本文關(guān)鍵詞：基于對(duì)數(shù)周期冪律模型的中國(guó)股票市場(chǎng)泡沫破裂臨界時(shí)間實(shí)證研究　出處：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 混沌與分形 冪律分布 臨界自組織 對(duì)數(shù)周期冪律模型 泡沫破裂臨界時(shí)間

【摘要】：傳統(tǒng)的有效市場(chǎng)理論假定在市場(chǎng)上的每個(gè)人都是理性的經(jīng)濟(jì)人,股票的價(jià)格反映了這些理性人的供求的平衡,也充分反映該資產(chǎn)的所有可獲得的信息,市場(chǎng)的競(jìng)爭(zhēng)最終會(huì)使證券價(jià)格從舊的均衡過(guò)渡到新的均衡,而與新信息相應(yīng)的價(jià)格變動(dòng)是相互獨(dú)立的或隨機(jī)的,最終,市場(chǎng)是有效的,均衡是市場(chǎng)的常態(tài)。而目前世界上大多數(shù)國(guó)家股票市場(chǎng)的實(shí)踐都證明股票收益率分布具有尖峰胖尾與長(zhǎng)期記憶的特征,學(xué)者們?cè)诜蔷�(xiàn)性分析思維的啟示下,提出了與有效市場(chǎng)理論相對(duì)應(yīng)的分形市場(chǎng)理論。分形市場(chǎng)理論認(rèn)為市場(chǎng)是非線(xiàn)性的,由于不同投資者對(duì)信息的判斷不同,所以信息的傳播不是均勻擴(kuò)散的。在任一時(shí)點(diǎn),價(jià)格并沒(méi)有反映所有已獲得的信息,而只是反映了與投資期限相對(duì)應(yīng)的信息的重要性,市場(chǎng)信息的反應(yīng)不是傳統(tǒng)假設(shè)的簡(jiǎn)單的線(xiàn)性關(guān)系,市場(chǎng)中存在正反饋與自相似特征,收益率具有長(zhǎng)期記憶的效果,市場(chǎng)的波動(dòng)并不是完全無(wú)序的,價(jià)格序列遵循的是有偏的布朗運(yùn)動(dòng),所以市場(chǎng)中也一直存在大量的非均衡。 對(duì)中國(guó)股市的收益率進(jìn)行統(tǒng)計(jì)分析,可以得出其分布具有尖峰胖尾的特征,說(shuō)明中國(guó)股票市場(chǎng)是非線(xiàn)性的,然后用R/S分析法可以得到hurst指數(shù),其大于0.5可以得到中國(guó)股票市場(chǎng)具有分形特征。股票市場(chǎng)之所以有分形特征,收益率呈現(xiàn)冪律分布,主要原因是正反饋的存在,正反饋導(dǎo)致的羊群效應(yīng)也是市場(chǎng)產(chǎn)生泡沫的主要原因,這意味著市場(chǎng)的失靈,而市場(chǎng)一旦失靈,我們也并非無(wú)從去了解這個(gè)市場(chǎng)的運(yùn)行,市場(chǎng)泡沫的運(yùn)行也有其自身的規(guī)律,正反饋導(dǎo)致的泡沫生長(zhǎng),從物理學(xué)的角度,屬于自組織臨界行為,自組織臨界態(tài)是一個(gè)吸引域,即使改變初始條件,系統(tǒng)最終都會(huì)達(dá)到這一臨界態(tài)。在臨界態(tài)時(shí),系統(tǒng)內(nèi)事件大小與其頻率之間是冪函數(shù)關(guān)系,這時(shí)系統(tǒng)不存在特征尺度,但是可以根據(jù)分形理論中標(biāo)度不變性原理對(duì)市場(chǎng)做出一些描述。在股市中,異質(zhì)投資者之間互相影響,直到最后的一致行為,導(dǎo)致了泡沫的破裂,這就是股票市場(chǎng)的自組織臨界。對(duì)數(shù)周期冪律模型有兩個(gè)特征,一是對(duì)數(shù)周期性振蕩,二是冪律增長(zhǎng)或衰減。股市的加速上揚(yáng)就是泡沫過(guò)程符合這兩個(gè)特點(diǎn),所以可以用對(duì)數(shù)周期冪律模型擬合泡沫的演化過(guò)程,找出泡沫破裂的臨界時(shí)間。 首先根據(jù)市場(chǎng)中趨勢(shì)持續(xù)時(shí)間的長(zhǎng)短,找出股票市場(chǎng)存在的自組織狀態(tài),這一狀態(tài)即為泡沫從積累到成熟最后到破裂的一個(gè)周期循環(huán)。之后用對(duì)數(shù)周期冪律模型對(duì)泡沫進(jìn)行擬合,找出泡沫破裂的臨界時(shí)間。通過(guò)對(duì)中國(guó)股票市場(chǎng)的實(shí)證研究,發(fā)現(xiàn)上證綜指、深證成指、創(chuàng)業(yè)板指以及個(gè)股價(jià)格泡沫過(guò)程,均可以用對(duì)數(shù)周期冪律模型進(jìn)行很好地?cái)M合,得到的擬合臨界時(shí)間都在泡沫破裂真實(shí)時(shí)間的誤差范圍之內(nèi)。之后,文章對(duì)LPPL模型進(jìn)行穩(wěn)健性分析,結(jié)果顯示不同時(shí)間段得出的臨界時(shí)間都在誤差接受范圍之內(nèi),數(shù)據(jù)越長(zhǎng),越靠近崩盤(pán)時(shí)間,LPPL模型擬合得出的臨界時(shí)間相對(duì)更精確一些。股市中出現(xiàn)的這些特征可以讓我們對(duì)投資者行為,股市運(yùn)行的內(nèi)在機(jī)制等方面進(jìn)行多角度,更細(xì)致的分析,這也可以讓我們更準(zhǔn)確的去理解市場(chǎng),也為政策制定者制定政策的時(shí)候提供一些借鑒和參考。最后,針對(duì)中國(guó)股市出現(xiàn)的泡沫現(xiàn)象,提出三條政策建議：第一要保持宏觀經(jīng)濟(jì)政策的穩(wěn)定性,防止政策本身的大幅變動(dòng)引發(fā)股市泡沫。第二要努力打造一個(gè)公開(kāi)透明的市場(chǎng)環(huán)境,減少信息不對(duì)稱(chēng)引發(fā)的股市泡沫。第三要培養(yǎng)成熟的機(jī)構(gòu)投資者,可以成為穩(wěn)定市場(chǎng)的中堅(jiān)力量,也要加強(qiáng)普通投資者的教育,培養(yǎng)理性投資理念。
[Abstract]:The traditional efficient market theory assumes that people in the market are rational, the price of the stock reflects the supply and demand of the rational balance of human, but also fully reflect all available information about the asset, the market competition will eventually cause the stock price from the old equilibrium transition to a new equilibrium, and are independent of each other or random, and the corresponding changes in the price of new information, the market is efficient, the market equilibrium is the norm. The current practice in most countries in the world stock market have proved that the characteristics of the distribution of stock returns have fat tails and long memory, the scholars in the nonlinear analysis of Enlightenment thinking and put forward the effective market theory and fractal market theory. The corresponding fractal market theory that the market is nonlinear, due to different investors' perceptions of different information, so the information dissemination is not uniform expansion Scattered. At any point in time, the price does not reflect all the information that has been obtained, which just reflects the importance of the investment period information corresponding to the simple linear relationship between the market information was not the traditional assumption, there is a positive feedback and self similarity in the market, has received long-term memory effect of interest rate, market the fluctuation is not completely disordered, price series is to follow a Brown movement, so the market has a large number of non - equilibrium.
