本文關(guān)鍵詞： 分形理論 Hurst指數(shù) 循環(huán)周期 上市銀行　出處：《安徽財(cái)經(jīng)大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

【摘要】：傳統(tǒng)的資本市場(chǎng)理論都是基于有效市場(chǎng)假定而發(fā)展起來的。然而近幾年發(fā)生的金融危機(jī)和重大金融異�，F(xiàn)象,都不能用有效市場(chǎng)理論去闡釋。為了彌補(bǔ)此理論存在的缺陷,一種新型的理論便應(yīng)用而生-分形理論。在文中,使用了Eviews、Spss和Matlab等分析工具,將上證綜指和深證成指這兩種指數(shù)作為本文的研究對(duì)象,對(duì)其日收益率進(jìn)行實(shí)證檢驗(yàn),選取股市建市時(shí)至2014年5月30日的時(shí)間區(qū)間。最終驗(yàn)證出中國(guó)股市不滿足正態(tài)分布,呈現(xiàn)出顯著的分形特征,并計(jì)算出兩市場(chǎng)的循環(huán)周期,通過擾亂檢驗(yàn)驗(yàn)證了僅僅位于循環(huán)周期內(nèi)的Hurst值才是序列真實(shí)的Hurst值。 在實(shí)證檢驗(yàn)的過程中,發(fā)現(xiàn)上海股票市場(chǎng)比深圳股票市場(chǎng)具有更明顯的“尖峰厚尾”態(tài)勢(shì),前者循環(huán)周期內(nèi)的Hurst值比后者要大,代表前者具有的長(zhǎng)記憶性程度比后者更強(qiáng)；并得出了兩股市的周期長(zhǎng)度,分別為330個(gè)交易日和493個(gè)交易日,表明深圳股票市場(chǎng)長(zhǎng)記憶性的時(shí)間更長(zhǎng)；為了將理論與實(shí)際緊密結(jié)合起來,在分形理論的基礎(chǔ)上對(duì)銀行股的風(fēng)險(xiǎn)度量進(jìn)行了研究。以16家上市銀行的個(gè)股為標(biāo)的,利用Hurst指數(shù)結(jié)合VaR和極差M構(gòu)造出風(fēng)險(xiǎn)綜合評(píng)價(jià)指標(biāo),利用該指標(biāo)對(duì)16只股票的市場(chǎng)風(fēng)險(xiǎn)情況進(jìn)行度量并進(jìn)行風(fēng)險(xiǎn)等級(jí)的排名,得出了我國(guó)16家上市銀行的市場(chǎng)風(fēng)險(xiǎn)大小情況；另外將這16家上市銀行按性質(zhì)不同進(jìn)行了分類,再次進(jìn)行市場(chǎng)風(fēng)險(xiǎn)的綜合度量,實(shí)現(xiàn)了理論與實(shí)際的結(jié)合,為投資者選股提供了一種參考依據(jù)；最后針對(duì)實(shí)證結(jié)果和得出的結(jié)論,站在投資者的角度分別從三個(gè)方面提出了一些對(duì)策建議。
[Abstract]:The traditional capital market theory is based on the efficient market hypothesis. However, the financial crisis and major financial anomalies in recent years can not be explained by the efficient market theory. A new type of theory is then applied to the fractal theory. In this paper, the Shanghai Composite Index and the Shenzhen Composite Index are taken as the research objects by using the tools of EviewsSpss and Matlab, and the daily rate of return is tested empirically. The time interval between the establishment of the stock market and May 30th 2014 is selected. Finally, it is verified that the Chinese stock market does not satisfy the normal distribution, showing significant fractal characteristics, and the cycle cycle of the two markets is calculated. The disturbance test verifies that only the Hurst value located in the cycle cycle is the real Hurst value of the sequence. In the process of empirical test, it is found that Shanghai stock market has a more obvious "peak and thick tail" trend than Shenzhen stock market. The Hurst value in the former cycle is larger than that in the latter, which means that the former has a stronger degree of long memory than the latter. The cycle length of the two stock markets, 330 trading days and 493 trading days, respectively, shows that the Shenzhen stock market has a longer period of long memory; in order to combine theory with practice, On the basis of fractal theory, this paper studies the risk measurement of bank shares. Taking the individual shares of 16 listed banks as the target, a comprehensive risk evaluation index is constructed by using Hurst index combined with VaR and range M. Using this index to measure and rank the market risk of 16 stocks, the market risk of 16 listed banks in China is obtained, and the 16 listed banks are classified according to their nature. Thirdly, the comprehensive measurement of market risk is carried out, and the combination of theory and practice is realized, which provides a reference for investors to choose stocks. Finally, according to the empirical results and conclusions, Standing in the perspective of investors, respectively from three aspects to put forward some countermeasures.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.51

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本文編號(hào)：1515933