本文選題：滬港股市 + 聯(lián)動(dòng)效應(yīng)�。� 參考：《南京理工大學(xué)》2014年碩士論文

【摘要】：隨著上海股市的日益國際化和香港股市的日益“內(nèi)地化”,滬港股市間的相互聯(lián)系顯著加強(qiáng)。本文通過構(gòu)建滬港股市資產(chǎn)價(jià)格聯(lián)動(dòng)效應(yīng)檢測模型,度量滬港股市資產(chǎn)價(jià)格聯(lián)動(dòng)效應(yīng)的規(guī)模及程度,為證券市場投資者制定投資決策和股市監(jiān)管部門制定監(jiān)管政策提供理論指導(dǎo)。 目前,資產(chǎn)價(jià)格聯(lián)動(dòng)效應(yīng)檢測模型主要包括未單獨(dú)考慮跳躍的資產(chǎn)價(jià)格聯(lián)動(dòng)效應(yīng)檢測模型和單獨(dú)考慮跳躍的資產(chǎn)價(jià)格聯(lián)動(dòng)效應(yīng)檢測模型兩種類型。在第一類模型中,BEKK-GARCH (Baba-Engle-Kraft-Kroner Generalized AutoRegressive Conditional Heteroskedasticity)模型的準(zhǔn)確性和預(yù)測性能比較好。BN-S (Barndorff-Nielsen-Shephard Model)模型能夠度量單個(gè)資產(chǎn)價(jià)格跳躍效應(yīng),但是其檢測多個(gè)資產(chǎn)價(jià)格的跳躍聯(lián)動(dòng)效應(yīng)的能力比較有限。因此,本文在BN-S模型的基礎(chǔ)上進(jìn)行擴(kuò)展,構(gòu)建基于BN-S的滬港股市資產(chǎn)價(jià)格跳躍聯(lián)動(dòng)效應(yīng)檢測模型,并進(jìn)行實(shí)證研究。 首先,本文構(gòu)建基于BEKK-GARCH的滬港股市資產(chǎn)價(jià)格聯(lián)動(dòng)效應(yīng)檢測應(yīng)用模型,利用2005-2012年滬港股指日頻數(shù)據(jù)進(jìn)行實(shí)證分析。研究發(fā)現(xiàn)滬港股市資產(chǎn)價(jià)格間存在雙向且非對稱的聯(lián)動(dòng)關(guān)系,即上海股市資產(chǎn)價(jià)格波動(dòng)對香港股市的沖擊大于香港股市對上海股市的沖擊。其次,本文構(gòu)建基于BN-S的滬港股市單個(gè)資產(chǎn)價(jià)格跳躍檢測應(yīng)用模型,以2009-2012年滬港股指的5分鐘高頻數(shù)據(jù)為樣本進(jìn)行實(shí)證分析,研究結(jié)果表明,滬港股市資產(chǎn)價(jià)格波動(dòng)過程普遍存在跳躍現(xiàn)象。最后,本文在單個(gè)資產(chǎn)價(jià)格跳躍檢測模型的基礎(chǔ)上,構(gòu)建基于BN-S的滬港股市資產(chǎn)價(jià)格跳躍聯(lián)動(dòng)效應(yīng)檢測模型。研究表明,滬港股市資產(chǎn)價(jià)格存在一定的聯(lián)動(dòng)效應(yīng),并且滬港股市資產(chǎn)價(jià)格存在普遍的聯(lián)合跳躍現(xiàn)象。
[Abstract]:With the increasing internationalization of the Shanghai stock market and the increasingly "inland" of the Hong Kong stock market, the relationship between the Shanghai and Hong Kong stock markets has strengthened significantly.In this paper, the scale and extent of the linkage effect of asset prices in Shanghai and Hong Kong stock markets are measured by constructing a test model of the linkage effect of asset prices in Shanghai and Hong Kong stock markets.It provides theoretical guidance for investors in securities market to make investment decision and supervision policy for stock market supervision.At present, there are two main types of asset price linkage effect detection model, one is the asset price linkage effect detection model without considering the jump alone, and the other is the asset price linkage effect detection model which considers the jump alone.In the first kind of model, the BEKK-GARCH Baba-Engle-Kraft-Kroner Generalized AutoRegressive Conditional Heteroskedasticity-) model has better accuracy and prediction performance. The BN-S Barndorff-Nielsen-Shephard Model can measure the price jump effect of single asset, but its ability to detect the jump linkage effect of multiple asset prices is limited.Therefore, based on the BN-S model, this paper constructs the BN-S based test model of the linkage effect of asset price jump in Shanghai and Hong Kong stock market, and carries on the empirical research.First of all, this paper constructs an applied model based on BEKK-GARCH to detect the linkage effect of asset prices in Shanghai and Hong Kong stock markets, and makes an empirical analysis by using the daily frequency data of Shanghai and Hong Kong stock indexes from 2005 to 2012.The study found that there is a two-way and asymmetric linkage between asset prices in Shanghai and Hong Kong, that is, the impact of asset price fluctuations on the Hong Kong stock market is greater than the impact of Hong Kong stock market on Shanghai stock market.Secondly, this paper constructs an application model of single asset price jump detection based on BN-S in Shanghai and Hong Kong stock market. The empirical analysis is based on the 5-minute high frequency data of Shanghai and Hong Kong stock index in 2009-2012.Shanghai and Hong Kong stock market asset price fluctuation process generally exists jump phenomenon.Finally, on the basis of a single asset price jump detection model, this paper constructs a model based on BN-S to detect the linkage effect of asset price jump in Shanghai and Hong Kong stock markets.The results show that there is a linkage effect in the asset prices of Shanghai and Hong Kong stock markets, and there is a general phenomenon of joint jump in asset prices in Shanghai and Hong Kong stock markets.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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本文編號：1766912