數(shù)(PPI)、居民消費(fèi)價(jià)格指數(shù)(CPI)、出口額(EX)、國(guó)內(nèi)生產(chǎn)總值(GDP)、采購(gòu)經(jīng)理人指數(shù)(PMI)對(duì)股票市場(chǎng)跳躍有顯著影響。宏觀信息發(fā)布時(shí),市場(chǎng)不會(huì)立刻做出調(diào)整,在信息發(fā)布10至15分鐘,以及40至50分鐘時(shí)市場(chǎng)才能反映完全,反映出信息解讀效率較低。此外,大部分的顯著指標(biāo)的影響系數(shù)為負(fù),這說(shuō)明指標(biāo)的負(fù)向沖擊會(huì)顯著的加大跳躍幅度,而正向沖擊會(huì)減小跳躍幅度,市場(chǎng)對(duì)負(fù)向沖擊的反應(yīng)更為強(qiáng)烈。較單個(gè)市場(chǎng)與宏觀信息發(fā)布的關(guān)系而言,股票市場(chǎng)與債券市場(chǎng)的共跳與宏觀信息發(fā)布的關(guān)系更為緊密。研究的10個(gè)經(jīng)濟(jì)指標(biāo)中,幾乎所有的指標(biāo)(除PMI外)均在某一或某幾滯后期的影響系數(shù)顯著。 本文的主要貢獻(xiàn)在于揭示了資產(chǎn)價(jià)格跳躍的日內(nèi)模式,研究了兩個(gè)市場(chǎng)的共跳并分析了各宏觀經(jīng)濟(jì)信息對(duì)跳躍及共跳的不同影響。
[Abstract]:In this paper, from 2007 to 2012 in Shanghai and Shenzhen 300 index and Shanghai bond index of 5 minute high-frequency data of asset prices jump relations release and macroeconomic information. We use the BTL (2013) method, considering the price jump intraday pattern on the extraction of the jump and the stock market and bond market jump. The relationship between Tobit-GARCH and then use the Logit model to study the characteristics of jump and jump, and regularly publish the macro information.
The empirical results show that: the stock market and bond market have significant jump, jump has obvious agglomeration and time-varying. Two market jumps are far greater than the proportion of developed countries in Europe and America. The bond market jump high frequency but to a lesser extent, but the stock market jump frequency is slightly lower. But the range of plus or minus two a jump to the market has a certain symmetry, jump with the week effect characteristics and days. Industrial output (IO), producer price index (PPI), trade difference (TB), total retail sales of social consumer goods (RS) and the amount of investment in fixed assets (FI) has a significant influence on the bond jumping market. Industrial output (IO), producer price index (PPI), the consumer price index (CPI), exports (EX), the gross domestic product (GDP), purchasing managers index (PMI) on the stock market jump has a significant impact. The macro information is released, the market will not immediately Make adjustments in the information released in 10 to 15 minutes, and 40 to 50 minutes when the market can be fully reflected, reflecting the information of low efficiency. In addition, the most significant influence coefficient index is negative, indicating that the index of negative impact will significantly increase the jump, and it will reduce the impact to jump a strong negative impact on the market, the reaction is more than a single. The relationship between market and macro information, the relationship between the stock market and bond market total jump and macro information release more closely. 10 economic indicators in the study, almost all indexes (except PMI) were affected in one or some lag coefficient is significant.
The main contribution of this paper is to reveal the intraday pattern of asset price jump. We study the co jump of two markets and analyze the different effects of macroeconomic information on jump and co jump.

【學(xué)位授予單位】：廈門(mén)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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