【作者】 杨帆；

【导师】 郭万山；

【作者基本信息】 辽宁大学 ， 数量经济学， 2011， 硕士

【摘要】 中国股市从诞生到成熟已经过20年的发展历程,20年来我国股市始终保持着较高的波动水平,不仅加大了股市的系统风险,而且一定程度上影响了正常的金融秩序。我国股市波动通常呈现出高、低波动状态交替出现的特点,表现为股市波动的机制转换行为。因此,研究我国股市波动的机制转换行为及其影响因素对于分析和把握股市波动特征,平抑股市剧烈波动,促进股市健康发展具有重要意义。本文选用TAR模型、MSA模型和SWARCH模型这三种基本的机制转换模型就我国股市波动的机制转换行为展开分析。首先,本文将我国股市波动情况与世界主要股指进行了比较,并分析了我国股市波动的特征。其次,通过介绍TAR模型、MSA模型和SWARCH模型这三种基本的机制转换模型对他们的基本原理、假设条件等方面在理论上进行了比较,说明了这些模型各自的优缺点以及适用性。最后,将这三种模型用于上证综指的周收益率的研究中,利用实证结果从收益率和方差两个层面对股市进行分析并认为:收益率自身存在一种自我修正机制;收益率和方差之间也存在一种相互适应的关系;MSA模型的状态转换体现的是短期因素的影响,而SWARCH模型的状态转换体现的是长期因素的影响,并据此分析了影响我国股市波动机制转换行为的长、短期因素。综合上述结论,文章对平抑股市剧烈波动提出对策建议。更多还原

【Abstract】 It has been 20 years since the Chinese stock market was born, and the Chinese stock market has been keeping a high volatility level for these 20 years. It doesn’t only augment the stock market’s system risk, but also disturbs the normal financial order to some degree. Our stock market’s volatility usually shows the high volatility state and the low volatility state emerging alternately, that is the regime switching of stock market’s volatility. Therefore, studying the regime switching of our stock market’s volatility and the switching factors has its own significance for analyzing the character of our stock market’s volatility, weakening the violent stock market’s volatility and promoting our stock market’s healthy development.We apply TAR model, MSA model and SWARCH model, these three basic regime switching models, to the research about the regime switching of our stock market’s volatility. Firstly, we put our stock market’s volatility and main stock market indexes into contrast and point the character of our stock market’s volatility. Secondly, we introduce TAR model, MSA model and SWARCH model, and by theoretically comparing these three basic regime switching models on basic principle, hypothesis and other aspects, we analyze the merits and drawbacks, also the applicability of each model. At last, applying these three models to the analysis of the weekly returns of shanghai composite index, with respect of the returns and the variance, we get the positive results which show that: the returns itself has a self-correcting regime; there is a reciprocal adaptation relationship between the returns and the variance; MSA model embodies the effect of short term factors while the SWARCH model embodies the effect of long term factors, and on such a base, we analyze the long and short term factors that affect the regime switching of our stock mark’s volatility. With all the results above, we put forward some advice on how to weaken our stock market’s violent volatility.更多还原