【作者】 牛远；

【导师】 杨宝臣；

【作者基本信息】 天津大学 ， 数量经济学， 2008， 硕士

【摘要】 长久以来,基于波动性的研究一直是金融领域定量分析的基础,相应的波动模型也成为近年来的热点研究领域,受到研究学者广泛的关注。本文试图以不同规模市值股票构建的规模股票指数作为研究对象,全面深入的分析不同规模市值股票间的相互关系,探讨不同规模股票指数间波动溢出问题。论文首先介绍国内外关于波动溢出的研究背景,对有效市场假说和行为金融学框架下的规模效应以及波动溢出效应进行相关理论探讨。对刻画金融市场波动的相关模型进行描述,主要包括ARCH、GARCH类模型。其次,本文以巨潮规模系列指数为实证研究对象,应用相关性分析,格兰杰因果检验,面板数据模型,对中国证券市场不同规模指数间的收益波动关联性,价量关系进行探讨。结果显示,中国股票市场不同规模市值股票间的波动存在很强的关联性。规模指数收益率和流动性成正向关系,规模指数前期的交易量和收益率对于当期交易量有较好的预测意义。最后,应用Full-BEKK(1,1)-T模型研究不同市值股票指数间的波动溢出问题,通过模型参数及动态相关系数示意图研究我国股票市场不同市值间波动溢出效应的时变特征,影响效果,揭示不同市值股票在资源配置能力、信息流动等方面的特点和依赖关系,定性和定量的考察中国股票市场的波动溢出现象,结果发现市场整体指数和大盘指数间之间存在显著的波动溢出效应。大盘股股价指数的波动会加大市场整体的波动,市场整体的波动会减少大盘股股价指数的波动。分析认为,我国金融市场中似乎存在着一种适应调节机制,以防止市场因波动过渡而崩溃。更多还原

【Abstract】 Volatility research is the foundation of qualitative analysis in the financial field. Many scholars have put forth great efforts in building and developing mathematical models in order to describe equity’s volatility. This paper analyzes stock index with different sizes of listed companies, and researches the volatility spillover effects between different sized firms’ stock indexes.Firstly, the paper introduces the research background related to spillover effects. The study of size effect is also presented under the framework of EMH and behavior finance. To describe financial market volatility, the paper focuses on some mathematical models, including ARCH and GARCH models.Secondly, the paper chooses the“JuChao Scale”stock index as the research object, using correlation analysis and the granger causality relation test to analyze the relationship between return rate and volatility. The relationship between liquidity and return rate in the stock market is also handled with the panel date regression method. The results illustrate that there is a positive correlation between yield and trading volume, early trading volume and yield can forecast a better sense for the current trading volume.Lastly, based on the Full-BEKK(1,1)-T model, volatility spillover effects among different size firms are examined. The model parameters and dynamic correlation coefficient diagrams can reflect the time-varying characteristics of the volatility spillover effect. They can also reveal different market shares in the allocation of resources and information flow, such as the characteristics and dependencies. The results show that there is a significant volatility spillover effect between the overall market and the large-sized firms. When the security price of large-sized firms increases the volatility of the overall market fluctuations, the overall market will reduce the fluctuations of large-sized firms’ security price. It seems that there is a regulation mechanism in China’s financial market which can help to prevent a major collapse.更多还原