本文關(guān)鍵詞：非對(duì)稱(chēng)均值回歸與金融危機(jī)的形成機(jī)理　出處：《吉林大學(xué)》2016年博士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：隨著經(jīng)濟(jì)的發(fā)展,金融市場(chǎng)在一國(guó)經(jīng)濟(jì)發(fā)展中發(fā)揮的作用越來(lái)越重要,金融市場(chǎng)已經(jīng)成為現(xiàn)代經(jīng)濟(jì)發(fā)展的核心。作為金融市場(chǎng)的一種非正常狀態(tài),金融危機(jī)能夠擾亂金融市場(chǎng)的正常運(yùn)行,終結(jié)經(jīng)濟(jì)的繁榮發(fā)展,徹底改變一國(guó)的經(jīng)濟(jì)發(fā)展?fàn)顟B(tài)。為保障經(jīng)濟(jì)的持續(xù)、健康、穩(wěn)定發(fā)展,需要對(duì)金融危機(jī)爆發(fā)的原因進(jìn)行深入研究,并在此基礎(chǔ)上采取有效措施來(lái)避免金融危機(jī)全面爆發(fā)或者在危機(jī)爆發(fā)后盡量降低其可能造成的危害。金融市場(chǎng)的基本職能是配置社會(huì)資金,促使資金在供需雙方之間合理流動(dòng),隨著經(jīng)濟(jì)的發(fā)展,市場(chǎng)需求者更多采用直接融資方式籌措其所需要的資金,證券市場(chǎng)作為最主要的直接融資場(chǎng)所,在滿足不斷增長(zhǎng)的社會(huì)直接融資需求的同時(shí),也積聚了大量的風(fēng)險(xiǎn),證券市場(chǎng)價(jià)格波動(dòng)對(duì)金融市場(chǎng)的影響日益增強(qiáng),證券價(jià)格波動(dòng)已逐漸成為誘發(fā)金融危機(jī)的主要因素。股票市場(chǎng)作為證券市場(chǎng)的重要組成部分,任何市場(chǎng)震蕩能夠通過(guò)股票市場(chǎng)迅速傳遞出去。因而本文選擇股票價(jià)格作為具體的研究對(duì)象,從股票價(jià)格波動(dòng)的角度分析金融危機(jī)的形成機(jī)理。股票價(jià)格的變化存在明顯的均值回歸特征,偏離均值的股票價(jià)格最終都會(huì)再次向其均值收斂,即使市場(chǎng)處于金融危機(jī)的特殊狀態(tài)下,股票價(jià)格的變化也服從均值回歸過(guò)程。本文正是緊緊抓住股票價(jià)格的變化始終呈現(xiàn)均值回歸這一特征,在均值回歸理論的框架內(nèi)對(duì)金融危機(jī)的形成進(jìn)行分析。股票價(jià)格的均值回歸過(guò)程可以分為兩個(gè)階段:一是股票價(jià)格偏離其均值的階段,二是已偏離的價(jià)格向其均值回歸的階段。與之類(lèi)似,金融危機(jī)也可以分為兩個(gè)階段:一是市場(chǎng)具備爆發(fā)金融危機(jī)可能性的階段,二是這種可能性轉(zhuǎn)化為現(xiàn)實(shí)性的階段。股票價(jià)格被嚴(yán)重高估時(shí),市場(chǎng)就具備爆發(fā)危機(jī)的可能性,市場(chǎng)流動(dòng)性過(guò)剩和市場(chǎng)參與者追求更高收益的投資行為,共同促使股票價(jià)格逐漸嚴(yán)重偏離其均值。而當(dāng)被嚴(yán)重高估的股票價(jià)格在短時(shí)間內(nèi)迅速向其均值回歸時(shí),金融危機(jī)就由可能性轉(zhuǎn)化為現(xiàn)實(shí)性。投資者在面臨可能損失時(shí),會(huì)對(duì)負(fù)向信息沖擊反應(yīng)過(guò)度,股票價(jià)格也隨之會(huì)呈現(xiàn)出顯著的非對(duì)稱(chēng)均值回歸特征,這種非對(duì)稱(chēng)特征決定了被嚴(yán)重高估的股票價(jià)格會(huì)以極快的速度向其均值收斂。股票價(jià)格的非對(duì)稱(chēng)均值回歸特征在金融危機(jī)由可能性轉(zhuǎn)化為現(xiàn)實(shí)性的過(guò)程中,發(fā)揮著至關(guān)重要的作用。為了更加細(xì)致的分析金融危機(jī)的形成機(jī)理、驗(yàn)證非對(duì)稱(chēng)均值回歸特征在誘發(fā)金融危機(jī)過(guò)程中的作用,金融危機(jī)期間不再看作是一個(gè)不可分割的整體,后續(xù)的分析都是建立在對(duì)金融危機(jī)進(jìn)行合理階段劃分的基礎(chǔ)上。為了解決傳統(tǒng)事件分析方法劃分階段所帶來(lái)的缺陷,本文選擇修正后的CPM模型對(duì)20世紀(jì)80年代以來(lái)的7次金融危機(jī)期間股票價(jià)格分布的變化進(jìn)行甄別,并依據(jù)這些突變點(diǎn)將對(duì)應(yīng)金融危機(jī)危機(jī)分為數(shù)量不盡相同的階段。每次金融危機(jī)都包含股票價(jià)格持續(xù)上漲階段、價(jià)格短時(shí)間大幅下跌階段以及危機(jī)過(guò)后價(jià)格震蕩變動(dòng)階段。在所做階段劃分的基礎(chǔ)上,本文首先選擇ANST-GARCH模型對(duì)各次金融危機(jī)期間股票價(jià)格的均值回歸特征進(jìn)行了分析,實(shí)證結(jié)果表明在價(jià)格短時(shí)間大幅下跌的階段,能夠檢測(cè)到顯著的、對(duì)負(fù)向信息沖擊更加敏感的非對(duì)稱(chēng)均值回歸特征,而在其他階段則僅能檢驗(yàn)到存在顯著的均值回歸現(xiàn)象,但是不能檢驗(yàn)到顯著的非對(duì)稱(chēng)性。隨后,選擇TAR和MTAR模型,對(duì)各次金融危機(jī)期間已偏離均值的股票價(jià)格向其均值收斂的路徑進(jìn)行了實(shí)證分析。結(jié)果表明股票價(jià)格的均值回歸速度與價(jià)格偏離均值程度有直接關(guān)系,但無(wú)論股票價(jià)格處于被高估還是被低估狀態(tài),都不會(huì)使均值回歸路徑呈現(xiàn)出非對(duì)稱(chēng)特征,而在個(gè)別金融危機(jī)的某幾個(gè)階段卻能夠檢驗(yàn)到均值回歸路徑對(duì)不同方向的信息沖擊呈現(xiàn)出非對(duì)稱(chēng)特征的現(xiàn)象。金融危機(jī)爆發(fā)階段股票價(jià)格多以震蕩的方式向其均值回歸,其他階段則多以平緩的方式向其均值回歸。金融危機(jī)期間平均均值回歸周期最短的階段都是危機(jī)爆發(fā)、股票價(jià)格大幅下跌的階段。