本文選題：波動(dòng)率 + ARCH模型��； 參考：《云南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：隨著經(jīng)濟(jì)全球化、一體化和自由化，，金融市場在現(xiàn)代經(jīng)濟(jì)運(yùn)行過程中所處的地位也越來越重要。股票市場作為金融市場的重要組成部分，對(duì)經(jīng)濟(jì)發(fā)展發(fā)揮巨大的作用。股票市場的波動(dòng)已成為金融研究的核心，股票市場的波動(dòng)有外部因素也有內(nèi)部因素。股票的收益波動(dòng)率是當(dāng)代金融經(jīng)濟(jì)學(xué)的核心領(lǐng)域，作為市場風(fēng)險(xiǎn)的度量，對(duì)波動(dòng)率的辨識(shí)直接影響證券定價(jià)、資產(chǎn)配置以及風(fēng)險(xiǎn)管理的建模。多年來，為了揭示經(jīng)濟(jì)及金融波動(dòng)的本質(zhì)，國內(nèi)外學(xué)者進(jìn)行了不懈的探索。 在本文中，通過理論研究和實(shí)證分析對(duì)股票市場的波動(dòng)進(jìn)行了探討。首先從宏觀經(jīng)濟(jì)因素、宏觀經(jīng)濟(jì)政策、政治因素、行業(yè)因素、技術(shù)指標(biāo)因素以及心理因素等各方面分析了股影響票市場波動(dòng)的原因，這有助于我們更好的預(yù)測股市波動(dòng)趨勢，其次介紹了股市波動(dòng)的相關(guān)理論和收益率波動(dòng)的基本特征，這些都是我們研究股市波動(dòng)的理論基礎(chǔ)，對(duì)于股票市場波動(dòng)的研究都是根據(jù)這些理論慢慢發(fā)展的。再次選取了上證指數(shù)和深證成指作為研究對(duì)象，采取了對(duì)數(shù)收益率，經(jīng)過描述性分析，了解了我國股市收益率的尖峰厚尾等基本特征。最后，用GARCH模型對(duì)我國上證指數(shù)和深證成指收益率進(jìn)行檢驗(yàn)，發(fā)現(xiàn)收益率與風(fēng)險(xiǎn)存在正相關(guān)關(guān)系，且對(duì)兩個(gè)市場的風(fēng)險(xiǎn)進(jìn)行比較，深圳股市的投資者更加厭惡風(fēng)險(xiǎn)，即深圳股市的風(fēng)險(xiǎn)溢價(jià)高于上海。再用EGARCH模型檢驗(yàn)，我國股市的股指收益率都具有杠桿效應(yīng)，利空的消息比等量利好的消息產(chǎn)生的波動(dòng)更大，最后通過格蘭杰因果檢驗(yàn)發(fā)現(xiàn)這兩個(gè)市場之間存在溢出效應(yīng)，在長期兩市的溢出效應(yīng)是對(duì)稱的，二者同時(shí)大起大落。 最后，通過對(duì)我國股票市場的分析，為了有效的控制股市的異常波動(dòng)，保證股市的正常穩(wěn)定，增強(qiáng)股票市場的運(yùn)行效率，促使股票市場持續(xù)、健康的發(fā)展，提出了相應(yīng)的建議。首先，不斷的完善證券法律法規(guī)；其次，減少政府干預(yù)；最后，規(guī)范信息披露制度。
[Abstract]:With the globalization, integration and liberalization of economy, the position of financial market in modern economic operation is becoming more and more important. As an important part of financial market, stock market plays a great role in economic development. The volatility of stock market has become the core of financial research. There are external and internal factors in the volatility of stock market. The volatility of stock returns is the core field of contemporary financial economics. As a measure of market risk, the identification of volatility directly affects the modeling of securities pricing, asset allocation and risk management. For many years, in order to reveal the nature of economic and financial fluctuations, domestic and foreign scholars have made unremitting exploration. In this paper, the volatility of stock market is discussed through theoretical research and empirical analysis. First of all, from the macroeconomic factors, macroeconomic policies, political factors, industry factors, technical indicators and psychological factors, this paper analyzes the causes of stock market volatility, which will help us better predict the stock market volatility trend. Secondly, this paper introduces the relevant theories of stock market volatility and the basic characteristics of return volatility, which are the theoretical basis of our research on stock market volatility, and the research on stock market volatility develops slowly according to these theories. Thirdly, the author chooses Shanghai Stock Exchange Index and Shenzhen Stock Exchange Composite Index as the research object, takes logarithmic rate of return, through descriptive analysis, understands the basic characteristics of the sharp and thick tail of the stock market return rate in our country. Finally, the GARCH model is used to test the yield of Shanghai Stock Exchange and Shenzhen Stock Exchange. It is found that there is a positive correlation between return and risk. Compared with the risk in the two markets, investors in Shenzhen stock market are more risk-averse. That is, the Shenzhen stock market risk premium is higher than Shanghai. Then using EGARCH model test, the stock index yield of our stock market has leverage effect, the bad news is more volatile than the same amount of good news. Finally, through Granger causality test, we find that there is spillover effect between the two markets. In the long run, the spillover effects of the two cities are symmetrical, both fluctuating at the same time. Finally, through the analysis of the stock market of our country, in order to effectively control the abnormal fluctuation of the stock market, guarantee the normal stability of the stock market, enhance the operation efficiency of the stock market, and promote the stock market to develop continuously and healthily, the corresponding suggestions are put forward. First, constantly improve the securities laws and regulations; secondly, reduce government intervention; finally, standardize the information disclosure system.
【學(xué)位授予單位】：云南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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