發(fā)布時(shí)間：2018-04-20 12:49

  本文選題：隔夜信息 + 創(chuàng)業(yè)板市場(chǎng)�。� 參考：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：由于股市的交易時(shí)間很短,很多市場(chǎng)信息會(huì)在非交易時(shí)間發(fā)布和傳播.一方面,政府部門和上市公司等為了避免交易時(shí)間發(fā)布信息的過(guò)度反應(yīng),會(huì)選擇非交易時(shí)間來(lái)發(fā)布信息,從而產(chǎn)生隔夜信息；另一方面,在當(dāng)今全球化經(jīng)濟(jì)環(huán)境下,中國(guó)股市與國(guó)際主要資本市場(chǎng)非同步交易,也是隔夜信息產(chǎn)生的來(lái)源之一,這樣就造成了非交易期間累積了大量的隔夜信息。 從上個(gè)世紀(jì)六十年代以來(lái),隨著有效市場(chǎng)假說(shuō)的提出和完善,股票價(jià)格的波動(dòng)一直被認(rèn)為是市場(chǎng)受到外界信息的沖擊而產(chǎn)生的。但是越來(lái)越多的異常波動(dòng)現(xiàn)象在股票市場(chǎng)上不斷出現(xiàn),而且股票價(jià)格在無(wú)信息時(shí)也會(huì)產(chǎn)生異常波動(dòng),這就使得EMH中以外界信息沖擊來(lái)解釋股票價(jià)格波動(dòng)的理論顯得不夠充分。隨著行為金融學(xué)的興起,人們發(fā)現(xiàn)投資者的非理性行為也是導(dǎo)致資產(chǎn)價(jià)格異常波動(dòng)的原因。因此,引起股票價(jià)格的波動(dòng)原因不僅包括外界信息的沖擊,投資者的交易行為也是一個(gè)不可忽視的原因。 因此,本文結(jié)合交易因素,分析隔夜信息對(duì)我國(guó)創(chuàng)業(yè)板市場(chǎng)隔夜收益及日內(nèi)交易期間收益波動(dòng)的影響,并且將之與主板市場(chǎng)對(duì)比。研究表明：(1)在集合競(jìng)價(jià)階段,由于我國(guó)創(chuàng)業(yè)板市場(chǎng)的隔夜收益既受到隔夜信息的影響還受到前一交易日滯后信息的影響,所以相對(duì)于主板市場(chǎng)我國(guó)創(chuàng)業(yè)板市場(chǎng)的隔夜收益波動(dòng)略大。(2)在日內(nèi)交易期間,創(chuàng)業(yè)板市場(chǎng)當(dāng)日的收益波動(dòng)要大于主板市場(chǎng),一是因?yàn)閯?chuàng)業(yè)板市場(chǎng)的當(dāng)日的收益仍然受到隔夜信息的影響,二是因?yàn)閯?chuàng)業(yè)板市場(chǎng)上成交量的波動(dòng)對(duì)創(chuàng)業(yè)板市場(chǎng)當(dāng)日收益的影響大于主板市場(chǎng)上成交量的波動(dòng)對(duì)主板市場(chǎng)當(dāng)日收益的影響。進(jìn)一步使用GARCH模型分析隔夜信息對(duì)創(chuàng)業(yè)板市場(chǎng)日內(nèi)每小時(shí)收益的影響,研究發(fā)現(xiàn)：從創(chuàng)業(yè)板市場(chǎng)交易時(shí)間的第3個(gè)60分鐘開(kāi)始,隔夜信息對(duì)創(chuàng)業(yè)板市場(chǎng)的日內(nèi)收益狀況才沒(méi)有顯著性的影響,也就是說(shuō)創(chuàng)業(yè)板市場(chǎng)的信息傳遞效率較低,隔夜信息隨著交易的進(jìn)行逐步緩慢融入到股票價(jià)格之中,直到開(kāi)盤之后兩個(gè)小時(shí)才反應(yīng)完全。最后,本文將2011年1月4日到2013年12月31日三年的樣本數(shù)據(jù)平均劃分為三份,逐年來(lái)驗(yàn)證隔夜信息對(duì)創(chuàng)業(yè)板市場(chǎng)日內(nèi)收益的影響,發(fā)現(xiàn)每-年的樣本檢測(cè)結(jié)果與三年期的樣本檢測(cè)結(jié)果都不盡相同,但是可以看到創(chuàng)業(yè)板市場(chǎng)的隔夜信息傳遞效率從2011年到2013年呈現(xiàn)出提升的趨勢(shì)。 本文認(rèn)為研究隔夜信息對(duì)創(chuàng)業(yè)板市場(chǎng)的影響是極具現(xiàn)實(shí)意義的。首先,收益率的波動(dòng)特征是國(guó)內(nèi)股票市場(chǎng)的極為關(guān)鍵的一個(gè)特征,這種波動(dòng)特征是許多企業(yè)進(jìn)行投融資決策的重要參考,也是許多投資者研究國(guó)內(nèi)股票市場(chǎng)風(fēng)險(xiǎn)因素、不確定性以及投資者行為模式的重要參考,此外還是我們測(cè)量VAR(Value at Risk風(fēng)險(xiǎn)價(jià)值)的重要參考。