市場(chǎng)流動(dòng)性過(guò)剩和市場(chǎng)參與者對(duì)超額收益的過(guò)度追求,使股票價(jià)格逐漸被高估,而被嚴(yán)重高估的股票價(jià)格則使市場(chǎng)具備了爆發(fā)金融危機(jī)的可能性。投資者在面對(duì)可能損失時(shí)會(huì)對(duì)負(fù)向信息沖擊反應(yīng)過(guò)度的特征,則決定了被嚴(yán)重高估的股票價(jià)格容易以極快的速度向其均值收斂,金融危機(jī)由可能性繼而轉(zhuǎn)化為現(xiàn)實(shí)性。股票價(jià)格的非對(duì)稱(chēng)均值回歸特征成為誘發(fā)金融危機(jī)爆發(fā)的關(guān)鍵因素。對(duì)金融危機(jī)形成機(jī)理所做的理論分析和實(shí)證分析,為更有效的應(yīng)對(duì)金融危機(jī)指明了方向:應(yīng)該既做好事前預(yù)防,盡量將金融危機(jī)解決在萌芽階段;又要做好事后調(diào)控,一旦金融危機(jī)爆發(fā)能夠降低危機(jī)對(duì)經(jīng)濟(jì)的危害,減少危機(jī)持續(xù)的時(shí)間。本文具體的章節(jié)安排如下:第1章緒論。對(duì)在當(dāng)前背景下,從股票價(jià)格波動(dòng)的角度研究金融危機(jī)形成機(jī)理的原因、意義進(jìn)行簡(jiǎn)要的陳述,并依據(jù)具體的章節(jié)安排,對(duì)本文的基本內(nèi)容進(jìn)行概述。第2章金融危機(jī)理論及研究綜述。本章以時(shí)間為線索對(duì)大蕭條之后的金融危機(jī)相關(guān)理論進(jìn)行了回顧,從中能夠發(fā)現(xiàn)金融危機(jī)相關(guān)理論的發(fā)展與不同階段金融市場(chǎng)的發(fā)展特點(diǎn)緊密相關(guān)。隨后對(duì)國(guó)內(nèi)、外學(xué)者對(duì)金融危機(jī)進(jìn)行的近期研究進(jìn)行簡(jiǎn)要闡述。第3章對(duì)世界主要金融危機(jī)影響的階段性特征。本章選擇運(yùn)用修正后的CPM模型對(duì)20世界80年代以來(lái)的7次著名金融危機(jī)期間的突變點(diǎn)進(jìn)行了甄別,將樣本期分為幾個(gè)不同的階段,并對(duì)每個(gè)階段內(nèi)股票指數(shù)的變化情況做了初步的定量分析。第4章非對(duì)稱(chēng)均值回歸與金融危機(jī)形成的理論分析。本章首先對(duì)股票價(jià)格的均值回歸相關(guān)研究進(jìn)行了簡(jiǎn)要總結(jié),對(duì)股票價(jià)格均值回歸理論做了更進(jìn)一步的分析。然后在股票價(jià)格均值回歸理論的框架內(nèi)對(duì)金融危機(jī)的形成做了理論闡述。股票價(jià)格被嚴(yán)重高估使市場(chǎng)具備了爆發(fā)金融危機(jī)的可能性,但僅具備可能性并不意味著金融危機(jī)一定會(huì)爆發(fā),只有當(dāng)被嚴(yán)重高估的股票價(jià)格在短時(shí)間內(nèi)迅速向其均值回歸時(shí),金融危機(jī)才會(huì)由可能性轉(zhuǎn)化為現(xiàn)實(shí)性。而在由普通均值回歸演變?yōu)榻鹑谖C(jī)的過(guò)程中,股票價(jià)格的非對(duì)稱(chēng)均值回歸特征發(fā)揮著至關(guān)重要的作用。第5章非對(duì)稱(chēng)均值回歸與金融危機(jī)形成的實(shí)證分析。本章運(yùn)用ANST-GARCH模型對(duì)金融危機(jī)各個(gè)階段內(nèi)的股票指數(shù)變化特征進(jìn)行了具體的實(shí)證分析,實(shí)證結(jié)果表明:在股票指數(shù)發(fā)生大幅下跌的階段,能夠檢驗(yàn)到顯著的非對(duì)稱(chēng)均值回歸特征,此時(shí)股票市場(chǎng)對(duì)負(fù)向信息沖擊存在著過(guò)度反應(yīng);而在樣本期的其他階段,僅能檢驗(yàn)到顯著的均值回歸特征。第6章非對(duì)稱(chēng)均值回歸與金融危機(jī)的沖擊路徑。本章運(yùn)用TAR和MTAR模型對(duì)金融危機(jī)期間各個(gè)階段均值回歸路徑進(jìn)行了具體的實(shí)證分析。在金融危機(jī)的某些階段,股票價(jià)格的均值回歸路徑對(duì)不同方向的信息沖擊有著非對(duì)稱(chēng)的反應(yīng);在股票價(jià)格大幅下跌的階段,股票價(jià)格的均值回歸速度更快,并多以震蕩的方式向其均值回歸。第7章金融危機(jī)的監(jiān)管與調(diào)控行為研究。在前文所做的理論分析和實(shí)證檢驗(yàn)的基礎(chǔ)上,對(duì)金融危機(jī)的形成與股票價(jià)格非對(duì)稱(chēng)均值回歸之間的關(guān)系進(jìn)行了闡述,對(duì)如何更有效預(yù)防金融危機(jī)爆發(fā)以及如何有效緩解金融危機(jī)對(duì)經(jīng)濟(jì)的影響,進(jìn)行理論方面的探討,并提出一些具體的建議。
[Abstract]:With the development of the economy, the financial market plays a more and more important role in the economic development of a country, and the financial market has become the core of the development of modern economy. As an abnormal state of financial market, financial crisis can disrupt the normal operation of financial market, end the prosperity and development of economy, and completely change the economic development state of a country. In order to ensure sustained, healthy and stable development of the economy, we need to further study the reasons for the outbreak of the financial crisis, and take effective measures on this basis to avoid the outbreak of the financial crisis or