本文關(guān)鍵詞：我國股市預(yù)警機制設(shè)計的研究　出處：《南京財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 預(yù)警機制 指標(biāo)體系 閾值 Monetary Crisis程序

【摘要】：由于我國股票市場在迅速發(fā)展的過程中仍然存在諸多不足，與成熟市場相比，我國股市的波動性相對較大。通過對股票市場波動的辨識，削弱波動性的不良影響，設(shè)計一套適應(yīng)于我國股票市場的預(yù)警機制監(jiān)測其運行顯得十分必要。 國內(nèi)外學(xué)者針對股票市場預(yù)警機制已經(jīng)做出了很多研究，，本文運用“信號法”模型，設(shè)計了適應(yīng)于我國股票市場的預(yù)警機制，該預(yù)警機制將預(yù)警指標(biāo)分為長期、中期、短期三個類別，并運用統(tǒng)計上的“3σ”原則確定指標(biāo)閾值，本文把指標(biāo)正常狀態(tài)的安全值域定義為[X-2σ， X+2σ]，每類指標(biāo)體系超過一定數(shù)量的指標(biāo)超過閾值則視為發(fā)出預(yù)警信號。當(dāng)長期預(yù)警指標(biāo)發(fā)出預(yù)警信號時，就進入對股市的中期預(yù)警監(jiān)測階段；當(dāng)中期預(yù)警發(fā)出預(yù)警信號時，監(jiān)測頻率即提高至每日監(jiān)測。該預(yù)警機制與傳統(tǒng)的預(yù)警機制相比較，提高了對股市的監(jiān)測頻率，因此能夠更好的提升預(yù)警效率。 為了檢驗上述股票市場預(yù)警機制的可靠性，本文開發(fā)了一個名為“MonetaryCrisis”的應(yīng)用程序，并以我國股市過去的表現(xiàn)作為模擬環(huán)境，模擬結(jié)果發(fā)現(xiàn)，Monetary Crisis能夠較好的反映我國股票市場的危機程度。這表明，該程序能夠從長期、中期、短期對我國股票市場的運行進行有效的監(jiān)測。 在上述研究的基礎(chǔ)上，本文最后從投資及監(jiān)管兩方面提出應(yīng)對股市危機的建議。
[Abstract]:There are still many shortcomings in the rapid development of stock market in our country. Compared with the mature market, the volatility of stock market in our country is relatively large. So it is necessary to design a set of early warning mechanism to monitor the operation of stock market. Scholars at home and abroad have done a lot of research on the stock market early warning mechanism. In this paper, the "signal method" model is used to design an early warning mechanism suitable for China's stock market. The early warning mechanism divides the early warning index into three categories: long term, medium term and short term, and uses the statistical "3 蟽" principle to determine the threshold value of the index. In this paper, the safe range of the normal state of the indicator is defined as [X-2 蟽, X2 蟽], each type of index system exceeding a certain number of indicators over the threshold is considered as an early warning signal, when the long-term early warning indicators send out early warning signals. To enter the stage of mid-term early warning and monitoring of the stock market; When the early warning signal is issued, the monitoring frequency is increased to daily monitoring. Compared with the traditional early warning mechanism, the monitoring frequency of the stock market is increased, so it can improve the efficiency of early warning better. In order to test the reliability of the stock market warning mechanism mentioned above, an application called "MonetaryCrisis" is developed in this paper, and the past performance of the stock market in China is taken as the simulation environment. The simulation results show that the Crisis can well reflect the crisis degree of China's stock market. This shows that the program can be used in the long and medium term. Short-term monitoring of the operation of the stock market in China. On the basis of the above research, this paper puts forward some suggestions to deal with the stock market crisis from the aspects of investment and supervision.
【學(xué)位授予單位】：南京財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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