本文選題：隔夜信息 + 創(chuàng)業(yè)板市場��； 參考：《西南財經(jīng)大學(xué)》2014年碩士論文

【摘要】：由于股市的交易時間很短,很多市場信息會在非交易時間發(fā)布和傳播.一方面,政府部門和上市公司等為了避免交易時間發(fā)布信息的過度反應(yīng),會選擇非交易時間來發(fā)布信息,從而產(chǎn)生隔夜信息；另一方面,在當今全球化經(jīng)濟環(huán)境下,中國股市與國際主要資本市場非同步交易,也是隔夜信息產(chǎn)生的來源之一,這樣就造成了非交易期間累積了大量的隔夜信息。 從上個世紀六十年代以來,隨著有效市場假說的提出和完善,股票價格的波動一直被認為是市場受到外界信息的沖擊而產(chǎn)生的。但是越來越多的異常波動現(xiàn)象在股票市場上不斷出現(xiàn),而且股票價格在無信息時也會產(chǎn)生異常波動,這就使得EMH中以外界信息沖擊來解釋股票價格波動的理論顯得不夠充分。隨著行為金融學(xué)的興起,人們發(fā)現(xiàn)投資者的非理性行為也是導(dǎo)致資產(chǎn)價格異常波動的原因。因此,引起股票價格的波動原因不僅包括外界信息的沖擊,投資者的交易行為也是一個不可忽視的原因。 因此,本文結(jié)合交易因素,分析隔夜信息對我國創(chuàng)業(yè)板市場隔夜收益及日內(nèi)交易期間收益波動的影響,并且將之與主板市場對比。研究表明：(1)在集合競價階段,由于我國創(chuàng)業(yè)板市場的隔夜收益既受到隔夜信息的影響還受到前一交易日滯后信息的影響,所以相對于主板市場我國創(chuàng)業(yè)板市場的隔夜收益波動略大。(2)在日內(nèi)交易期間,創(chuàng)業(yè)板市場當日的收益波動要大于主板市場,一是因為創(chuàng)業(yè)板市場的當日的收益仍然受到隔夜信息的影響,二是因為創(chuàng)業(yè)板市場上成交量的波動對創(chuàng)業(yè)板市場當日收益的影響大于主板市場上成交量的波動對主板市場當日收益的影響。進一步使用GARCH模型分析隔夜信息對創(chuàng)業(yè)板市場日內(nèi)每小時收益的影響,研究發(fā)現(xiàn)：從創(chuàng)業(yè)板市場交易時間的第3個60分鐘開始,隔夜信息對創(chuàng)業(yè)板市場的日內(nèi)收益狀況才沒有顯著性的影響,也就是說創(chuàng)業(yè)板市場的信息傳遞效率較低,隔夜信息隨著交易的進行逐步緩慢融入到股票價格之中,直到開盤之后兩個小時才反應(yīng)完全。最后,本文將2011年1月4日到2013年12月31日三年的樣本數(shù)據(jù)平均劃分為三份,逐年來驗證隔夜信息對創(chuàng)業(yè)板市場日內(nèi)收益的影響,發(fā)現(xiàn)每-年的樣本檢測結(jié)果與三年期的樣本檢測結(jié)果都不盡相同,但是可以看到創(chuàng)業(yè)板市場的隔夜信息傳遞效率從2011年到2013年呈現(xiàn)出提升的趨勢。 本文認為研究隔夜信息對創(chuàng)業(yè)板市場的影響是極具現(xiàn)實意義的。首先,收益率的波動特征是國內(nèi)股票市場的極為關(guān)鍵的一個特征,這種波動特征是許多企業(yè)進行投融資決策的重要參考,也是許多投資者研究國內(nèi)股票市場風(fēng)險因素、不確定性以及投資者行為模式的重要參考,此外還是我們測量VAR(Value at Risk風(fēng)險價值)的重要參考。本文對國內(nèi)創(chuàng)業(yè)板市場和主板市場的隔夜收益、日內(nèi)收益以及日間收益的波動性進行實證研究,并對這種波動性特征作了比較分析,有助于明晰創(chuàng)業(yè)板市場的股價波動規(guī)律,進而明晰創(chuàng)業(yè)板市場的微觀結(jié)構(gòu)、投資者行為以及股票的定價問題。其次,從宏觀層面來看,本文對創(chuàng)業(yè)板市場和主板市場的收益狀況的比較研究有助于減少創(chuàng)業(yè)板市場股票劇烈的股票價格波動,有助于提高市場效率以及優(yōu)化市場資源配置,并且對決策機構(gòu)制定信息披露制度和完善市場交易結(jié)構(gòu)也會起到一定的參考作用；從微觀層面來看,比較分析創(chuàng)業(yè)板市場和主板市場的隔夜收益的波動性特征,以及結(jié)合隔夜收益對創(chuàng)業(yè)板市場的日內(nèi)收益變動做出更為有效的預(yù)測,對于投資者和金融市場的學(xué)術(shù)研究者都具有一定的理論價值和現(xiàn)實意義：首先,對于投資者來說,結(jié)合隔夜收益對股市日內(nèi)走勢做出預(yù)測,可以幫助投資者做出合理的判斷和投資決策；其次,對于學(xué)術(shù)研究者來說,關(guān)于隔夜收益的研究文獻相對較少,本文在對現(xiàn)有的文獻進行總結(jié)的基礎(chǔ)上,創(chuàng)新性地比較研究了隔夜收益對于創(chuàng)業(yè)板市場和主板市場的不同影響,進而彌補了國內(nèi)對創(chuàng)業(yè)板市場隔夜信息的研究空白。 本文在對隔夜信息、影響創(chuàng)業(yè)板市場的機制進行研究過程中具有以下方面的貢獻與創(chuàng)新：(1)股票市場的日收益由隔夜收益與日內(nèi)交易時段收益一起構(gòu)成,一直以來,眾多的文獻都是借助分析日收益率的波動特征來分析股票價格的波動規(guī)律,并且眾多的文獻實證研究的樣本數(shù)據(jù)都是來源于國內(nèi)主板市場或國外主要股票市場,本文首次借助分析隔夜收益率的波動特征來分析創(chuàng)業(yè)板市場的股票價格的波動規(guī)律,以便進一步地了解創(chuàng)業(yè)板市場的微觀結(jié)構(gòu)、投資者行為以及股票的定價問題。