發(fā)布時(shí)間：2018-06-16 13:54

  本文選題：重大事件 + 跳躍性��； 參考：《南京財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：股票市場(chǎng)收益率通常是小幅波動(dòng)的，但是當(dāng)市場(chǎng)出現(xiàn)重大事件或者異常信息時(shí)，在短時(shí)間內(nèi)收益率極有可能會(huì)發(fā)生大規(guī)模的運(yùn)動(dòng)，產(chǎn)生跳躍性變化，市場(chǎng)波動(dòng)率也明顯加劇。這對(duì)投資者、風(fēng)險(xiǎn)管理部門(mén)、政策決策部門(mén)都是極為不利的，事態(tài)嚴(yán)重的甚至可能導(dǎo)致經(jīng)濟(jì)遭受巨大損失，公司破產(chǎn)，市場(chǎng)萎靡等許多危害。因此研究重大事件對(duì)中國(guó)股票市場(chǎng)的影響，，對(duì)提高金融機(jī)構(gòu)和風(fēng)險(xiǎn)管理部門(mén)的風(fēng)險(xiǎn)管理水平，進(jìn)行及時(shí)有效的風(fēng)險(xiǎn)監(jiān)控和防范，對(duì)金融監(jiān)管部門(mén)相關(guān)政策制定等都具有一定的現(xiàn)實(shí)指導(dǎo)意義。 既然重大事件突發(fā)會(huì)引發(fā)市場(chǎng)劇烈波動(dòng)，從而導(dǎo)致經(jīng)濟(jì)體受到嚴(yán)重創(chuàng)傷，基于此本文針對(duì)重大事件對(duì)市場(chǎng)影響的研究提出了幾個(gè)問(wèn)題：中國(guó)的股票市場(chǎng)中是否存在跳躍現(xiàn)象？存在的跳躍變化點(diǎn)與重大事件的發(fā)生存在怎樣的對(duì)應(yīng)關(guān)系？當(dāng)重大事件發(fā)生的時(shí)候，中國(guó)股票市場(chǎng)會(huì)表現(xiàn)怎樣的跳躍特性和波動(dòng)特性？ 基于上述問(wèn)題，本文檢驗(yàn)了中國(guó)股票市場(chǎng)收益率的跳躍性、波動(dòng)時(shí)變性以及長(zhǎng)期記憶性三大特性的存在性。同時(shí)考慮到了這三大特性的市場(chǎng)擬合模型將更加貼近現(xiàn)實(shí)，實(shí)用價(jià)值將更高。這也克服了現(xiàn)有相關(guān)文獻(xiàn)研究的兩大不足：其一，在構(gòu)建符合中國(guó)股票市場(chǎng)的模型時(shí)僅僅考慮了三大特性中的跳躍性或者波動(dòng)性，彌補(bǔ)了對(duì)二者的復(fù)合特性的研究空缺。其二，針對(duì)中國(guó)股市市場(chǎng)受重大事件影響的研究，至今仍缺乏對(duì)重大事件較為系統(tǒng)的研究。本文就此研究了中國(guó)股票市場(chǎng)近十幾年來(lái)跳躍變化點(diǎn)與重大事件的對(duì)應(yīng)關(guān)系，表明了研究重大事件對(duì)市場(chǎng)影響的必要性，同時(shí)對(duì)近十三年來(lái)發(fā)生的重大事件進(jìn)行分類(lèi)，主要有政治、政策、經(jīng)濟(jì)及自然災(zāi)害四類(lèi)，然后從跳躍后驗(yàn)概率、跳躍強(qiáng)度、跳躍大小均值等角度研究各類(lèi)性質(zhì)重大事件的跳躍特性，分析了重大事件對(duì)市場(chǎng)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(duì)市場(chǎng)波動(dòng)率的影響，文章引入波動(dòng)成分探討了各類(lèi)性質(zhì)的重大事件對(duì)市場(chǎng)波動(dòng)率的長(zhǎng)期與短期持續(xù)時(shí)間與影響程度。研究表明不同性質(zhì)的重大事件影響各異，即使同一性質(zhì)的重大事件影響程度也差異甚大。這些研究對(duì)投資者或投資機(jī)構(gòu)、金融風(fēng)險(xiǎn)管理部門(mén)、政策制定者、市場(chǎng)監(jiān)管部而言，可以根據(jù)歷史上重大事件的影響程度，來(lái)設(shè)立相應(yīng)的機(jī)制實(shí)現(xiàn)事前預(yù)警、事時(shí)度量和事后管理，從而把市場(chǎng)風(fēng)險(xiǎn)控制在有效承受的范圍內(nèi)。
[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(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 魏玉根;政策干預(yù)上海股市行為的統(tǒng)計(jì)分析[J];統(tǒng)計(jì)研究;2001年02期

本文編號(hào)：2026924