【作者】 梁洪振；

【导师】 姚洪兴；

【作者基本信息】 江苏大学 ， 控制科学与工程， 2023， 博士

【摘要】 中国股票市场在我国经济发展中发挥着十分重要的作用。宏观角度上它是中国经济的晴雨表;中观角度上能够促进资源优化配置,促进区域经济发展、产业融合升级等;微观角度上它的健康运营有利于上市企业完善运营机制、多渠道筹措发展资金。对于投资个体来说有利于投资者方便灵活进行投资,减少了投资时间、地域、方式的限制。股票市场的现代化运营为上市公司与投资个体之间增加了投资匹配的机会。总之,股票市场具有晴雨表、资源优化配置、价值发现等功能。随着经济金融全球一体化的程度不断增强,各国之间以及同一国家不同市场之间的经济联系越来越紧密,金融市场特别是股票市场受经济运行、突发事件等影响产生的联动行为越来越密集。股票市场风险溢出呈现传播快速、破坏性极大的特点,基于市场间联动性的风险传染造成的影响也越来越严重。中国股票市场受到国内外经济环境、疫情防控等因素影响表现出剧烈波动的特点。在我国逐步形成以国内大循环为主体、国内国际双循环相互促进的新发展格局的大背景下,对中国股票市场之间的联动性、风险溢出效应进行深入研究具有重要的意义。本研究利用演化系统分析、随机模型分析、时间序列分析、格兰杰因果关系、复杂网络、分形理论、非线性动力系统等多学科交叉理论,采用定性定量、计算实验和综合集成的研究手段对股票市场联动性、风险溢出、记忆性、周期性等进行建模分析,揭示股票市场的异象和规律,研究中国股票市场风险发展的控制因素。从中观层面分析中国股票市场迄今波动最大的2015年股灾发生前后时变背景下股市风险程度与风险溢出水平;分析刚刚结束但仍影响全球经济与生活的新冠肺炎对中国股票市场的影响,进一步细分不同行业股票在新冠疫情发展的不同阶段风险水平与行业间风险溢出路径;对中国股票市场实行涨跌幅不超过前日收盘价10%以来中国股票市场的周期性与记忆性进行细分研究,探索如何利用股票市场记忆性周期性,降低投资风险、提高投资效率问题。结果表明,中国股票市场在绝大多数情况下表现出长记忆性,创业板指数在不同涨跌幅限制下都表现出较高的记忆性。采用本研究记忆性投资策略,购买深证成指的收益普遍比购买上证指数收益高。本研究共有七章,第一章与第二章是绪论与研究理论基础,第三章到第六章是中国股票市场联动与风险溢出效应具体研究过程。第七章进行了总结与展望。第三章研究中国不同股票市场间以及股票市场不同行业间整体风险度量时变的风险溢出联动效应问题,包括分析风险溢出的方向,以及尾部风险传染效应等。本章的研究使用时变参数TVP-VAR来刻画股票市场之间的联动性及其风险溢出;采用VaR与CVaR两种方法对中国股票市场整体风险进行度量;针对溢出效应具有时变性,采用动态模型框架进行刻画。第四章是在第三章研究中国不同股票市场整体风险度量与基于时变的风险溢出联动效应问题的基础上,继续对基于时变细分行业联动效应与风险溢出路径进一步分析,研究中国股票市场在新冠疫情发生不同阶段细分行业风险溢出的效应以及尾部风险传染问题等。第五章强化联动性个体之间的关系,从网络角度研究中国不同股票市场间以及股票市场不同行业之间联动性及其风险溢出效应问题。以汽车制造行业股票网络为例研究网络指标对股票进行综合评价问题。第六章在从整体、时变、行业、网络角度对中国股票市场进行了全方位、分过程、分行业的研究的基础上,对中国股票市场的全过程规律进行探讨,对股票市场记忆性探究基于CVaR条件约束下的投资组合优化问题。本研究的创新点在于,一是研究视角创新,强化股票市场异质性研究,细化国内股票市场联动性,侧重从国内大循环经济发展角度开展研究;二是研究方法创新,提出中国股票负相关网络即反向联动网络模型,重点研究中国股票市场反向联动关系,利用阈值法得到基于收益率与波动率的中国股票市场复杂网络模型;三是利用R/S分析方法对涨跌幅进行细化分类,提出基于R/S分析法的中国股票市场记忆性投资策略模型,探究降低股市投资风险的规律。四是在应用上进行实践创新,对疫情发生不同阶段不同行业股票风险进行对比分析,追踪股票市场风险溢出路径;从股票市场联动性的风险溢出与风险分散的角度进行控制策略分析。更多还原

