【作者】 姜光明；

【导师】 熊大信；

【作者基本信息】 江西财经大学 ， 金融学， 2004， 硕士

【摘要】 证券价格的频繁波动是证券市场的显著特点之一，波动就意味着风险，它一般通过实际收益与期望收益之间的偏离程度来度量。因此准确的计量证券市场风险大小和风险因子的构成，对于制定合理的资产管理策略和风险管理策略有着重要意义。我国证券市场现处于股票市场主导型阶段，在上海和深圳证券交易所交易的1500多个(截止到2003年10月底)证券品种中，89％为股票，6.5％为投资基金，4.5％为债券。国内学者大量的研究也主要集中于股票和基金市场风险定量研究，而对于债券市场风险计量分析实不多见，且大都运用传统的证券市场风险计量方法，即运用统计学上的均值一方差直接度量证券价格的波动，进行风险和收益的效用分析，从而选择投资品种并进行风险管理，这种方法通常只考虑收益的无条件期望和无条件方差而不考虑收益的条件期望和条件方差，因而其忽略了收益之间、风险之间的动态相关性。笔者以为证券价格中确定性的或可预测的变化不构成风险，而不确定或不可预测部分才构成风险。因此本文从交易所债券市场出发，在对上交所国债市场、交易所企业债市场、交易所转债市场、上交所国债回购市场、上海股票市场综合指数日收益率序列分布作了广义误差分布(GED)的假设基础上，深入的探讨了各市场日收益率拟合最优的EGARCH模型的阶数，度量了上交所国债、交易所企业债、交易所转债、上交所国债回购、上海股票市场综合指数日收益率序列经过EGARCH回归后的残差的波动性，并分析和比较了各市场日收益波动性风险特征，接着运用方差-协方差VaR方法度量了各市场日险值大小，最后分别对上交所国债市场、上交所国债回购市场日收益序列和交易所企业债市场、上交所国债回购市场日收益序列进行了引导性关系分析和协整性检验，得到如下结论： (1)就各市场波动性风险特征而言，样本期内上交所国债和交易所企债波动形态基本类似，企业债市场风险要高于国债市场，且两个市场风险呈递增趋势，另外异常波动点呈现周期性变动，但周期不固定，上交所国债市场基本维持在5～9个月出现一次异常波动，而交易所企业债市场巨幅波动周期一般在1.3～1.8年；样本期内交易所转债市场其价格波动率平均来说，高于上交所国债市场和交易所企业债市场，即交易所转债市场风险高于上交所国债和交易所企业债市场风险，且与上证综合指数价格波动率形态基本一致，但其总体市场风险要略低于上海股票市场；样本期沪市国债回购收益波动基本保持平稳，其市场风险略高于交易所转债市场;样本期上交所国债市场日收益率序列、交易所企业债市场日收益率序列、交易所转债市场日收益序列以及上证综指日收益率序列显著存在收益波动的非对称性现象或波动反馈效应。 (2)就各市场有效性而言，样本期交易所债券市场仍未达到弱式有效。 (3)就各市场风险溢价而言，样本期交易所企债市场存在明显正向溢价且高于上海股票市场溢价比例;上交所国债市场存在微弱的风险溢价，表明了上交所国债市场收益率还没有真正成为我国金融市场无风险收益率;而样本期上交所国债回购市场和交易所企业债市场，存在明显的市场负溢价。 (4)广义误差分布(GED)假设前提下得出的vaR估计值在各尾部概率下都被接受，且损失超过vaR的个数都落在置信域内，因此AR(1)一EGARCH书一ED模型对交易所债券市场险值估计是有效的，且样本期交易所债券市场险值估计结果与波动性估计结果基本一致，并得到了交易所债券市场极大险值来源于政策变动。 (5)上交所短期、长期回购与上交所国债收益率和交易所企业债市场收益率呈反向变动关系，而中期回购与上交所国债收益率和交易所企业债市场收益率呈正向变动。 基于以上结论我们提出如下政策建议，证券公司、基金公司以及其他从事资产管理的机构，应该迅速建立起有关债券市场的VaR风险分析和管理模型，对风险进行定量化管理;证券监管当局和政府则应尽量减少政策的频繁变动，以减少债券市场波动:加快债券市场统一化进程，完善转托管机制，减小银行间和交易所两个市场的的套利空间，形成证券市场的基准利率体系，推出更多的债券市场金融创新产品;改革目前的债券市场的发行管理体制，大力培育机构投资者，进行做市商制度的试点。更多还原

【Abstract】 Frequent fluctuation of security price is the most remarkable characteristic, fluctuation means risk, which is measured by the deviation between actual return and expected return, So it is important to measure the risk and the component of risk for designing the reseanable assets management strategy and risk management strategy. Now our security varities listed in Shanghai and Shenzhen security exchange (ended by Oct.2003), thereinto 89 percent is stock, 6.5 percent is fund, and 4.5 percent is bond. A large number of quantitative papers are focused on stock market and fund market.Research papers on bond market is very scarce. Tradional methods and means-variance method are mainly used in choosing investment variety and actualize risk management and so on.These methods usually do not consider the conditional expected return and conditional variance, but the unconditional expected return and unconditional variance.So they ignored the dynamic relation between risk and risk .return and return. The paper support the point of view, that is to say, risk is caused by the undeterministic and unforcastable changes in price ,not the deterministic and forcastable changes. So it started from the exchange bond market. First it supposes that the index return of Shanghai exchange national bond market, corporation bond market,convertible bond market, Shanghai exchange national bond repurchasing market, and Shanghai stock market follow the Generalized Error Distribution(GED). Then it deeply analyzed the residual volatility of each index return series regressed by EGARCH model, compared the price volatility characteristic about each market, and measured the risk using the variance-covariance VaR method. At last the paper made the Granger test and Cointegration test between Shanghai exchange national bond repurchasing market and Shanghai exchange national bond market, also Shanghai exchange national bond repurchasing market and corporation bond market ,then it reached the conclusion as follows:l.As to fluctuation risk of each market, the form of fluctuation of Shanghai exchange national bond market is similar to exchange corporation bond market, and market risk of the latter is higher than the former. The risk of the two markets changes seasonally, but the period is not changeless. The cycle of Shanghai exchange national3bond market keeps five to nine months and corporation bond market is 1.3 years to 1.8 years. To convertible bond market, its market risk is higher than the national bond market and corporation market, and its fluctuation form is similar to Shanghai stock market, but the market risk of convertible bond market is lower than the Shanghai stock market. To the national bond repurchasing market, its market risk keeps stable, and its market risk is a little higher than the convertible market. During the sampling course, the volatility of return series on each market has the asymmetry effect or feed back effect.2.The exchange bond market is not an efficient market.3.The exchange corporation market has obvious positive risk premium, and the premium rate is higher than the Shanghai stock market, Shanghai exchange national bond market has faint market risk premium, but Shanghai exchange national bond repurchasing market and corporation bond market exist obvious negative risk premium.4.In the GED presupposition, the VaR estimation is accepted by the tail probability, and the losing number which exceeds the VaR limited in the test area. So AR(1)-EGARCH-M-GED model is effective to the estimation of exchange bond market, and the VaR estimation result is identical with the volatility estimation. Besides this, the exchange bond market maximum risk roots in the frequent changes in policy .5.Shanghai exchange short and long repurchasing return series change reversly with corporation bond market return series and Shanghai exchange national bond market return series, but medium repurchasing return seriers is consistent with the corporation bond market return series and Shanghai exchange national bond market return serie更多还原