本文關(guān)鍵詞：基于高頻金融數(shù)據(jù)的中國(guó)股市波動(dòng)性研究　出處：《湖南師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 高頻數(shù)據(jù) 波動(dòng)率 加權(quán)已實(shí)現(xiàn)極差 VAR模型

【摘要】：隨著計(jì)算機(jī)技術(shù)的發(fā)展和全球經(jīng)濟(jì)一體化進(jìn)程的加快,高頻金融數(shù)據(jù)的獲得也越來(lái)越容易,高頻金融數(shù)據(jù)波動(dòng)率的估計(jì)逐漸成為當(dāng)今的研究熱點(diǎn)問(wèn)題之一。一般情況下,股市的高頻數(shù)據(jù)波動(dòng)會(huì)表現(xiàn)出一些較低頻數(shù)據(jù)不同的特點(diǎn),刻畫股市高頻數(shù)據(jù)波動(dòng)性就是為了能夠準(zhǔn)確地描繪了股市波動(dòng)的典型特征和趨勢(shì),為股市風(fēng)險(xiǎn)管理提供理論支撐。 本文以“已實(shí)現(xiàn)”波動(dòng)率模型為基礎(chǔ),運(yùn)用極差理論的方法,構(gòu)造賦權(quán)“已實(shí)現(xiàn)”極差波動(dòng),并研究了不同頻率的上證綜指和深證成指的波動(dòng)特征。在分析賦權(quán)“已實(shí)現(xiàn)”極差波動(dòng)的統(tǒng)計(jì)特征的基礎(chǔ)上,論文從微觀層面出發(fā),研究賦權(quán)“已實(shí)現(xiàn)”極差波動(dòng)與交易量之間的相互作用關(guān)系。結(jié)果表明： (1)賦權(quán)“已實(shí)現(xiàn)”極差波動(dòng)具有較小的方差,滿足波動(dòng)估計(jì)量的無(wú)偏性和有效性,且經(jīng)對(duì)數(shù)化處理后基本符合正態(tài)分布,具有良好的統(tǒng)計(jì)性質(zhì)。 (2)深證成指1分鐘高頻數(shù)據(jù)的波動(dòng)與交易量間不存在Granger關(guān)系,而上證綜指5分鐘高頻數(shù)據(jù)的波動(dòng)與交易量互為Granger原因,這說(shuō)明量?jī)r(jià)關(guān)系并不穩(wěn)定,尤其是在新興資本市場(chǎng),很多投資者是屬于盲目性投資,存在從眾心理。 (3)對(duì)上證綜指5分鐘高頻數(shù)據(jù)構(gòu)建VAR模型,證實(shí)了波動(dòng)與交易量之間存在聯(lián)動(dòng)性,模型解釋了日內(nèi)波動(dòng)的聚集性,而且交易量的變動(dòng)引起價(jià)格波動(dòng),這在一定程度上解釋了收益波動(dòng)的原因。同時(shí),波動(dòng)率也會(huì)反饋到交易量,進(jìn)而影響交易量的變動(dòng)。
[Abstract]:With the development of computer technology and the acceleration of the process of global economic integration, the acquisition of high-frequency financial data is becoming easier and easier. The estimation of volatility of high-frequency financial data has gradually become one of the hot issues. In general, the volatility of high-frequency data in stock market will show some different characteristics than low-frequency data. In order to accurately describe the typical characteristics and trends of stock market volatility, it can provide theoretical support for stock market risk management. Based on the "realized" volatility model, this paper uses the method of range theory to construct the weighted "realized" range fluctuation. And studied the volatility characteristics of Shanghai Composite Index and Shenzhen Composite Index with different frequencies. On the basis of analyzing the statistical characteristics of "realized" range fluctuation, the paper starts from the micro level. The interaction between the "realized" range fluctuation and the trading volume is studied. The results show that: 1) the weighted "realized" range fluctuation has small variance, which satisfies the unbiased and validity of the fluctuation estimator, and basically accords with the normal distribution after logarithmic treatment, and has good statistical properties. (2) there is no Granger relationship between the fluctuation of high-frequency data and trading volume in Shenzhen Composite Index, while the fluctuation and trading volume of 5-minute high frequency data in Shanghai Composite Index are mutual Granger reasons. This shows that the relationship between volume and price is not stable, especially in emerging capital markets, many investors are blind investment, there is herd mentality. Thirdly, the VAR model is constructed for the 5-minute high frequency data of Shanghai Composite Index, which proves that there is a linkage between volatility and trading volume. The model explains the aggregation of intraday volatility, and the fluctuation of trading volume causes price volatility. At the same time, the volatility will also feed back to the trading volume, and then affect the change of trading volume.
【學(xué)位授予單位】：湖南師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 常寧,徐國(guó)祥;金融高頻數(shù)據(jù)分析的現(xiàn)狀與問(wèn)題研究[J];財(cái)經(jīng)研究;2004年03期

2 唐勇;池云果;;基于已實(shí)現(xiàn)波動(dòng)率的長(zhǎng)記憶性分析[J];福州大學(xué)學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版);2010年05期

3 徐正國(guó),張世英;調(diào)整"已實(shí)現(xiàn)"波動(dòng)率與GARCH及SV模型對(duì)波動(dòng)的預(yù)測(cè)能力的比較研究[J];系統(tǒng)工程;2004年08期

4 苗曉宇;;(超)高頻數(shù)據(jù)視角下金融風(fēng)險(xiǎn)度量研究進(jìn)展[J];經(jīng)濟(jì)論壇;2010年08期

5 徐正國(guó),張世英;高頻時(shí)間序列的改進(jìn)“已實(shí)現(xiàn)”波動(dòng)特性與建模[J];系統(tǒng)工程學(xué)報(bào);2005年04期

，

本文編號(hào)：1381259