【Abstract】 The Chinese stock market plays a very important role in China’s economic development.From a macro perspective,it is a barometer of China’s economy;From a meso perspective,it can promote the optimization of resource allocation,regional economic development,industrial integration and upgrading,etc;From a micro perspective,its healthy operation is beneficial for listed companies to improve their operational mechanisms and raise development funds through multiple channels.For individual investors,it is beneficial for them to facilitate and flexibly invest,reducing restrictions on investment time,geography,and methods.The modern operation of the stock market has increased opportunities for investment matching between listed companies and individual investors.In short,the stock market has functions such as a barometer,resource optimization allocation,and value discovery.With the increasing degree of global economic and financial integration,the economic connections between countries and different markets in the same country are becoming increasingly close.The linkage behavior of financial markets,especially stock markets,influenced by economic operations,emergencies,and other factors is becoming increasingly dense.Risk spillovers in the stock market are characterized by rapid and highly destructive spread,and the impact of risk contagion based on inter market linkage is becoming increasingly severe.The Chinese stock market is characterized by severe fluctuations due to factors such as domestic and international economic environment,epidemic prevention and control,etc.Under the background that China has gradually formed a new development pattern with domestic systemic circulation as the main body and domestic and international double circulation promoting each other,it is of great significance to conduct in-depth research on the linkage and risk spillover effects between China’s stock markets.This study utilizes interdisciplinary theories such as evolutionary system analysis,stochastic model analysis,time series analysis,Granger causality,complex networks,fractal theory,nonlinear dynamical systems,etc.,and uses qualitative and quantitative,computational experiments,and comprehensive research methods to model and analyze stock market linkage,risk spillover,memory,periodicity,etc.,revealing anomalies and laws of the stock market,Study the control factors of risk development in the Chinese stock market.From a mesoscopic perspective,analyze the degree of stock market risk and risk spillover level under the time-varying background before and after the 2015 stock disaster,which has been the most volatile in the Chinese stock market so far;Analyze the impact of COVID-19,which has just ended but still affects the global economy and life,on China’s stock market,and further subdivide the risk levels of stocks in different industries at different stages of the development of COVID-19 and the risk spillover paths between industries;Conduct a detailed study on the periodicity and memory of the Chinese stock market since the implementation of a price increase or decrease of no more than 10%of the previous day’s closing price,and explore how to utilize the memory periodicity of the stock market to reduce investment risks and improve investment efficiency.The results indicate that the Chinese stock market exhibits long-term memory in the vast majority of cases,and the Chi Next Index exhibits high memory under different price limits.Using the memory investment strategy of this study,the returns on purchasing the Shenzhen Composite Index are generally higher than those on purchasing the Shanghai Composite Index.This study consists of 7 chapters.The first and second chapters are the introduction and theoretical basis of the research,while the third to sixth chapters cover the specific research process of linkage and risk spillover effects in the Chinese stock market.Chapter 7 provides a summary and outlook.Chapter 3 studies the time-varying risk spillover linkage effects among different stock markets and industries in China,including analyzing the direction of risk spillover and tail risk contagion effects.The research in this chapter uses the time-varying parameter TVP-VAR to characterize the linkage between stock markets and their risk spillovers;Using VaR and CVaR methods to measure the overall risk of the Chinese stock market;A dynamic model framework is used to characterize the time-varying spillover effects.The fourth chapter is based on the research on the overall risk measurement of different stock markets in China and the linkage effect of risk spillovers based on time variation in the third chapter.It continues to further analyze the linkage effect and risk spillover path of industry segmentation based on time variation,and studies the effect of risk spillovers of industry segmentation and tail risk contagion in China’s stock market at different stages of the COVID-19 epidemic.Chapter 5 strengthens the relationship between individuals with linkage,and studies the linkage and risk spillover effects between different stock markets and industries in China from a network perspective.Taking the stock network of the automotive manufacturing industry as an example,this study investigates the comprehensive evaluation of stocks using network indicators.The sixth chapter discusses the whole process law of China’s stock market and the memory of the stock market.It explores the combinatorial optimization problem based on the constraint of CVaR conditions.The innovation of this research lies in: first,the research perspective is innovative,strengthening the research on the heterogeneity of the stock market,refining the linkage of the domestic stock market,and focusing on the research from the perspective of the development of the domestic systemic circulation economy;The second is the innovation of research methods,proposing the Chinese stock negative correlation network,also known as the reverse linkage network model,with a focus on studying the reverse linkage relationship in the Chinese stock market.The threshold method is used to obtain a complex network model of the Chinese stock market based on returns and volatility;The third is to use the R/S analysis method to refine and classify the fluctuations,and propose a memory investment strategy model for the Chinese stock market based on the R/S analysis method,exploring the laws of reducing investment risks in the stock market.Fourthly,practical innovation should be carried out in application,comparing and analyzing the stock risks in different industries at different stages of the epidemic,and tracking the risk spillover paths in the stock market;Analyze control strategies from the perspective of risk spillover and risk dispersion in the stock market linkage.更多还原