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基于ARCH类模型的中国股票价格波动研究
时间:2011-03-23 浏览次数:1620次 无忧论文网
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数量经济学
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     波动是股票价格中存在的必然现象,对股价的波动进行系统的研究,有利于控制我国股票市场的过度波动,对保持股票市场的稳定性具有重要的意义。本文分五个部分对股票价格波动进行分析。第一部分先对股票价格波动的概念进行界定,然后分析股票价格波动的机制,最后对我国股票市场价格的现状进行分析。第二部分首先对ARCH类模型在股价波动中的研究现状进行综述,然后介绍ARCH类模型,接着对我国股票市场价格指数进行分阶段研究。第三部分分析影响股票价格波动的宏观因素,该分析从宏观经济因素和宏观经济政策两方面对股票价格的影响进行阐述。第四部分分析影响股票价格波动的微观因素,分析从投资者行为、上市公司、行业、资产重组等因素对股票价格的影响进行说明。第五部分对股票价格过度波动的控制提出几点建议。
    

本文的主要创新包括三点:首先,以199971日(我国证券法在该日正式实施)为分界点对股票市场分阶段建立ARCH类模型,目的是研究重大政策因素是否会对股票价格波动造成影响;其次,对ARCH类模型的实证研究结果进行了系统的比较分析,发现GARCHM模型在我国股票市场价格中的拟合效果较好;最后,对我国股市波动的形成机理以及影响因素进行系统的阐述。
    

研究主要得出了三个结论:第一,证券法的正式实施对我国股市的波动趋势没有特别显著的影响,但对波动的幅度有一定程度的影响;第二,股市中存在明显的杠杆效应;第三,风险机制会对股价波动产生影响。 
    
     [英文摘要]:     

        Volatility is one of the normal phenomena of the stock price. The systematic research of the stock price volatility would benefit the control of Chinese stock market, it would also benefit the stabilization of the stock market. There are five chapters which discuss the cause of the stock price volatility in this paper. The first chapter defines the concept of the stock price volatility at first, then analyses its mechanism, at last, analyses the current condition of the stock price of Chinese stock market. The second chapter summarizes the research results of the application of the ARCH models to the stock price volatility firstly, and then introduces the ARCH models, lastly makes research on the price index of Chinese stock market at different stages. The third and the fourth chapters analyse the macroscopical and the microcosmic factors that affect the stock price volatility, respectively. And the last chapter puts forward some suggestions to the control of the stock price volatility.
        There are three points of innovation in this paper. First, the ARCH models are used to make research in the stock market at different stages,the purpose is to know why the stock price fluctuates frequently. Second, the research results of the ARCH models are systematically analysed, and it is found that GARCH-M model fits for the stock price of Chinese stock market better. Lastly, the mechanism and the impact factors of the stock market volatility are systematically explained in this paper.
       Two points of view are showed in this paper. One is GARCH-M model can interpret the phenomena that appear in the stock price volatility. The other one is the formal execution of Chinese securities law would influence the stock price volatility, to some extent.
         Conclusions can be made from the research result. First, the formal execution of Chinese securities law shows indistinctive impact to the stock price volatility, however, shows distinctive impact to its extent. Second, there exists prominent leverage effect in Chinese stock market. Last, the risk mechanism would influence Chinese stock price volatility.
   
    
        

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