本文關(guān)鍵詞：中國股票市場時變信息風(fēng)險的測量與定價研究　出處：《天津大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 時變信息風(fēng)險 資產(chǎn)定價 EKOP模型 對稱性沖擊 MMPP模型 久期 H股折價

【摘要】：對股票的時變信息風(fēng)險的測量無論對投資者企業(yè)，還是監(jiān)管者都有著重要意義由于測量股票的時變信息風(fēng)險有助于更準(zhǔn)確地測量信息風(fēng)險，因此，它不僅有助于投資者管理信息風(fēng)險企業(yè)管理資本成本監(jiān)管者監(jiān)管市場，而且還有助于資產(chǎn)定價本文對中國股票市場的時變信息風(fēng)險測量與定價等問題進(jìn)行了理論和實證研究，全文共分為四部分：第一部分，研究背景與研究意義文章結(jié)構(gòu)安排與主要內(nèi)容本文的創(chuàng)新點以及課題研究現(xiàn)狀，包括第1～2章；第二部分，時變信息風(fēng)險測量的研究，包括第3～5章；第三部分，基于時變信息風(fēng)險測量的H股折價研究，包括第6章；第四部分，，全文的總結(jié)和展望，包括第7章各章內(nèi)容簡介如下： 第一章，緒論介紹論文的研究背景和研究意義，并概括本文的研究內(nèi)容結(jié)構(gòu)框架和本文的創(chuàng)新點 第二章，國內(nèi)外研究現(xiàn)狀綜述系統(tǒng)梳理信息風(fēng)險測量與定價的國內(nèi)外研究成果和最新研究動向，并指出已有研究存在的不足 第三章，考慮對稱性沖擊與消息狀態(tài)時變的時變信息風(fēng)險測量針對Duarte和Young(2009)[1]模型中消息狀態(tài)概率和對稱性訂單流沖擊概率的假設(shè)為常數(shù)這一缺陷，使用交易量建模消息狀態(tài)概率和對稱性訂單流沖擊概率，允許消息發(fā)生概率和對稱性訂單流沖擊概率均時變，提出考慮對稱性沖擊的時變信息風(fēng)險測量模型然后選取交易活躍的幾只股票實證檢驗所建模型對數(shù)據(jù)的擬合效果 第四章，基于MMPP模型的時變信息風(fēng)險測量針對EKOP模型假設(shè)中的信息到達(dá)獨立以及知情交易者和非知情交易者的到達(dá)率均為常數(shù)這一缺陷，提出考慮信息到達(dá)非獨立，知情交易者和非知情交易者的到達(dá)率均時變的PIN估計方法首先，基于馬爾科夫調(diào)制泊松過程模型（即MMPP模型）分別對流動性交易到達(dá)筆數(shù)和信息性交易到達(dá)筆數(shù)建模，從而建立基于馬爾科夫調(diào)制泊松過程的交易筆數(shù)分離模型；其次，根據(jù)已建立的交易筆數(shù)分離模型，構(gòu)建新的PIN估計方法；最后，估計交易活躍的幾只股票的PIN，并對估計的結(jié)果進(jìn)行適用性檢驗 第五章，基于久期視角的時變信息風(fēng)險測量考慮到賣空限制對傳統(tǒng)PIN估計的影響，基于Tay,Ting,Tse和Warachka（2009）[2]的PIN估計模型，提出考慮賣空限制的PIN估計模型然后采用該模型估計交易活躍的幾只股票的PIN,并對比我們的模型與Tay,Ting,Tse和Warachka（2009）[2]的模型對數(shù)據(jù)擬合的效果，同時估計出日內(nèi)時間間隔和日間的PIN 第六章，基于時變信息風(fēng)險測量的H股折價研究已有關(guān)于H股折價的研究對信息風(fēng)險測量多采用間接測量的方法，本章采用第三章構(gòu)建的時變信息風(fēng)險測量模型，估計A股和H股的時變PIN在控制好相關(guān)變量的基礎(chǔ)上，實證檢驗信息風(fēng)險是否為產(chǎn)生H股折價的原因之一 第七章，總結(jié)與展望對全文的研究內(nèi)容進(jìn)行總結(jié)，并在此基礎(chǔ)上提出今后的研究展望
[Abstract]:Measuring information risk of the stock when the enterprise for the investors or regulators, are of great significance because of the time-varying risk measurement of stock information helps to more accurately measure the risk of information. Therefore, it not only helps investors risk management information management cost of capital market regulation, but also contribute to asset pricing the China stock market information time-varying risk measurement and pricing issues such as the theoretical and empirical research, this paper is divided into four parts: the first part, the research background and significance of the structure and main content of the innovation of this paper and the research status quo, including first to the 2 chapter; the second part, study on time varying the information risk measurement, including third to the 5 chapter; the third part, the research of H-shares discount based on time-varying risk measurement information, including the sixth chapter; the fourth part, a summary of the full text And prospects, including the following seventh chapters of the following chapters:
In the first chapter, the introduction introduces the background and significance of the research, and summarizes the framework of the research content and the innovation point of this paper.
The second chapter summarizes the research status at home and abroad, systematically reviews the domestic and foreign research results and the latest research trend of information risk measurement and pricing, and points out the shortcomings of existing research.
The third chapter, considering the symmetry of the impact and message state time-varying time-varying information risk measurement based on Duarte and Young (2009) impact probability message state probability and the symmetry of the order flow in the [1] model hypothesis for this defect using constant volume modeling message state probability and symmetric order flow shock probability, the message is allowed to happen the probability and the symmetry of the order flow shock probability time-varying is proposed considering the symmetry impact of time-varying risk measurement model of information and then select the active trading shares a few empirical tests on the model data fitting effect
The fourth chapter, the MMPP model of time-varying risk measurement information for EKOP model assumptions in the information reaches the independent and informed traders and uninformed traders of the arrival rate is constant the defect based on the proposed information to non independent, informed traders and uninformed traders of the arrival rate of time-varying PIN estimation method firstly, Markov based on the modulated Poisson process model (MMPP model) respectively for liquidity trading and transaction information reaches the number reached number of modeling, so as to establish the model of separation of number of transactions based on the Markov modulated Poisson process; secondly, according to the model number of transactions has been established, to construct a new PIN estimation method; finally, the estimated transaction a few stocks active PIN, and the applicability of the estimation results
The fifth chapter, from the perspective of the duration of time-varying risk measurement information considering the short selling restrictions on impact, the traditional PIN estimation based on Tay, Ting, Tse and Warachka (2009) [2] PIN estimate model, considering the restrictions on short selling PIN estimation model and then using the model to estimate a few stocks active trading of the PIN, and compared with the Tay model, our Ting, Tse and Warachka (2009) [2] model for data fitting, and the estimated time of day and day of the PIN interval
The sixth chapter, study on the H-share discount based on time-varying risk measurement information of H-shares discount many studies, uses the indirect measurement method of information measurement of risk, this chapter uses third chapters to construct time-varying information risk measurement model, estimation based A and H shares in good control of time varying PIN related variables, empirical test information is one of the causes of risk discount of H-shares
The seventh chapter, summing up and looking forward to the research content of the full text, and on this basis, put forward the future research prospect

【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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