【作者】 敖山；

【导师】 唐守廉；

【作者基本信息】 北京邮电大学 ， 管理科学与工程， 2009， 博士

【摘要】 资本市场是一个具有非线性、不确定性、动态性的复杂巨系统,尤其对于还很不成熟的中国股票市场——这个快速发展的新兴资本市场,其不确定性风险随着中国经济的飞速发展,经济活动的日趋国际化,金融衍生产品的日益多样而大大增加。特别在当前面对百年一遇的全球性金融危机和严峻复杂的国内外经济形势的时刻,其对股票市场的冲击已经不可避免,如何降低这种冲击的影响力是摆在各国资本市场监管者面前的一项重要的任务,其中对市场风险度的有效的管理和控制是其核心和最终的目的。但首先要解决的问题是:如何评价股票市场的风险度;影响市场风险度的因素是什么;这些因素是如何对市场的波动产生影响的;其对市场风险的影响程度如何。这些都是作为市场监管者所需要研究和解决的问题。本文针对上述问题,从实际股票市场波动性风险的直接影响主体出发,依据行为金融学相关理论,采用面向对象的建模思想和理论,对中国股票市场影响因素进行系统的分析阐述,定义了技术趋势投资指数、基本价值投资指数、投资者信心指数和市场成熟度指数等相关影响度指标因子,进而按照不同的投资理念和投资心理,将股票市场的投资者分为基本价值型个人投资者,技术趋势型个人投资者、噪音型个人投资者、稳健型机构投资者和激进型机构投资者。本文认为投资者最终的投资行为都决定于三大要素:投资信心、投资理念、投资资金,由这三大要素最终投资者做出一个具体的投资行为,这也是股票市场波动性风险的直接影响因素。本文基于实验经济学和对相关的人工智能理论进行分析的基础上,运用集成式反向传播神经网络对中国股票市场的不同投资主体进行模拟,训练并建立了符合其行为特征的神经网络子系统,使之从交易方式上基本反映出中国股票市场投资者的特点;依据股票市场风险度评测的模型体系,应用相应的计算机经济仿真技术,建立和市场风险度紧密联系的股票市场价格指数波动仿真环境;最后使用中国股票市场的历史数据对仿真模型进行了市场特征拟合度的评测,在此基础上,对中国股票市场波动性进行了仿真预测和初步的探讨,建立了对股票市场的波动性具有可解释性的仿真模型,其可以作为对市场波动性风险进行短期预测研究的仿真参考依据。本文认为从提供市场流动性及稳定整个市场的角度出发,一个健全的证券市场中需要有不同类型的投资者,不同层次的投资结构,才能构成一个完善正常的资本循环体系,进而形成一个健康的证券生态系统,对于传统的经济学理论我们应该辩证的看待其适用的条件和范围。本文依据相关仿真数据对影响中国股票市场风险度的代表性因素进行仿真分析和理论研究,主要选取与政府调控紧密相关的两个代表性因素(投资者类型和基准利率水平)进行了研究,并得到以下研究结论:1、本文研究认为利率的提升对股票市场的整体上升趋势有一定的抑制作用,使得股票价格水平下移。虽然实际股票市场的反应不一定符合这样的规律,一些学者以此也提出了不同的一些见解,但本文认为传统经济学理论在这方面的理论依据是充分的,分析是合理的。2、本文研究认为利率的提升将会增加股票市场整体的波动性风险。这主要是因为两个方面的因素:利率的提升将会导致短期的股票市场资金流动性加大,导致股票市场波动性风险上升;另一方面,利率的提升将会导致股票市场资金风险偏好类型比例发生变化,基于技术趋势和激进型的投资者比例显著增加,而这种基于风险偏好标准的筛选机制是股票市场波动性加大的主要因素。3、利率的提升对股票市场资金流的波动性有抑制作用,但对股票市场的资金量并没有减少的倾向。说明从一个较长的时期考察,我国利率的调整对股票市场的整体资金流动并没有明显的引导作用,而非市场化利率形成和传导机制;我国投资者和股票市场的不成熟;资金的“路径依赖”和逐利性是我国股票市场的资金量变化对利率调整不敏感的主要因素。4、本文认为发展机构投资者在一定程度上和一定阶段时期可以抑制证券市场的波动和不确定性风险,但要综合而仔细地考量证券市场的发展时期和阶段而区别对待,同时也不能否定个人投资者在证券市场中的积极作用。政府监管者应该通过加强监管和积极引导的方式促使机构投资者运用多种投资方法,形成不同的投资风格和风险组合。5、本文研究认为技术型和噪音型个人投资者的增加都会对中国股票市场的波动性风险产生较大影响,特别是技术型个人投资者的增加,而不是想通常认为的只有噪音型投资者比例的增加会对中国股票市场的波动性风险造成大的影响。这就要求市场监管者有意识的加强个人投资者的基本价值投资理念。但同时也要注意市场的适当的波动性要求,才能保证一定的市场活跃性,真正使得我国股票市场保持稳定而且持续发展。很长的一段时期,经济学的研究方法都被非实验性的理论分析和模型假设所占据,“它更像是天文学或气象学,而不像物理和化学”。2002年诺贝尔经济学奖得主,实验经济学的奠基人——弗农·史密斯(Vernon L.Smith)指出:“大部分经济理论可以被适当的称为“教士的理论”,它被接受(或拒绝)的基础是权威、习惯或对于假设的评价,而不是基于一个严格的可重复的过程。因此可以说,对经济理论的未经过实验的研究工作是不完整的,其结论是缺乏可信度的。”史密斯认为,任何自然科学实验都必须通过人为的设计来再现自然条件,经济学实验也一样须对外部环境进行适当精简,以突出事物的内在联系,找到本质原理。这不仅不会影响其主要客观规律,反而更便于寻找客观规律。本文正是基于实验经济学和传统经济学研究方法和理论对中国股票市场的波动性风险的实验研究和理论探讨。更多还原

【Abstract】 Capital market is a non-linear, uncertainty, dynamic, complex giant system. Especially in China’s stock market, the emerging capital market is still immature. Its uncertainty risk is increasing significantly with the rapid economic development, economic activities become increasingly international, and the increasing diversity of financial derivatives.Especially in the face of the current global financial crisis and the severe economic situation at home and abroad, and its impact on the stock market has been inevitable. How to reduce the influence of this impact is an important task to the capital market regulator of many countries, in which, an effective market risk management and control is of its core and ultimate objective. But first of all the question to resolve is: How to assess the risk of stock market; What are the factors to impact on market risk; How do these factors impact the market iluctuation; and what extent it impact on market risk. All these are questions that market regulators need to study and solve.For above-mentioned problems, this paper starts from the objectives that influence actual stock market directly, and