發(fā)布時(shí)間：2018-04-24 08:11

  本文選題：突發(fā)事件 + 股票市場(chǎng)��； 參考：《哈爾濱工業(yè)大學(xué)》2013年碩士論文

【摘要】：突發(fā)事件對(duì)股票市場(chǎng)的沖擊已經(jīng)成為了學(xué)者和管理者最為關(guān)注的問(wèn)題之一，，而目前已有的研究成果都集中于事件研究法，并未形成突發(fā)事件對(duì)股票市場(chǎng)的沖擊的一般性的研究方法和結(jié)論。本文運(yùn)用投資者行為的異質(zhì)性的分析框架，研究突發(fā)事件對(duì)我國(guó)股票市場(chǎng)的沖擊的傳導(dǎo)機(jī)制。 本文首先結(jié)合已有的研究成果定義了突發(fā)事件，并分別按基本分類(lèi)法和突發(fā)事件沖擊股票市場(chǎng)后的市場(chǎng)表現(xiàn)進(jìn)行了分類(lèi)；其次，分析了突發(fā)事件對(duì)我國(guó)股票市場(chǎng)的沖擊傳導(dǎo)機(jī)理。再次，在已有的研究基礎(chǔ)上推導(dǎo)突發(fā)事件非線(xiàn)性沖擊函數(shù)；在基本異質(zhì)代理模型（HAM）的基礎(chǔ)上并考慮了我國(guó)股票市場(chǎng)的相關(guān)規(guī)定和限制，建立了突發(fā)事件對(duì)我國(guó)股票市場(chǎng)沖擊的HAM。最后，運(yùn)用Lyapunov第二定理證明了基本HAM是漸進(jìn)穩(wěn)定；并運(yùn)用近似系統(tǒng)的研究成果證明了含沖擊條件的HAM也是局部漸進(jìn)穩(wěn)定。 本文構(gòu)建了多目標(biāo)參數(shù)尋優(yōu)模型，運(yùn)用上證綜指2007年1月1日至2012年12月31日的收盤(pán)價(jià)計(jì)算了我國(guó)股票市場(chǎng)的HAM的參數(shù)。計(jì)算結(jié)果表明我國(guó)股票市場(chǎng)非理性程度較高。運(yùn)用仿真的方法研究了突發(fā)事件對(duì)我國(guó)股票市場(chǎng)沖擊前的股票市場(chǎng)環(huán)境和突發(fā)事件內(nèi)部特征對(duì)突發(fā)事件沖擊后的投資者行為和市場(chǎng)表現(xiàn)的影響。仿真結(jié)果表明，突發(fā)事件爆發(fā)前的市場(chǎng)環(huán)境直接影響了突發(fā)事件爆發(fā)后的投資者行為進(jìn)而影響了股票市場(chǎng)的表現(xiàn)；突發(fā)事件內(nèi)部特征對(duì)我國(guó)股票市場(chǎng)的投資者行為存在顯著的影響進(jìn)而影響突發(fā)事件爆發(fā)的后市場(chǎng)表現(xiàn)。另外，研究還發(fā)現(xiàn)，突發(fā)事件沖擊強(qiáng)度達(dá)到一定程度之后，在突發(fā)事件沖擊我國(guó)股票市場(chǎng)后市場(chǎng)中的趨勢(shì)投資策略失效，市場(chǎng)中的趨勢(shì)投資者比例顯著下降，而基本面投資者比例顯著上升，市場(chǎng)表現(xiàn)更為理性。但是突發(fā)事件對(duì)股票市場(chǎng)沖擊使股票市場(chǎng)表現(xiàn)更為理性的臨界值還有待進(jìn)一步的研究。
[Abstract]:The impact of emergencies on the stock market has become one of the most concerned questions of the scholars and managers, and the existing research results are concentrated on the event research method, and the general research methods and conclusions on the impact of sudden events on the stock market have not been formed. The transmission mechanism of unexpected events on China's stock market is studied.
First of all, this paper combines the existing research results to define the emergencies, and classifies the market performance according to the basic taxonomy and the emergencies after the impact of the stock market. Secondly, it analyzes the impact transmission mechanism of the sudden events on the stock market in China. On the basis of the basic heterogeneous agent model (HAM) and considering the relevant regulations and restrictions of the stock market in our country, the HAM. of the impact of the sudden event on our stock market is established. The Lyapunov second theorem is used to prove that the basic HAM is gradual and stable, and the research results of the approximate system prove that the HAM with the impact condition is also proved. It is locally progressive and stable.
This paper constructs a multi objective parameter optimization model, and uses the closing price of Shanghai Composite Index from January 1, 2007 to December 31, 2012 to calculate the parameters of HAM in China's stock market. The results show that the stock market in China has a high degree of irrationality. The simulation method is used to study the stock market ring before the impact of the sudden event on the stock market in China. The impact of internal characteristics on the behavior of investors and market performance after the shock of emergencies. The simulation results show that the market environment before the outbreak of emergencies directly affects the behavior of investors after the outbreak of emergencies and then affects the performance of the stock market; the internal characteristics of the unexpected events invest in the stock market of our country. In addition, the study also found that after the shock intensity reached a certain degree, the trend investment strategy in the market after the sudden event hit China's stock market failed, and the proportion of the trend investors in the market declined significantly, and the basic investor was in the market. The proportion of the stock market is more rational. But the critical value of the shock to the stock market that makes the stock market more rational remains to be further studied.

【學(xué)位授予單位】：哈爾濱工業(yè)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

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本文編號(hào)：1795841