上证综指波动率偏度研究
发布时间：2019-06-08 13:41
【摘要】：经济学领域的实证研究多把经济事件作为自然事件认识,以此认为经济数据服从正态分布。显然如此分析股市指数波动会产生较大谬误,因为诸多的实证研究表明股票指数波动率不服从正态分布,往往呈现正偏或者负偏。尤其是股指携带的市场信息量较大,这使得谬误的影响会更加严重。本文以上证综指波动率偏度为研究对象,首先结合鞅理论分析其阶段性特征,随后在诸多可能影响上证综指波动率的因素中选取证券投资基金交易规模作为主要的解释变量,并做实证分析。第一部分的实证研究结果发现上证综指波动率偏度SK长期不为零,阶段性特征明显。其阶段性的划分基本上与波动周期划分相近,但是难以同步。同时发现,上证综指波动率偏度在不同的历史时期呈现不同的统计特征,差异性较大。但是,随着沪市市场结构的逐渐合理,机制的逐渐健全,上证综指波动率偏度呈现收敛趋势。第二部分的研究结果表明证券投资基金交易规模是影响上证综指变化的主要因素之一,对上证综指波动率偏度有着较大的影响。在沪市股票交易规模的影响下,证券投资基金交易规模依然对上证综指波动率偏度有的较大影响力。而且这种影响在资本市场的传导下被放大数倍作用于上证综指波动率偏度值。
[Abstract]:Most of the empirical studies in the field of economics regard economic events as natural events, so as to think that economic data obey normal distribution. Obviously, there will be a great fallacy in the analysis of stock index volatility, because many empirical studies show that the volatility of stock index does not obey the normal distribution, often showing positive or negative bias. In particular, the stock index carries a large amount of market information, which makes the impact of fallacy more serious. This paper takes the volatility skewness of Shanghai Composite Index as the research object, first analyzes its stage characteristics with martingale theory, and then selects the trading scale of securities investment funds as the main explanatory variable among many factors that may affect the volatility of Shanghai Composite Index. And do empirical analysis. The results of the first part of the empirical study show that the volatility skewness SK of Shanghai Composite Index is not zero for a long time, and the stage characteristics are obvious. The division of stages is basically similar to the division of fluctuation period, but it is difficult to synchronize. At the same time, it is found that the volatility skewness of Shanghai Composite Index presents different statistical characteristics in different historical periods, and the difference is great. However, with the gradual reasonableness of the Shanghai stock market structure and the gradual improvement of the mechanism, the volatility skewness of the Shanghai Composite Index tends to converge. The results of the second part show that the trading scale of securities investment funds is one of the main factors that affect the change of Shanghai Composite Index, and has a great influence on the volatility bias of Shanghai Composite Index. Under the influence of the trading scale of Shanghai stock market, the trading scale of securities investment funds still has a great influence on the volatility bias of Shanghai Composite Index. Moreover, this effect is magnified several times under the transmission of capital market on the volatility skewness of Shanghai Composite Index.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
[Abstract]:Most of the empirical studies in the field of economics regard economic events as natural events, so as to think that economic data obey normal distribution. Obviously, there will be a great fallacy in the analysis of stock index volatility, because many empirical studies show that the volatility of stock index does not obey the normal distribution, often showing positive or negative bias. In particular, the stock index carries a large amount of market information, which makes the impact of fallacy more serious. This paper takes the volatility skewness of Shanghai Composite Index as the research object, first analyzes its stage characteristics with martingale theory, and then selects the trading scale of securities investment funds as the main explanatory variable among many factors that may affect the volatility of Shanghai Composite Index. And do empirical analysis. The results of the first part of the empirical study show that the volatility skewness SK of Shanghai Composite Index is not zero for a long time, and the stage characteristics are obvious. The division of stages is basically similar to the division of fluctuation period, but it is difficult to synchronize. At the same time, it is found that the volatility skewness of Shanghai Composite Index presents different statistical characteristics in different historical periods, and the difference is great. However, with the gradual reasonableness of the Shanghai stock market structure and the gradual improvement of the mechanism, the volatility skewness of the Shanghai Composite Index tends to converge. The results of the second part show that the trading scale of securities investment funds is one of the main factors that affect the change of Shanghai Composite Index, and has a great influence on the volatility bias of Shanghai Composite Index. Under the influence of the trading scale of Shanghai stock market, the trading scale of securities investment funds still has a great influence on the volatility bias of Shanghai Composite Index. Moreover, this effect is magnified several times under the transmission of capital market on the volatility skewness of Shanghai Composite Index.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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