Statistical analysis of Chinese stock returns, we can conclude that their distribution has the characteristics of fat tails, that China stock market is nonlinear, and then can get the Hurst index by R/S analysis method, which can get more than 0.5 Chinese stock market has fractal characteristics. The stock market has fractal characteristics, yields show a power-law distribution the main reason is that the positive feedback are main reasons of bubble herding caused positive feedback is the market, which means that the market failure and market failure, we do not have to understand the market, market bubble operation also has its own rules, resulting in the growth of foam positive feedback. From the point of view of physics, which belongs to the self organized critical, self organized criticality is a domain of attraction, even changing the initial conditions, the system will eventually reach a critical state in the pro. Bound states, between the system event size and frequency is the function of power, then the system does not have the characteristic scale, but according to fractal theory scale invariance principle to make some description on the market. In the stock market, heterogeneous investors affected each other, until finally the consistent behavior, lead to the bursting of the bubble, the stock is critical the market self organization. Log periodic power law model has two characteristics, one is the logarithmic periodic oscillation, two is power-law growth or decay. The stock market bubble is a process to accelerate the rise in line with these two characteristics, so we can use the evolution of log periodic power-law model fitting foam, the critical time to find out the bubble burst.
According to the market trend of the duration, find the self organization existing in the stock market, the state is the foam from the accumulation to mature and finally to a cycle of rupture. After the bubble was fitted by logarithmic power law model, the critical time to find out the bubble burst. Through the empirical research on the stock market China the discovery of Shanghai, Shenzhen, the gem index and stock price bubble process can be well fitted by log periodic power-law model, fitting the critical time are all within the scope of the real time bubble burst error within. Then, based on LPPL model robustness analysis, the results show that critical time different time periods that are acceptable within the error, the data is more long, the more close to the collapse time, critical time LPPL model fitting is more accurate in the stock market. These features are that we can on the behavior of investors, the stock market operation mechanism for multi angle, a more detailed analysis, this also allows us to more accurately understand the market, but also provide some reference for policy makers. When the policy after the bubble phenomenon in the stock market China and put forward three policy recommendations: first to maintain the stability of macroeconomic policy to prevent substantial changes in the policy itself caused the stock market bubble. Second to create an open and transparent market environment, reduce the information asymmetry caused by the stock market bubble. Third to cultivate a mature institutional investors, can become the backbone of the stability of the market, also want to strengthen the ordinary investor education, foster rational investment philosophy.