(2)目前眾多的文獻要么針對股票市場的日間變量關(guān)系和日內(nèi)變量關(guān)系作實證研究,要么針對股票市場的隔夜變量關(guān)系作實證研究,并且對日間變量關(guān)系和日內(nèi)變量關(guān)系的研究遠遠超過對隔夜變量關(guān)系的研究,本文首次綜合比較分析了主板市場和創(chuàng)業(yè)板市場的日間收益狀況、日內(nèi)收益狀況以及隔夜收益狀況,有利于我們對國內(nèi)股票市場的收益變動狀況形成一個完整清晰的印象,有助于我們整體把握國內(nèi)股票市場的股票價格的波動規(guī)律。(3)不同市場成熟度和制度建設(shè)完善度的股票市場(比如說創(chuàng)業(yè)板市場和主板市場)的上市公司受市場關(guān)注程度不同,上市公司信息透明度不同,它們的開盤價格(或隔夜收益)對隔夜信息的揭示效率必然不同,它們的信息融入股票價格的過程必然不用,從而它們的交易價格會對隔夜信息會產(chǎn)生不同的信息反饋。因此,雖然本文的研究重心是隔夜信息對創(chuàng)業(yè)板市場的影響,但是考慮到創(chuàng)業(yè)板市場和主板市場的市場成熟度和制度建設(shè)完善度不同,本文首次引入主板市場作為參照標準,通過兩個市場的實證結(jié)果對比更加明晰創(chuàng)業(yè)板市場的收益波動水平和隔夜信息的傳遞效率。(4)眾所周知,股票市場中的交易過程就是各種宏微觀的信息不斷融入交易價格從而引起交易量的變動,而交易量的變動進一步又繼續(xù)作為一種信息再次融入下一階段交易價格的過程。因此,本文創(chuàng)新性地將成交量的變動項引入到GARCH模型的均值方程中,并且不用考慮其他因素的影響,直接引入虛擬變量來考察隔夜信息對日內(nèi)收益的沖擊。(5)眾多文獻對于隔夜信息影響股市的研究都是基于一個長期大樣本,本文將2011年1月4日到2013年12月31日三年的樣本數(shù)據(jù)平均劃分為三份,逐年來驗證隔夜信息對創(chuàng)業(yè)板市場日內(nèi)收益的影響,有助于我們把握隔夜信息作用于創(chuàng)業(yè)板市場的動態(tài)特征。
[Abstract]:Because the trading time of the stock market is very short, many market information will be released and disseminated in non trading time. On the one hand, the government departments and listed companies will choose non trading time to publish information in order to avoid the overreaction of the transaction time. On the other hand, in today's globalized economic environment, The non synchronous transaction between the national stock market and the major international capital markets is also one of the sources of the overnight information. Thus, a large amount of overnight information has been accumulated during the non trading period.
Since the 60s of last century, with the improvement of the effective market hypothesis, the fluctuation of the stock price has been thought to be the result of the impact of the outside information. But more and more abnormal fluctuations appear in the stock market, and the stock price will produce abnormal fluctuations when there is no information, which makes it possible. With the rise of behavioral finance, people find that the irrational behavior of investors is also the cause of the abnormal fluctuation of the asset price with the rise of behavioral finance. Therefore, the cause of the fluctuation of the stock price not only covers the impact of the external information, but also the trading behavior of the investors. It is also a reason that can not be ignored.
