本文選題：隔夜信息 + 資產(chǎn)收益波動(dòng)模型�。� 參考：《東北大學(xué)》2014年碩士論文

【摘要】：由于經(jīng)濟(jì)一體化的發(fā)展和金融全球化的大趨勢(shì),在世界各個(gè)國(guó)家,金融市場(chǎng)間的關(guān)聯(lián)越來越密切,因此對(duì)全球宏觀經(jīng)濟(jì)信息所作出的反應(yīng)也逐漸趨同。任何一個(gè)可能會(huì)使得證券資產(chǎn)價(jià)格產(chǎn)生波動(dòng)的信息在這種全球化體系的背景下,都能夠在全球范圍內(nèi)的資本市場(chǎng)上有效而快速的擴(kuò)散。雖然這種信息在不同地區(qū)的市場(chǎng)上體現(xiàn)出不同程度的影響,但是任何一個(gè)市場(chǎng)都不應(yīng)該忽略這種外界信息的存在。由于時(shí)差原因,我國(guó)大陸股市與主要的歐美股票市場(chǎng)無法同步交易,而歐美股市的主要交易信息,都在我國(guó)閉市期間產(chǎn)生了累積。作為一個(gè)新興的市場(chǎng),如何削減中國(guó)A股市場(chǎng)激烈的價(jià)格波動(dòng),一直為相關(guān)監(jiān)管部門、學(xué)術(shù)機(jī)構(gòu)研究者和投資人員所關(guān)心。中國(guó)大陸的A股市場(chǎng)作為全球化經(jīng)濟(jì)大家庭當(dāng)中的一部分,國(guó)際主要股票市場(chǎng)對(duì)它產(chǎn)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(duì)股市收益與波動(dòng)的影響。本文比較了兩種典型的金融波動(dòng)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(chǔ)SV模型的均值和波動(dòng)等式中加入了滯后一期的收益項(xiàng)、隔夜信息項(xiàng)并對(duì)隔夜信息進(jìn)行分類,在波動(dòng)等式中加入不對(duì)稱波動(dòng)。并選取滬深指數(shù)為研究數(shù)據(jù),采用MCMC方法對(duì)模型進(jìn)行估計(jì),根據(jù)估計(jì)結(jié)果驗(yàn)證本文提出的三個(gè)假設(shè)。本文的研究結(jié)論主要包括：第一,基于T分布的SV模型對(duì)金融時(shí)間序列分布的“高峰厚尾”和平方序列的長(zhǎng)記憶性有更好的刻畫能力；第二,日內(nèi)和隔夜收益是兩種不同的數(shù)據(jù)來源,并且隔夜信息對(duì)白天的收益和波動(dòng)有一定的預(yù)測(cè)能力；第三,在不考慮隔夜期間的長(zhǎng)度的情況下,不同類型的隔夜信息有不同的預(yù)測(cè)能力,對(duì)隔夜信息進(jìn)行分類是有必要的；第四,股票市場(chǎng)中存在著杠桿效應(yīng),且日內(nèi)信息和隔夜信息產(chǎn)生的杠桿效應(yīng)不同。對(duì)于白天的信息,負(fù)的沖擊會(huì)引起更大的波動(dòng),且正負(fù)沖擊都能夠增加波動(dòng)。而對(duì)于夜間信息來說,市場(chǎng)不同,隔夜信息種類不同,捕捉到隔夜信息對(duì)日內(nèi)波動(dòng)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(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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