【作者】 张志刚；

【导师】 史永东；

【作者基本信息】 东北财经大学 ， 金融工程， 2011， 硕士

【副题名】基于DCC-MVGARCH模型与非理性行为的视角

【摘要】 股权分置改革以后,股票市场的内部运动发生了明显改变。齐涨齐跌的时代渐渐结束,以同质股票组成板块的交错涨跌成为市场结构运动的主要形式：板块内联动传导与板块间交互引导的板块现象十分突出,且在之后的牛、熊市演变中表现出不同的市场特征。进入后金融危机时期,板块内外的引导关系继续表现,并伴随呈现出新的特点。本文结合股改以后股票市场运行规律分析了板块运动现象,着重对行业板块间的交互引导关系与信息传递进行了实证检验。首先,结合市场特征,对板块运动,特别是板块间的引导做出系统描述。然后,选用万德(Wind)数据库中申银万国一级行业分类指数的日数据做实证检验。经过数据处理,得到平稳序列,并使用Granger方法,分牛、熊、震荡市对各行业指数进行引导检验,发现一些行业板块两两之间的引导关系。接着,文章引入DCC-MVGARCH模型,在整个考察周期里,分析了板块指数波动的交互冲击,并使用Ox Metrics软件计算出行业指数收益率之间的动态相关系数。实证结果发现,在牛市初期和金融危机爆发的熊市开始阶段行业板块间的引导关系最为显著。而在全面牛市和熊市中,板块引导关系不再显著。在金融危机后的震荡市场中,板块的异步交易突出,板块引导再次显著。随后,本文探究了市场信息传导机制,并基于行为金融学中投资者非理性的假设,结合板块运动中迥异的特征,从分析市场参与各方行为的视角探讨了板块运动产生的原因。文章的最后,在解读市场微观结构变化中为提供了若干投资策略,并出于对市场有效性改善的考虑,对我国资本市场市场化改革提出了政策建议。更多还原

【Abstract】 After the reforms of split-share structure, the stock market structure movement form has changed enormously. The time of rise and fall together has been over, the phenomenon of board linkage and The inter-leading between boards are outstanding, And in bull and bear market show different characteristics. In the Post-crisis era, there appeared new features in board movement.Combining with stock market style, this paper research board linkage effect and the impact of the leading relationship between plates after The reforms of split-share structure. First of all, board movement was made a systematic description plate phenomenon with the market characteristics. Secondly, we chose shenyin & wanguo Level 1 industry classification index day income data from wind database and got the smooth series with logarithm processing. Then, this paper points cows, bear, concussion marks sectors guide board index inspection. After Granger causality test, we found some industry board between brought sluggish relationships. Finally, the article introduced DCC-MVGARCH model, using Ox Metrics software analysis in different market environment correlation dynamic features. This paper focuses on the dynamic changes of the leading relationship in bull, bear, concussion market.The empirical study found that, there were significant leading relationship in the initial stage of a bull market and financial crisis of bear market and concussion market, but appeared in Comprehensive bull market. These results can give Investors some methods of management and strategies of investment.Then, this paper explores the market information transmission mechanism. According to the interactive leading relationship of Industry indexes of the different characteristics, this paper analyzed the cause of board movement in view of the irrational investors’premise of behavior finance. In the end of the article, a number of investment strategies are provided in line with the interpretation of the microscopic structure of the market changes. For the market efficiency improvement, this paper gives a lot of forward policy suggestions about China’s capital market marketization reform.更多还原