【作者】 王俊杰；

【导师】 耿明斋；

【作者基本信息】 河南大学 ， 国民经济学， 2008， 硕士

【摘要】 中国经济已成为全球经济重要部分,是全球经济发展中一道亮丽的风景。然而在当今全球资本市场一体化进程的快速发展的同时,中国股市剧烈,频繁的波动也是众所周知且无可争辩的事实。中国经济由计划经济走向市场经济转轨的特定经济发展背景,以及现代计量经济学研究方法和经验检验的发展和积累为研究中国股市波动性提供了土壤和工具。再者对中国股市进行深刻而又全面地研究又是非常必要的,其中原因一方面是加强和完善中国股市自身建设和发展的需要,另一方面则是与全球金融市场接轨和融合的需要。因此,中国股市波动的统计特征是怎样的?中国股市收益与风险的相关性是怎样的?中国股市是否存在日历效应以及非对称性?中国股市的特点与国外成熟市场的差异等等,这些来源于实践,并且具有理论意义。股票市场的价格含有大量丰富的信息,其主要涉及到股市运行的众多方面,既包括制度因素,也包括经济因素;既包括经济体制因素,也包括股票交易制度;此外还包括上市公司、投资者、中介机构、监管机构之间的相互博弈,这些都是经济学家,金融学家以及众多的机构投资者和小股民关注的重要因素。在对相关金融理论分析的基础之上,本文主要对中国上海股市收益率波动的主要典型事实进行经验研究和检验,试图进一步丰富股市波动行为的研究内涵,探讨中国经济转轨时期股票市场收益率波动的特性,并进一步提出相关政策建议。本文以大量国内外相关文献为依据,以中国上海股市的数据为基础,并以金融计量经济学为主要研究工具,通过采用上海股市上证综指每日收盘价数据为样本,对中国股市收益率的波动性进行理论分析和经验研究。本文还将通过运用计量经济学中ARCH类模型建立金融计量模型对上海股市收益率进行实证分析,进一步揭示我国股票市场波动的特点,其中主要有股票市场有效性和日历效应,风险与收益的相关性,非对称性以及杠杆效应等,通过对上海股市这些方面的实证研究,更加深刻地了解和掌握我国股票发展状况和特征,并以此为我国健全市场监管体制提供理论和实证上的支持,促进我国股市的健康发展,有助于广大股民对股市的了解和提高市场风险意识,并为我国资本市场与全球资本市场和金融体系的快速接轨和融合提供重要的研究资料和参考依据。本文共分为四章。第一章为导论,主要介绍了本文的研究背景和理论实践意义以及文献综述、研究思路。第二章为计量模型原理和样本数据说明,主要介绍ARCH类模型的主要理论和主要形式以及样本数据的说明。第三章为上海股市收益率实证研究,主要包括对样本数据特征的统计检验,市场有效性检验,风险和收益率检验以及波动的非对称性检验。最后一章为研究回顾和展望。更多还原

【Abstract】 China’s economy has become an important part of the global economy, and a beautiful landscape of its development. But in today’s global capital market integration process of the rapid development, the indisputable fact that severe and frequent fluctuations of China’s stock market are well-known. China’s economy from the planned economy to market economy the transition of the specific economic development background, as well as modern econometric methods and the development and test experience accumulated for the study of China’s stock market volatility has provided soil and tools. In addition to China’s stock market to carry out profound and comprehensive study is very necessary, because on the one hand is to strengthen and improve the self-construction of China’s stock market and the needs of the development, on the other hand, with the convergence of global financial markets and integration needs. Therefore what is China’s stock market volatility of the statistical characteristics? What are China’s stock market gains and the related risk? How about China’s stock market calendar effects, as well as the existence of non-symmetry? China’s stock market and the characteristics of the differences in mature markets abroad, and so on, comes from practice, and has theoretical significance.Share prices contains a lot of the rich information, the main operation of the stock market involves many aspects, including both institutional factors, including economic factors, both the economic system, including securities trading system; It also includes listed companies, investors , intermediary institutions, the interaction between the regulatory bodies Game, these are economists, financial experts and a number of institutional investors and small shareholders concerned about the important factors. In the related financial theory on the basis of the analysis in this paper is primarily concerned that stock market in Shanghai volatility yield typical fact that the main empirical research and testing in an attempt to further enrich the behavior of the stock market volatility connotation, during the transition period of China’s economic fluctuations in the stock market yield character, and further relevant policy recommendations.In this paper, a large number of domestic and foreign literature as well as the data of Shanghai stock market, and financial econometrics as the main research tool, and through the use of the Shanghai stock market Shanghai composite index closing price data for the sample of China’s stock market gains fluctuations in the rate of theoretical analysis and empirical research. Through the use of econometric models in the establishment of financial ARCH econometric model yield on the Shanghai Stock Exchange empirical analysis in this paper, further reveal the characteristics of China’s stock market fluctuations, the main ones being the stock market and the effectiveness of the calendar effect, the relevant risks and benefits and non-symmetry, as well as leverage, and so on, through the empirical study on Shanghai stock market , more profound understanding and knowledge of China’s development status and characteristics of the stock as well as the market supervision system in China to provide a sound theoretical and empirical on the support of the promotion the healthy development of China’s stock market, and help the vast numbers of shareholders on the stock market understanding and market risk awareness, as well as China’s capital market with the global capital markets and financial system to provide rapid convergence and integration of important research and reference information. This paper is divided into four chapters. Introduction is the first chapter, the main paper on the research background and theoretical and practical significance of literature review, research ideas. Chapter second for the measurement model principles and sample data show that introduces ARCH models like the main theories and the main form of data and samples of the note. Chapter third of the Shanghai stock market yield empirical research, including data on the characteristics of the statistical sample tests, effectiveness of market testing, risk and yield tests and the volatility of non-symmetry testing. The final chapter is the research review and outlook.更多还原