本文選題：隔夜信息 + 資產收益波動模型�。� 參考：《東北大學》2014年碩士論文

【摘要】：由于經濟一體化的發(fā)展和金融全球化的大趨勢,在世界各個國家,金融市場間的關聯(lián)越來越密切,因此對全球宏觀經濟信息所作出的反應也逐漸趨同。任何一個可能會使得證券資產價格產生波動的信息在這種全球化體系的背景下,都能夠在全球范圍內的資本市場上有效而快速的擴散。雖然這種信息在不同地區(qū)的市場上體現(xiàn)出不同程度的影響,但是任何一個市場都不應該忽略這種外界信息的存在。由于時差原因,我國大陸股市與主要的歐美股票市場無法同步交易,而歐美股市的主要交易信息,都在我國閉市期間產生了累積。作為一個新興的市場,如何削減中國A股市場激烈的價格波動,一直為相關監(jiān)管部門、學術機構研究者和投資人員所關心。中國大陸的A股市場作為全球化經濟大家庭當中的一部分,國際主要股票市場對它產生的影響越來越深。本文以滬深指數(shù)為研究數(shù)據(jù),研究了夜間信息對股市收益與波動的影響。本文比較了兩種典型的金融波動模型,選取了刻畫能力較好的基于T分布的SV模型,并且在基礎SV模型的均值和波動等式中加入了滯后一期的收益項、隔夜信息項并對隔夜信息進行分類,在波動等式中加入不對稱波動。并選取滬深指數(shù)為研究數(shù)據(jù),采用MCMC方法對模型進行估計,根據(jù)估計結果驗證本文提出的三個假設。本文的研究結論主要包括：第一,基于T分布的SV模型對金融時間序列分布的“高峰厚尾”和平方序列的長記憶性有更好的刻畫能力；第二,日內和隔夜收益是兩種不同的數(shù)據(jù)來源,并且隔夜信息對白天的收益和波動有一定的預測能力；第三,在不考慮隔夜期間的長度的情況下,不同類型的隔夜信息有不同的預測能力,對隔夜信息進行分類是有必要的；第四,股票市場中存在著杠桿效應,且日內信息和隔夜信息產生的杠桿效應不同。對于白天的信息,負的沖擊會引起更大的波動,且正負沖擊都能夠增加波動。而對于夜間信息來說,市場不同,隔夜信息種類不同,捕捉到隔夜信息對日內波動的影響也就不相同。
[Abstract]:With the development of economic integration and the trend of financial globalization, the relationship between financial markets is becoming more and more close in every country of the world, so the response to global macroeconomic information is gradually converging. Under the background of this kind of globalization system, any information that may make the securities asset price fluctuate can spread effectively and rapidly in the global capital market. Although this kind of information reflects different degrees of influence in different regional markets, no market should ignore the existence of this kind of external information. Because of the time difference, the mainland stock market in China and the major European and American stock markets can not trade synchronously, and the main trading information of the European and American stock markets has accumulated during the closing period of our country. As an emerging market, how to reduce the fierce price volatility in China's A-share market has been concerned by relevant regulators, academic researchers and investors. As part of the global economic family, the A-share market in mainland China has a growing influence on the major international stock markets. In this paper, the influence of night information on stock market returns and volatility is studied based on the data of Shanghai and Shenzhen Index. In this paper, two typical financial volatility models are compared, and the SV model based on T distribution is selected, and the return term with lag period is added to the mean value and volatility equation of the basic SV model. The overnight information items are classified and asymmetric fluctuations are added to the fluctuation equation. The Shanghai and Shenzhen indices are selected as the research data and the MCMC method is used to estimate the model. According to the estimation results, the three hypotheses proposed in this paper are verified. The main conclusions of this paper are as follows: first, the SV model based on T distribution has better characterizing the "peak thick tail" of financial time series distribution and the long memory property of square sequence; second, Intra-day and overnight earnings are two different sources of data, and overnight information has a certain ability to predict daytime earnings and fluctuations; third, without taking into account the length of the overnight period, Different types of overnight information have different predictive ability, it is necessary to classify overnight information. Fourthly, there is leverage effect in stock market, and the leverage effect of intraday information and overnight information is different. For daytime information, negative shocks cause greater volatility, and both positive and negative shocks can increase volatility. For nighttime information, the market is different, and the types of overnight information are different, so the impact of capturing overnight information on intraday fluctuations is not the same.
【學位授予單位】：東北大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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