based on behavioral finance theory, the object-oriented thinking, to carry out systematic analysis about the impact factors of China’s stock market. This paper carry out the definition of a investment index of technology trends, the investment index of basic value, investor confidence index, and market maturity index. Which according to the investment philosophy and investment psychology, stock market investors will be divided into the basic values-based individual investors and technology trends-based individual investors, noise-based individual investors, stability institutional investors and radical institutional investors.This paper holds that the investment behavior of investors is the ultimate decision on three main elements: investment confidence, investment philosophy, investment funds. By the three major elements , investors will make a specific investment behavior, this is also the directly impact factors to the fluctuant risk in stock market.Based on experimental economics and artificial intelligence-related theory, this paper makes the use of integrated back-propagation neural network to simulate the investment mains in China stock market, and trains the neural network subsystem in line with the characteristics of their behavior. This paper based on the model of risk evaluation model about stock market, makes use of the corresponding computer simulation technology to establish simulation environment about the stock market fluctuation. In the end, this paper makes use of historical data of Chinese stock market to assess simulation model. On this basis, this paper carried out on simulation forecasting and initial discussion about China’s stock market fluctuation. The simulation model can be used as the simulation reference for short-term prediction of fluctuation risk in stock market.From the view of the provision of market liquidity and stability of the market, this paper holds that: A sound stock market need to have different types of investors, the investment structure at different levels so as to constitute a complete and normal circulation system of capital, thus forming a healthful securities ecosystem. As for the traditional economic theory, we should look at the conditions and scope of its application dialectically. Based on related simulation data, this paper carried out theoretical study and simulation analysis on the represent impact factors of the China’s stock market risk. In this paper, selected two represent factors closely related to the Government regulation (the proportion of investors and the benchmark interest rate level), conducted a study, and the research conclusions are following:1. This paper believes that the enhance of interest rate will inhibit on the upward trend of the overall stock market in a certain degree, and make more lower level of stock prices. Although the actual reaction of the stock market may not comply with such laws, so as some scholars have put forward a number of different views, but this article holds that the traditional economic theory in this area is full of theoretical basis, and analysis is reasonable.2. This paper believes the rise in interest rates will enhance the overall volatility risk of the stock market. This was mainly due to two factors: the rise in interest rates will lead to short-term enhancement of the stock market liquidity, so leading to increased volatility risk of stock market. On the other hand, the rise in interest