本文選題：微觀結(jié)構(gòu) + 證券市場　； 參考：《北京交通大學(xué)》2012年博士論文

【摘要】：資本市場作為現(xiàn)代金融的核心,推動著中國經(jīng)濟的持續(xù)快速增長。中國證券市場經(jīng)歷了20年發(fā)展,其成熟程度及有效性事關(guān)資本市場運行的效率,能影響到整個宏觀經(jīng)濟的發(fā)展。傳統(tǒng)的有效市場理論一般認(rèn)為市場有效性越強,收益越趨近隨機游走,可預(yù)測性就越差,所以可預(yù)測性可以作為有效性的外在表現(xiàn)。同時可預(yù)測性作為市場的一個顯性的特征,其本身的相關(guān)研究也日趨受到學(xué)界的關(guān)注。目前我國對市場預(yù)測性的研究缺乏科學(xué)系統(tǒng)化。研究我國市場可預(yù)測性,能在關(guān)注市場有效性的同時也能進一步挖掘市場預(yù)測本身所包涵的經(jīng)濟意義。本文基于證券市場微觀結(jié)構(gòu)理論研究,主要考察證券市場微觀結(jié)構(gòu)對證券市場可預(yù)測性的影響。本文的研究有助于人們理解通過改進證券交易制度,完善信息披露制度等措施可以優(yōu)化證券市場微觀結(jié)構(gòu),提高我國證券市場運行效率,為我國證券市場交易體系的完善和我國證券市場的長遠(yuǎn)發(fā)展提供依據(jù)。 從證券市場微觀結(jié)構(gòu)理論的角度出發(fā),本文的研究主要包括以下三個方面的內(nèi)容：(1)選取設(shè)立漲跌幅限制和實施開放式集合競價機制這兩個正好貫穿中國證券市場成立20年的事件,采用兩種多元方差比法對交易機制與市場預(yù)測性進行實證研究,結(jié)果表明漲跌幅限制的設(shè)立在短期可能提高了市場的有效性,使得收益不可預(yù)測；開放式集合競價的實施并沒有改善市場有效性,甚至提高了市場收益預(yù)測性。交易機制對市場預(yù)測性產(chǎn)生了不可忽視的影響。(2)運用LSB模型對上證指數(shù)和萬科A的信息成本大小進行度量,結(jié)果顯示萬科A的信息成本遠(yuǎn)低于上證指數(shù)。然后運用BP神經(jīng)網(wǎng)絡(luò)模型對它們的每分鐘收益率分別進行模擬建立網(wǎng)絡(luò),進而預(yù)測一段時間的收益率,用預(yù)測結(jié)果與真實收益率進行比較,發(fā)現(xiàn)萬科A的預(yù)測效果遠(yuǎn)好于上證指數(shù)。市場信息的不對稱可能提高了市場可預(yù)測性。(3)采用GARCH模型來研究中國股票市場的流動性對價格波動的影響,沿用設(shè)置漲跌幅限制前后和實施開放式集合競價機制前后的滬深市場A股收益為樣本,結(jié)果表明,弱流動性指標(biāo)有助于解釋波動,流動性與可預(yù)測性呈負(fù)相關(guān)。流動性也扮演了一個影響市場預(yù)測性的角色。圖60幅,表39個,參考文獻169篇。
[Abstract]:As the core of modern finance, capital market promotes the sustained and rapid growth of Chinese economy.China's securities market has experienced 20 years of development, and its maturity and effectiveness have a bearing on the efficiency of the operation of the capital market, and can affect the development of the whole macro economy.The traditional efficient market theory generally holds that the stronger the market efficiency, the closer the return to random walk, the worse the predictability, so predictability can be taken as the external performance of efficiency.At the same time, predictability, as a dominant feature of the market, has attracted more and more attention.At present, the research on market predictability in China is lack of scientific systematization.The study of market predictability in China can not only pay attention to the market efficiency but also further explore the economic significance of the market forecast itself.Based on the theory of microstructure of securities market, this paper mainly studies the influence of microstructure on predictability of securities market.The research in this paper is helpful for people to understand that by improving the securities trading system and perfecting the information disclosure system, we can optimize the microstructure of the securities market and improve the efficiency of the securities market in our country.It provides the basis for the perfection of the trading system of China's securities market and the long-term development of our country's securities market.From the perspective of the microscopic structure theory of the securities market,The research in this paper mainly includes the following three aspects: 1) selecting the two events of setting up the limit of increase and decline and implementing the open collective bidding mechanism, which run through the 20 years of the establishment of China's securities market.The empirical study on transaction mechanism and market predictability by using two multivariate variance ratio methods shows that the establishment of price limit may improve the effectiveness of the market in the short term and make the return unpredictable.The implementation of open collective bidding has not improved the market effectiveness, and even improved the predictability of market returns.The transaction mechanism has an important influence on market predictability. (2) the LSB model is used to measure the information cost of Shanghai Stock Exchange Index and Vanke A. The results show that the information cost of Vanke A is much lower than that of Shanghai Stock Exchange.Then the BP neural network model is used to simulate and set up the network to predict the rate of return for a period of time, and the results are compared with the real rate of return.It is found that the prediction effect of Vanke A is much better than that of Shanghai Stock Exchange.The asymmetry of market information may improve the predictability of the market.) the GARCH model is used to study the effect of liquidity on price volatility in Chinese stock market.The results show that weak liquidity index is helpful to explain volatility and liquidity is negatively correlated with predictability.Liquidity also plays a role in influencing market predictability.There are 60 pictures, 39 tables and 169 references.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【引證文獻】

相關(guān)碩士學(xué)位論文 前1條

1 湯志堅;基于改進Black-Litterman模型的證券資產(chǎn)配置研究[D];大連理工大學(xué);2013年

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本文編號：1742531