本文對(duì)國(guó)內(nèi)創(chuàng)業(yè)板市場(chǎng)和主板市場(chǎng)的隔夜收益、日內(nèi)收益以及日間收益的波動(dòng)性進(jìn)行實(shí)證研究,并對(duì)這種波動(dòng)性特征作了比較分析,有助于明晰創(chuàng)業(yè)板市場(chǎng)的股價(jià)波動(dòng)規(guī)律,進(jìn)而明晰創(chuàng)業(yè)板市場(chǎng)的微觀結(jié)構(gòu)、投資者行為以及股票的定價(jià)問(wèn)題。其次,從宏觀層面來(lái)看,本文對(duì)創(chuàng)業(yè)板市場(chǎng)和主板市場(chǎng)的收益狀況的比較研究有助于減少創(chuàng)業(yè)板市場(chǎng)股票劇烈的股票價(jià)格波動(dòng),有助于提高市場(chǎng)效率以及優(yōu)化市場(chǎng)資源配置,并且對(duì)決策機(jī)構(gòu)制定信息披露制度和完善市場(chǎng)交易結(jié)構(gòu)也會(huì)起到一定的參考作用；從微觀層面來(lái)看,比較分析創(chuàng)業(yè)板市場(chǎng)和主板市場(chǎng)的隔夜收益的波動(dòng)性特征,以及結(jié)合隔夜收益對(duì)創(chuàng)業(yè)板市場(chǎng)的日內(nèi)收益變動(dòng)做出更為有效的預(yù)測(cè),對(duì)于投資者和金融市場(chǎng)的學(xué)術(shù)研究者都具有一定的理論價(jià)值和現(xiàn)實(shí)意義：首先,對(duì)于投資者來(lái)說(shuō),結(jié)合隔夜收益對(duì)股市日內(nèi)走勢(shì)做出預(yù)測(cè),可以幫助投資者做出合理的判斷和投資決策；其次,對(duì)于學(xué)術(shù)研究者來(lái)說(shuō),關(guān)于隔夜收益的研究文獻(xiàn)相對(duì)較少,本文在對(duì)現(xiàn)有的文獻(xiàn)進(jìn)行總結(jié)的基礎(chǔ)上,創(chuàng)新性地比較研究了隔夜收益對(duì)于創(chuàng)業(yè)板市場(chǎng)和主板市場(chǎng)的不同影響,進(jìn)而彌補(bǔ)了國(guó)內(nèi)對(duì)創(chuàng)業(yè)板市場(chǎng)隔夜信息的研究空白。 本文在對(duì)隔夜信息、影響創(chuàng)業(yè)板市場(chǎng)的機(jī)制進(jìn)行研究過(guò)程中具有以下方面的貢獻(xiàn)與創(chuàng)新：(1)股票市場(chǎng)的日收益由隔夜收益與日內(nèi)交易時(shí)段收益一起構(gòu)成,一直以來(lái),眾多的文獻(xiàn)都是借助分析日收益率的波動(dòng)特征來(lái)分析股票價(jià)格的波動(dòng)規(guī)律,并且眾多的文獻(xiàn)實(shí)證研究的樣本數(shù)據(jù)都是來(lái)源于國(guó)內(nèi)主板市場(chǎng)或國(guó)外主要股票市場(chǎng),本文首次借助分析隔夜收益率的波動(dòng)特征來(lái)分析創(chuàng)業(yè)板市場(chǎng)的股票價(jià)格的波動(dòng)規(guī)律,以便進(jìn)一步地了解創(chuàng)業(yè)板市場(chǎng)的微觀結(jié)構(gòu)、投資者行為以及股票的定價(jià)問(wèn)題。(2)目前眾多的文獻(xiàn)要么針對(duì)股票市場(chǎng)的日間變量關(guān)系和日內(nèi)變量關(guān)系作實(shí)證研究,要么針對(duì)股票市場(chǎng)的隔夜變量關(guān)系作實(shí)證研究,并且對(duì)日間變量關(guān)系和日內(nèi)變量關(guān)系的研究遠(yuǎn)遠(yuǎn)超過(guò)對(duì)隔夜變量關(guān)系的研究,本文首次綜合比較分析了主板市場(chǎng)和創(chuàng)業(yè)板市場(chǎng)的日間收益狀況、日內(nèi)收益狀況以及隔夜收益狀況,有利于我們對(duì)國(guó)內(nèi)股票市場(chǎng)的收益變動(dòng)狀況形成一個(gè)完整清晰的印象,有助于我們整體把握國(guó)內(nèi)股票市場(chǎng)的股票價(jià)格的波動(dòng)規(guī)律。(3)不同市場(chǎng)成熟度和制度建設(shè)完善度的股票市場(chǎng)(比如說(shuō)創(chuàng)業(yè)板市場(chǎng)和主板市場(chǎng))的上市公司受市場(chǎng)關(guān)注程度不同,上市公司信息透明度不同,它們的開(kāi)盤價(jià)格(或隔夜收益)對(duì)隔夜信息的揭示效率必然不同,它們的信息融入股票價(jià)格的過(guò)程必然不用,從而它們的交易價(jià)格會(huì)對(duì)隔夜信息會(huì)產(chǎn)生不同的信息反饋。