minimize the possible harm after the outbreak of the crisis. The basic function of financial market is the allocation of social funds, funds to promote the rational flow in both supply and demand, with the development of economy, the market demand more direct financing way to raise the necessary funds, the securities market as the main place of direct financing, to meet growing social direct financing needs at the same time, also accumulate a lot of risk, the impact of stock market price fluctuations on the financial market growing, securities price fluctuation has gradually become the main factors that trigger the financial crisis. As an important part of the stock market, the stock market can be transferred quickly through the stock market. Therefore, this paper chooses the stock price as the specific research object, and analyzes the formation mechanism of the financial crisis from the angle of the stock price fluctuation. The change of stock price has obvious mean regression characteristics, and the stock price deviating from the mean will eventually converge to its mean again. Even if the market is in a special state of financial crisis, the change of stock price will also obey the mean regression process. This paper grasped the characteristics of mean return and grasped the change of stock price, and analyzed the formation of financial crisis in the framework of mean regression theory. The mean regression process of stock price can be divided into two stages: one is the stage that the stock price deviates from its mean value, and the other is the stage that the deviated price is returning to its mean value. Two Similarly, the financial crisis can also be divided into two stages: first, the market has the possibility of breaking out the financial crisis, and the two is the possibility of turning the possibility into reality. When the stock price is seriously overestimated, the market will have the possibility of the outbreak of the crisis. The excess liquidity of the market and the investment behavior of the market participants who pursue higher returns will cause the stock price to gradually deviate from its mean value. The financial crisis is transformed from the possibility to reality when the heavily overvalued stock price is quickly returned to its average value in a short time. When confronted with possible losses, investors will overreact to negative information shocks, and stock prices will also exhibit significant asymmetric mean regressive characteristics. This asymmetric feature determines that severely overvalued stock prices will converge to their means at a very fast speed. The asymmetric mean regression characteristics of stock prices play a vital role in the process of transforming the financial crisis from the possibility to the reality. For a more detailed analysis of the financial crisis formation mechanism, verification of asymmetric mean reversion characteristic in the process induced by