【摘要】：股票市場對經(jīng)濟發(fā)展有著非常重要的作用,可以為企業(yè)提供籌資和融資的功能。同時股票市場也被稱之為宏觀經(jīng)濟運行的先行指標(biāo),對宏觀經(jīng)濟走勢具有預(yù)測和解釋的作用。波動率是用來衡量金融資產(chǎn)價格波動程度的重要指標(biāo),在期權(quán)定價、金融投資領(lǐng)域以及監(jiān)管方面也具有非常重要的作用。研究發(fā)現(xiàn),波動率具有尖峰肥尾性、集聚性、杠杠效應(yīng)等特征。本文首先對波動率的特征進行描述之后,收集1999年12月至2015年12月的上證綜指月度數(shù)據(jù)、深圳成指月度數(shù)據(jù)以及宏觀經(jīng)濟指標(biāo)(CPI、PPI、發(fā)電量EL、Shibor、M2、進出口額ⅣV)月度數(shù)據(jù),并進行數(shù)據(jù)清洗和整理。使用Eviews8首先對各時間序列對數(shù)收益率數(shù)據(jù)進行描述性統(tǒng)計分析,發(fā)現(xiàn)各對數(shù)收益率時間序列均存在尖峰肥尾的特性;其次對各時間序列對數(shù)收益率曲線進行分析發(fā)現(xiàn)各序列具有波動集聚性;再進行平穩(wěn)性檢驗、自相關(guān)性檢驗以及異方差性檢驗后,對各時間序列建立GARCH模型來對波動率進行分析。對波動率有一定的了解之后,首先對上證綜指收益率時間序列和宏觀經(jīng)濟指標(biāo)收益率時間序列建立VAR模型,發(fā)現(xiàn)CPI和發(fā)電量波動與上證綜指波動的趨勢相同,M2和進出口額與上證綜指波動的趨勢相反,Shibor、PPI與上證綜指波動的影響趨勢不確定。最后使用深圳成指來進行驗證分析,得出的結(jié)論一致。
[Abstract]:Stock market plays a very important role in economic development and can provide financing and financing functions for enterprises. At the same time, the stock market is also called the leading index of macroeconomic operation, which can predict and explain the macroeconomic trend. Volatility is an important index to measure the volatility of financial asset prices. It also plays an important role in option pricing, financial investment and supervision. It is found that the volatility has the characteristics of peak and fat tail, agglomeration, bar effect and so on. After describing the characteristics of volatility, this paper collects the monthly data of Shanghai Composite Index from December 1999 to December 2015, the monthly data of Shenzhen Composite Index and the monthly data of macroeconomic indicators (CPI,PPI, electricity generation EL,Shibor,M2, import and export volume 鈪，

本文編號：2233458