本文選題：重大事件 + 跳躍性�。� 參考：《南京財經大學》2012年碩士論文

【摘要】：股票市場收益率通常是小幅波動的，但是當市場出現重大事件或者異常信息時，在短時間內收益率極有可能會發(fā)生大規(guī)模的運動，產生跳躍性變化，市場波動率也明顯加劇。這對投資者、風險管理部門、政策決策部門都是極為不利的，事態(tài)嚴重的甚至可能導致經濟遭受巨大損失，公司破產，市場萎靡等許多危害。因此研究重大事件對中國股票市場的影響，，對提高金融機構和風險管理部門的風險管理水平，進行及時有效的風險監(jiān)控和防范，對金融監(jiān)管部門相關政策制定等都具有一定的現實指導意義。 既然重大事件突發(fā)會引發(fā)市場劇烈波動，從而導致經濟體受到嚴重創(chuàng)傷，基于此本文針對重大事件對市場影響的研究提出了幾個問題：中國的股票市場中是否存在跳躍現象？存在的跳躍變化點與重大事件的發(fā)生存在怎樣的對應關系？當重大事件發(fā)生的時候，中國股票市場會表現怎樣的跳躍特性和波動特性？ 基于上述問題，本文檢驗了中國股票市場收益率的跳躍性、波動時變性以及長期記憶性三大特性的存在性。同時考慮到了這三大特性的市場擬合模型將更加貼近現實，實用價值將更高。這也克服了現有相關文獻研究的兩大不足：其一，在構建符合中國股票市場的模型時僅僅考慮了三大特性中的跳躍性或者波動性，彌補了對二者的復合特性的研究空缺。其二，針對中國股市市場受重大事件影響的研究，至今仍缺乏對重大事件較為系統的研究。本文就此研究了中國股票市場近十幾年來跳躍變化點與重大事件的對應關系，表明了研究重大事件對市場影響的必要性，同時對近十三年來發(fā)生的重大事件進行分類，主要有政治、政策、經濟及自然災害四類，然后從跳躍后驗概率、跳躍強度、跳躍大小均值等角度研究各類性質重大事件的跳躍特性，分析了重大事件對市場影響的滯后期、跳躍頻率以及跳躍幅度，為了更加全面的反映重大事件對市場波動率的影響，文章引入波動成分探討了各類性質的重大事件對市場波動率的長期與短期持續(xù)時間與影響程度。研究表明不同性質的重大事件影響各異，即使同一性質的重大事件影響程度也差異甚大。這些研究對投資者或投資機構、金融風險管理部門、政策制定者、市場監(jiān)管部而言，可以根據歷史上重大事件的影響程度，來設立相應的機制實現事前預警、事時度量和事后管理，從而把市場風險控制在有效承受的范圍內。
[Abstract]:The stock market returns are usually small fluctuations, but when there are important events or abnormal information, in a short period of time, it is very likely that large scale movement will occur, resulting in jump changes, market volatility is also significantly increased. This is extremely disadvantageous to investors, risk management departments, and policy decision making departments. Serious events may even lead to huge losses to the economy, bankruptcy of companies, weak markets, and many other hazards. Therefore, to study the impact of major events on China's stock market, to improve the risk management level of financial institutions and risk management departments, and to carry out timely and effective risk monitoring and prevention, It has certain practical guiding significance to the relevant policy formulation of the financial supervision department. Since the sudden occurrence of major events can lead to severe market fluctuations, which leads to severe trauma to the economy, this paper puts forward several questions on the study of the impact of major events on the market: is there a jump phenomenon in the stock market of China? What is the relationship between the jumping point of existence and the occurrence of major events? When the major events occur, how will the Chinese stock market performance of the jump and volatility characteristics? Based on the above problems, this paper examines the existence of three characteristics of the Chinese stock market: jump, volatility, and long-term memory. At the same time, considering the three characteristics of the market fitting model will be closer to the reality, practical value will be higher. This also overcomes the two shortcomings of the existing literature. Firstly, in constructing the model which accords with the Chinese stock market, we only consider the jump or volatility of the three characteristics, and make up for the lack of research on the compound characteristics of the two. Second, there is still a lack of systematic research on major events in China's stock market. In this paper, we study the corresponding relationship between the jumping point and the major events in the Chinese stock market in the past ten years, and show the necessity of studying the influence of the major events on the market. At the same time, we classify the major events that have taken place in the past 13 years. There are four main categories: politics, policy, economy and natural disasters. Then the jump characteristics of major events of various nature are studied from the angles of jump posteriori probability, jump intensity, and mean jump size, and the lag period of the influence of major events on the market is analyzed. In order to reflect the influence of major events on market volatility more comprehensively, this paper introduces volatility components to explore the long-term and short-term duration and degree of influence of major events on market volatility. The results show that the influence of major events of different properties is different, even if the influence degree of major events of the same nature is very different. For investors or investment institutions, financial risk management departments, policy makers, and market regulatory departments, these studies can set up appropriate mechanisms for pre-warning based on the extent to which historical events have affected them. Time measurement and ex post management to control market risk within the range of effective exposure.
【學位授予單位】：南京財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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相關期刊論文 前1條

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本文編號：2026924