the financial crisis, the financial crisis is no longer regarded as an indivisible whole, subsequent analyses are based on the reasonable division of the stage of the financial crisis. In order to solve the traditional event analysis method to divide the stage defects caused by the selection of the modified CPM model of the distribution of stock price changes during the 7 financial crisis since 1980s to identify the point mutations, and on the basis of the corresponding financial crisis is divided into the number of different stages. Each financial crisis includes a period of rising stock prices, a sharp fall in short prices and a period of fluctuating price shocks after the crisis. Based on the phase division, this paper choose the ANST-GARCH model during the financial crisis on the average stock price return characteristics are analyzed, the empirical results show that the sharp decline in the price of short time period, able to detect significant and negative impact of information asymmetry is more sensitive to the mean reversion characteristic, and in the other stage can only test to have significant mean reversion phenomenon, but not to test significant asymmetry. Then, the TAR and MTAR models are selected to make an empirical analysis on the path of the average convergence of the stock prices that have deviated from the average during the financial crisis. The results show that there is a direct relationship between the average stock price return rate and price deviation from the mean level, but whether the stock price is overvalued or undervalued, will not make the mean regression path showing asymmetric features, and in some stage of individual financial crisis is able to test the mean regression path information impact on different directions showing asymmetry phenomenon. In the stage of the outbreak of the financial crisis, stock prices return to their average in a concussion, and the other stages are more slowly to return to their mean. The shortest period of the average mean return period during the financial crisis is the stage of the crisis and the sharp fall in the stock price. Excessive market liquidity and market participants' excessive pursuit of excess earnings make stock prices gradually overvalued, while severely overvalued stock prices make the market have the possibility of financial crisis. When investors face overreaction to negative information shocks when facing possible losses, they decide that the seriously overvalued stock prices tend to converge to their means at a very fast speed, and that the financial crisis can be transformed from possibility to reality. The asymmetric mean value regression of stock price has become the key factor to induce the financial crisis. Theoretical analysis and analysis of the formation mechanism of the financial crisis
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類(lèi)號(hào)】：O212.1;F831.59

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