本文選題：波動不對稱性 + GARCH模型�。� 參考：《上海外國語大學》2014年碩士論文

【摘要】：股票價格波動是標示風險的重要指標，對于投資者風險與收益的分析、監(jiān)管者的有效監(jiān)管、上市公司股東收益最大化目標的實現(xiàn)，都有著至關重要的作用。研究股票市場波動的規(guī)律性，分析引起股票市場波動的成因，為監(jiān)管者監(jiān)管、投資者投資、上市公司生產(chǎn)經(jīng)營活動提供可循的依據(jù)，是股票市場理論研究和經(jīng)驗分析的重要內(nèi)容。因此，對股票市場波動性進行研究，不但具有重要的理論價值，而且具有重要的現(xiàn)實意義。關于股市波動的研究主要有三個方向-波動的長記憶性，聚集性和波動不對稱性，近年來關于波動不對稱性的研究逐漸增多，其重要性也日益突出，而這也將是本文的研究主題。 本文首先回顧了國內(nèi)外對于波動不對稱的研究，總結了這些學者們的主要研究方法以及結論，根據(jù)國外的學者對各國股市的波動研究成果，波動不對稱在西方各國股市中普遍存在，且表現(xiàn)為“利空”消息帶來的波動對“利好”消息更大。國內(nèi)的研究也證明我國股市中存在著波動不對稱現(xiàn)象，同時，一些學者發(fā)現(xiàn)表現(xiàn)形式隨著歷史發(fā)展有所變化，在股市早期表現(xiàn)為“利好”消息比“利空”消息帶來的波動更大，隨著股市發(fā)展逐漸成熟轉(zhuǎn)變?yōu)椤袄铡毕⒈取袄谩毕淼牟▌哟�，與國外股市相一致。對于波動不對稱的成因研究較少，主流的理論是Black提出的“杠桿假說”與Campell提出的“波動反饋說”。 本文研究中國股市波動不對稱的特性，，并探求波動不對稱的成因。由于波動不對稱的特性會隨著股市的發(fā)展而變動，雖然前人對我國股市波動不對稱是否存在做過研究，仍然有必要對新的樣本再做實證分析確認。金融時間序列普遍存在尖峰厚尾的特性，而對其建立的計量經(jīng)濟學模型中的誤差項也常有著異方差性，這在以往的研究中已被普遍證明。因此實證分析時要選取與這些特性想符合的模型，GARCH類模型是在做此類研究時廣泛采用的模型，本文中也使用GARCH類模型，并針對本文采用的樣本數(shù)據(jù)進行調(diào)整，擬定了具體的模型方程，本文的模型可以概括稱為AR-TARCH-GED模型。 在建立模型對我國股市收益率數(shù)據(jù)進行實證分析后，證明我國股市中存在波動不對稱現(xiàn)象。進一步探討波動不對稱的成因，首先對“杠桿假說”以及“波動反饋說”進行介紹，指出“杠桿假說”的局限性，特別是在我國股市的特殊環(huán)境下，“杠桿假說”不具備很好的解釋能力。“波動反饋說”比杠桿假說的局限小，但它也無法解釋波動中出現(xiàn)的波動反轉(zhuǎn)（亦即“利好”消息比“利空”消息帶來的波動更大）現(xiàn)象。然后提出了引起波動不對稱的兩個假設原因，分別是股市成熟程度、投資者心理。先利用前文實證分析中采用的計量模型，橫向與外國股市波動、縱向?qū)笜颖痉指畛刹煌瑫r間段進行比較，表明在成熟程度不同的股市中波動不對稱的特性顯著不同，同時意外發(fā)現(xiàn)市況對波動不對稱性存在影響；然后介紹行為金融的著名理論“前景理論”，解釋投資者在股價變動方向不同的情況下的風險決策變化，投資者的這一心理會引起相應的波動不對稱。分析結果認為這兩種假設都有可能是波動不對稱的成因，至于其中的因果傳導過程具體是怎樣的，以及這兩種因素或者其他未被提及的因素中哪種才是影響波動不對稱的決定性因素，本文限于研究者能力與時間的限制不作進一步探討。
[Abstract]:Stock price fluctuation is an important index to mark risk. It plays an important role in the analysis of investor's risk and income, the effective supervision of the supervisor and the realization of the maximization goal of the shareholders of the listed company. It studies the regularity of the stock market volatility, analyzes the causes of the volatility of the stock market, and regulates the regulators and investors. Investment, which provides basis for the production and operation of the listed companies, is an important part of the theoretical and empirical analysis of the stock market. Therefore, it is of great theoretical and practical significance to study the volatility of the stock market. The study of the stock market wave is mainly in three directions - the long memory of volatility In recent years, the research on volatility asymmetry is increasing, and its importance is becoming more and more prominent, and this will also be the subject of this study.
This paper first reviews the research on volatility asymmetry at home and abroad, summarizes the main research methods and conclusions of these scholars. According to the research results of foreign scholars on the volatility of the stock market, volatility is common in the stock market of the western countries, and the volatility of "Lei" message is more favorable to "good" news. At the same time, some scholars have found that the form of performance has changed with the development of history. In the early stage of the stock market, the "good" news is more volatile than the "sharp" news. With the gradual maturity of the stock market, the "good" news is better than "good". The volatility of the news is large and consistent with the foreign stock market. There are few studies on the causes of volatility asymmetry. The mainstream theory is the "leverage hypothesis" proposed by Black and the "volatility feedback" proposed by Campell.
This paper studies the characteristics of volatility asymmetry in China's stock market and explores the causes of volatility asymmetry. Because the characteristics of volatility asymmetry will change with the development of the stock market, it is still necessary to make an empirical analysis of the new samples, although the previous study on the existence of volatility asymmetry in China's stock market is still necessary. There are often Heteroscedasticity in the error terms in the econometric model established by the peak, which has been universally proved in previous studies. Therefore, the empirical analysis should be used to select the models that are in conformity with these characteristics. The GARCH model is a widely used model in this kind of research, and the GARCH model is also used in this paper. In addition, the model equations can be adjusted according to the sample data used in this paper. The model of this paper can be generalized as AR-TARCH-GED model.
After the empirical analysis of the stock market yield data in China, this paper proves the existence of volatility asymmetry in China's stock market. The causes of volatility asymmetry are further discussed. First, the "lever hypothesis" and "volatility feedback" are introduced, and the limitations of the "leverage hypothesis" are pointed out, especially in the special environment of China's stock market. The "leverage hypothesis" does not have a good explanatory power. "Volatility feedback" is less limited than the leverage hypothesis, but it does not explain the phenomenon of volatility in volatility (that is, "good" messages are more volatile than "Leo" messages). Then, the two hypothesis of volatility asymmetry is proposed, respectively. The market maturity, investor psychology. First, using the measurement model used in the previous empirical analysis, the horizontal and foreign stock market fluctuations, the longitudinal Shanghai index samples are divided into different time periods to compare, indicating that the characteristics of volatility asymmetry in the stock market with different maturity are significantly different, and at the same time, it is found that the market conditions are unsymmetrical to volatility. And then we introduce the famous theory of behavioral finance, "prospect theory", to explain the risk decision changes of investors in the different direction of the change of the stock price. The investor's psychology will cause the corresponding fluctuation asymmetry. The result of the analysis is that the two hypotheses are likely to be the cause of the volatility asymmetry, as for the causal transmission. What is the specific course of the guide process, and which of the two factors or other unmentioned factors is the decisive factor affecting the asymmetry of volatility, this article is limited to the limitations of the researchers' ability and time.

【學位授予單位】：上海外國語大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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