Therefore, this paper analyzes the effect of overnight information on the overnight earnings and the fluctuation of earnings during the daily transaction in China's GEM market, and compares it with the main board market. The study shows that: (1) in the stage of the rally, the overnight profit of the gem is not only affected by overnight information but also by the previous day. The impact of lag information, so relative to the main board market of China's GEM market is slightly more volatile. (2) during the day of intra day trading, the growth of the gem on the day of volatility is greater than the motherboard market, one is because the growth of the day of the gem is still affected by overnight information, the two is because of the growth of the GEM market. The impact of volatility on the day's earnings of the gem is greater than the impact of volatility on the main board market on the day of the motherboard. Further using the GARCH model to analyze the impact of overnight information on the day's earnings per hour in the GEM market, the study found that the third 60 minutes from the GEM market start, overnight information. There is no significant impact on the daily income of the gem, that is to say, the efficiency of the information transfer in the gem is low, and the overnight information slowly integrates into the stock price with the transaction, until two hours after the opening. Finally, this article will be from January 4, 2011 to three years. The sample data are divided into three copies, which verify the effect of the overnight information on the daily income of the gem. It is found that the results of each year's sample test and the three year sample are not the same. However, it can be seen that the efficiency of the overnight information transfer in the gem is rising from 2011 to 2013.
This paper holds that it is of great practical significance to study the impact of overnight information on the GEM market. First, the volatility of the rate of return is a key feature of the domestic stock market. This volatility is an important reference for many enterprises to make investment and financing decisions, and is also a risk factor for many investors to study the domestic stock market. The important reference of the qualitative and investor behavior patterns is also an important reference for our measurement of the VAR (Value at Risk risk value). This paper makes an empirical study on the overnight earnings of the domestic gem and the main board markets, the intraday returns and the volatility of the daytime income, and makes a comparative analysis of the volatility characteristics. To clarify the fluctuation law of the stock market, and then clarify the micro structure of the gem, investor behavior and the pricing of stock. Secondly, from the macro level, the comparative study on the income of the gem and the main board will help to reduce the volatility of the stock price in the gem stock market, and help to reduce the volatility of the stock price in the GEM market. To improve the market efficiency and optimize the allocation of market resources, it also plays a certain reference role in making information disclosure system and perfecting market transaction structure. From the micro level, it compares and analyzes the volatility characteristics of the overnight earnings of the gem and the main board markets, and the GEM market combined with the overnight earnings. For investors and the academic researchers of the financial market, it has a certain theoretical and practical significance for investors and the academic researchers in the financial market. First, it can help investors to make reasonable judgments and investment decisions with the combination of overnight returns to the stock market, and secondly, for the investors. On the basis of summarizing the existing literature, this paper makes a comparative study of the different effects of overnight earnings on the gem and the main board markets, and then makes up for the gap in the research on the overnight information of the GEM market.
In this paper, this paper has the following contributions and innovations in the study of the mechanism of the impact of the GEM market. (1) the daily income of the stock market is composed of the overnight earnings and the earnings of the intra day trading period. It is the first time to analyze the fluctuation of the stock price in the GEM market by analyzing the fluctuation characteristics of the overnight return rate, so as to further understand the microstructure of the GEM market and the behavior of the investor. And the problem of stock pricing. (2) many of the current literature can either do empirical research on the relationship between day variables and daily variables in the stock market, or make an empirical study on the overnight variable relationship in the stock market, and the study on the relationship between the daily variables and the daily variables is far more than the study of the relationship between the overnight variables. For the first time, the paper makes a comprehensive comparison and analysis of the daytime income of the main board market and the GEM market, the intra day income and the overnight income, which will help us to make a complete and clear impression on the fluctuation of the domestic stock market, and help us to grasp the fluctuation law of the stock price in the domestic stock market. (3) no The listed companies of the stock market (such as the gem and the main board market) have different market concerns, and the information transparency of the listed companies is different. Their opening prices (or overnight earnings) are different in the efficiency of revealing the overnight information, and their information is integrated into the stock price process. Therefore, although the focus of this study is on the impact of overnight information on the GEM market, considering the market maturity of the gem and the main board market, the main board market is introduced as a reference for the first time. According to the standard, through the empirical results of the two markets, the volatility level of the GEM market and the transmission efficiency of the overnight information are clearer. (4) it is well known that the transaction process in the stock market is that various macro and micro information constantly integrates the transaction price and thus causes the change of the transaction volume, and the change of the transaction volume continues to continue. As a process in which information is reintegrated into the next stage of the transaction price, this paper introduces the change term of the volume to the mean equation of the GARCH model, and does not consider the influence of other factors and directly introduces the virtual variable to investigate the impact of the overnight information on the daily income. (5) many documents are for the overnight information shadow. The research on the stock market is based on a long term large sample. This paper divides the sample data of three years from January 4, 2011 to December 31, 2013 to three, to verify the effect of the overnight information on the daily income of the GEM market, which will help us to grasp the dynamic characteristics of the night information on the GEM market.

【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】：F832.51;F224

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