發(fā)布時(shí)間：2018-02-21 06:39

  本文關(guān)鍵詞： 微觀市場(chǎng)結(jié)構(gòu) VPIN 突發(fā)事件 高頻交易　出處：《天津大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來金融市場(chǎng)風(fēng)起云涌,突發(fā)事件和極端情況層出不窮,這給金融市場(chǎng)的穩(wěn)定帶來了極大威脅。與此同時(shí),市場(chǎng)微觀結(jié)構(gòu)理論發(fā)展十分迅速,這為從微觀的角度來研究極端條件下交易者行為提供了可能性。從某種程度上來講,可以說信息是決定交易者行為的主要因素,投資者根據(jù)掌握的信息進(jìn)行投資和交易,掌握信息的準(zhǔn)確性與完整性對(duì)投資所取得的效果有著深刻影響。然而信息的88-不對(duì)稱性導(dǎo)致市場(chǎng)交易雙方的利益失衡,論文以此為基礎(chǔ),對(duì)我國(guó)股票市場(chǎng)信息交易進(jìn)行了動(dòng)態(tài)刻畫,研究了股票信息交易概率在市場(chǎng)突發(fā)條件下的動(dòng)態(tài)變化過程。本文的研究分為以下四個(gè)部分,具體研究?jī)?nèi)容與所得結(jié)論如下:首先,以光大“烏龍指”事件為研究主體,探討了信息交易概率與股票價(jià)格之間的關(guān)系,發(fā)現(xiàn)信息交易概率的增大伴隨著股票的劇烈波動(dòng),雖然VPIN模型不能對(duì)此類非信息事件的發(fā)生做出預(yù)測(cè),但是能夠?qū)善眱r(jià)格趨于平緩進(jìn)行提前判斷。其次,根據(jù)中國(guó)股票市場(chǎng)的交易數(shù)據(jù),探討了VPIN度量值的影響因素,并分別討論了這些因素對(duì)VPIN度量的穩(wěn)健性的影響。結(jié)果表明,在現(xiàn)有條件下對(duì)VPIN的估算具有一定的穩(wěn)健性。再次,研究了VPIN與未來股票價(jià)格波動(dòng)之間的關(guān)系,研究表明,在特定的參數(shù)下VPIN值與未來股票價(jià)格的波動(dòng)表現(xiàn)出較為明顯的正相關(guān)性,這意味著,VPIN值越高,流動(dòng)風(fēng)險(xiǎn)越大,未來股票價(jià)格的不可預(yù)測(cè)性越高。最后,以一般的股票漲停事件為研究對(duì)象,研究了股票漲停前以及漲停期間信息交易概率的統(tǒng)計(jì)特征。研究結(jié)果表明,在股票發(fā)生漲停前,信息交易概率會(huì)在個(gè)別交易日或者連續(xù)幾個(gè)交易日內(nèi)呈現(xiàn)出異常升高的現(xiàn)象,而在漲停期間,VPIN值同樣處于很高的水平,這一研究結(jié)果進(jìn)一步證實(shí)了VPIN對(duì)未來股票價(jià)格的異常波動(dòng)會(huì)起到有效的預(yù)警作用。本文突破性的將VPIN這一模型應(yīng)用于中國(guó)股票市場(chǎng)的微觀結(jié)構(gòu)研究之中,發(fā)現(xiàn)在極端條件下VPIN與股票價(jià)格之間存在著密切關(guān)系,有效利用此模型能夠促進(jìn)投資者的理性行為,同時(shí)也為監(jiān)管者提供了一種有效的風(fēng)險(xiǎn)管理手段。
[Abstract]:In recent years, the financial market is surging, sudden events and extreme situations emerge in endlessly, which has brought great threat to the stability of the financial market. At the same time, the theory of market microstructure has developed very rapidly. This provides the possibility to study the behavior of traders in extreme conditions from a micro perspective. To some extent, information is the main determinant of traders' behavior, and investors invest and trade according to the information they have at their disposal. Mastering the accuracy and completeness of information has a profound impact on the effect of investment. However, the 88-asymmetry of information leads to the imbalance of the interests of both sides of the market. In this paper, the dynamic characteristics of information trading in Chinese stock market are described, and the dynamic process of information trading probability under sudden market conditions is studied. The research in this paper is divided into the following four parts. The specific research contents and conclusions are as follows: first, Based on the "Oolong finger" event of Everbright University, this paper discusses the relationship between the information trading probability and the stock price, and finds that the increase of the information transaction probability is accompanied by the sharp fluctuation of the stock. Although the VPIN model can not predict the occurrence of this kind of non-information event, it can judge the stock price in advance. Secondly, according to the trading data of Chinese stock market, the influencing factors of VPIN measure are discussed. The effects of these factors on the robustness of VPIN metric are discussed respectively. The results show that the estimation of VPIN is robust under existing conditions. Thirdly, the relationship between VPIN and stock price volatility in the future is studied. Under certain parameters, the VPIN value is positively correlated with the future stock price fluctuation, which means that the higher the VPIN value, the greater the liquidity risk and the higher the unpredictability of the future stock price. The statistical characteristics of the information trading probability before and during the stock trading limit are studied with the general stock fluctuation event as the research object. The results show that before the stock price limit occurs, the statistical characteristics of the information trading probability during the stock trading limit are studied. The probability of information trading will show an abnormal rise in individual trading days or several consecutive trading days, and the VPIN value will also be at a very high level during the trading limit. The results of this study further confirm that VPIN will play an effective and early warning role in the future abnormal volatility of stock prices. This paper applies the VPIN model to the study of the microstructure of Chinese stock market. It is found that there is a close relationship between VPIN and stock price under extreme conditions. The effective use of this model can promote the rational behavior of investors and provide an effective risk management method for regulators.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前3條

1 劉慶富;周程遠(yuǎn);張婉寧;;地震災(zāi)難對(duì)中國(guó)股票市場(chǎng)的沖擊效應(yīng)[J];財(cái)經(jīng)問題研究;2011年04期

2 肖華;張國(guó)清;;公共壓力與公司環(huán)境信息披露——基于“松花江事件”的經(jīng)驗(yàn)研究[J];會(huì)計(jì)研究;2008年05期

3 王春峰,董向征,房振明;信息交易概率與中國(guó)股市價(jià)格行為關(guān)系的研究[J];系統(tǒng)工程;2005年02期

相關(guān)博士學(xué)位論文 前1條

1 牟國(guó)華;中國(guó)股市極端事件及交易者行為研究[D];華東理工大學(xué);2011年

相關(guān)碩士學(xué)位論文 前3條

1 劉先偉;國(guó)外突發(fā)事件對(duì)國(guó)內(nèi)股票市場(chǎng)影響研究[D];哈爾濱工業(yè)大學(xué);2012年

2 車宏利;中國(guó)股指期貨市場(chǎng)信息交易概率及其影響研究[D];天津大學(xué);2012年

3 楊振宇;投資者情緒與中國(guó)股票市場(chǎng)收益波動(dòng)研究[D];江西財(cái)經(jīng)大學(xué);2010年

，

本文編號(hào)：1521281