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 劉式達(dá),劉式適;標(biāo)度對(duì)稱(chēng)性[J];北京大學(xué)學(xué)報(bào)(自然科學(xué)版);1997年05期

2 莊新田,莊新路,田瑩;Hurst指數(shù)及股市的分形結(jié)構(gòu)[J];東北大學(xué)學(xué)報(bào);2003年09期

3 周洪濤,王宗軍;上海股市非線(xiàn)性特征:一個(gè)基于R/S方法的實(shí)證分析[J];管理學(xué)報(bào);2005年05期

4 范志遠(yuǎn);;中國(guó)股市行業(yè)指數(shù)及個(gè)股長(zhǎng)程記憶研究[J];衡陽(yáng)師范學(xué)院學(xué)報(bào);2010年06期

5 周好文;余志偉;謝金靜;;基于R/S分析法的我國(guó)滬深股市有效性實(shí)證分析[J];經(jīng)濟(jì)經(jīng)緯;2010年03期

6 楊忠海;;理性與非理性金融泡沫理論研究進(jìn)展[J];經(jīng)濟(jì)學(xué)動(dòng)態(tài);2008年07期

7 趙鵬;曾劍云;;我國(guó)股市周期性破滅型投機(jī)泡沫實(shí)證研究——基于馬爾可夫區(qū)制轉(zhuǎn)換方法[J];金融研究;2008年04期

8 李東;;LPPL模型算法的初步探討[J];淮海工學(xué)院學(xué)報(bào)(自然科學(xué)版);2012年03期

9 史永東;中國(guó)證券市場(chǎng)股票收益持久性的經(jīng)驗(yàn)分析[J];世界經(jīng)濟(jì);2000年11期

10 周洪濤;王宗軍;;基于R/S分析的深圳股市非線(xiàn)性特征實(shí)證研究[J];數(shù)學(xué)的實(shí)踐與認(rèn)識(shí);2006年02期

，

本文編號(hào)：1360633