rates will lead to the ratio changing on the capital type of risk preferences in stock market. The proportion of investors based on the technology trends and the radical-based significant increase. The risk-based screening mechanism is the main factor to increase stock market volatility.3. The rise in interest rates will inhibit the volatility of capital flow in stock market. However, the capital volume in stock market has not reduced tendency. From a longer study period, China’s interest rate adjustments have not played a guiding role on the stock market’s capital liquidity. the Non-market formation and transmission mechanism of interest rate; the immaturity of our investors and the stock market; "Path Dependence "and "Profit-driven" of capital are the main factors that changes in the amount of funding in China’s stock market is not sensitive to interest rate adjustments.4. This paper argues that, for a certain extent and stage, institutional investors can inhibit the development of stock market volatility and uncertainty risk, but comprehensive and carefully considered the differentiation in development stages of the securities market. At the same time, cannot negate the individual investors in the stock market’s positive role. Government regulators should strengthen the supervision and positive way to guide the use of institutional investors to invest in a variety of methods, the formation of different investment styles and portfolio risk.5. This paper holds that technology-based and noise-based individual investors will increase in China’s stock market volatility risk, especially for technology-based individual investors, rather than we generally believed that only noise-based individual investors play a major role to China’s stock market fluctuations. This requires conscious market regulations to strengthen the values-based investment philosophy of individual investors. However, at the same time the market should also pay attention to the appropriate volatility requirements in order to guarantee a certain degree of market activity, to maintain our stock market’s stability and sustainable development.For a long period, the research methods of economics have been taking up by the theory of non-experimental analysis and model assumptions hold, "It is more like astronomy or meteorology, rather than physics and chemistry." 2002 Nobel Laureate in Economics, the founder of experimental economics - Vernon L. Smith pointed out:" the majority of economic theory can be properly referred to as’ priest of the theory ’, it was accepted (or reject) is based on the authority of habit or for the evaluation of assumptions, rather than based on a rigorous, repeatable process. Therefore, it can be said that economic theory has not been the experimental study is not complete, its conclusions is the lack of credibility". Smith believes that any natural experiments must be designed to artificially reproduce the natural conditions. The experimental economics should also be appropriate to streamline the external environment, in order to highlight the intrinsic link of things to find the essence of the principle. This not only will not affect its main objective laws, but more user-friendly search for objective laws. This paper is just based on research methods and theory of experimental economics and traditional economics, to carry out a experimental study and theoretical discussion on China’s stock market volatility risk.更多还原