因此,雖然本文的研究重心是隔夜信息對(duì)創(chuàng)業(yè)板市場(chǎng)的影響,但是考慮到創(chuàng)業(yè)板市場(chǎng)和主板市場(chǎng)的市場(chǎng)成熟度和制度建設(shè)完善度不同,本文首次引入主板市場(chǎng)作為參照標(biāo)準(zhǔn),通過(guò)兩個(gè)市場(chǎng)的實(shí)證結(jié)果對(duì)比更加明晰創(chuàng)業(yè)板市場(chǎng)的收益波動(dòng)水平和隔夜信息的傳遞效率。(4)眾所周知,股票市場(chǎng)中的交易過(guò)程就是各種宏微觀的信息不斷融入交易價(jià)格從而引起交易量的變動(dòng),而交易量的變動(dòng)進(jìn)一步又繼續(xù)作為一種信息再次融入下一階段交易價(jià)格的過(guò)程。因此,本文創(chuàng)新性地將成交量的變動(dòng)項(xiàng)引入到GARCH模型的均值方程中,并且不用考慮其他因素的影響,直接引入虛擬變量來(lái)考察隔夜信息對(duì)日內(nèi)收益的沖擊。(5)眾多文獻(xiàn)對(duì)于隔夜信息影響股市的研究都是基于一個(gè)長(zhǎng)期大樣本,本文將2011年1月4日到2013年12月31日三年的樣本數(shù)據(jù)平均劃分為三份,逐年來(lái)驗(yàn)證隔夜信息對(duì)創(chuàng)業(yè)板市場(chǎng)日內(nèi)收益的影響,有助于我們把握隔夜信息作用于創(chuàng)業(yè)板市場(chǎng)的動(dòng)態(tài)特征。
[Abstract]:Because the trading time of the stock market is very short, many market information will be released and disseminated in non trading time. On the one hand, the government departments and listed companies will choose non trading time to publish information in order to avoid the overreaction of the transaction time. On the other hand, in today's globalized economic environment, The non synchronous transaction between the national stock market and the major international capital markets is also one of the sources of the overnight information. Thus, a large amount of overnight information has been accumulated during the non trading period.
Since the 60s of last century, with the improvement of the effective market hypothesis, the fluctuation of the stock price has been thought to be the result of the impact of the outside information. But more and more abnormal fluctuations appear in the stock market, and the stock price will produce abnormal fluctuations when there is no information, which makes it possible. With the rise of behavioral finance, people find that the irrational behavior of investors is also the cause of the abnormal fluctuation of the asset price with the rise of behavioral finance. Therefore, the cause of the fluctuation of the stock price not only covers the impact of the external information, but also the trading behavior of the investors. It is also a reason that can not be ignored.
Therefore, this paper analyzes the effect of overnight information on the overnight earnings and the fluctuation of earnings during the daily transaction in China's GEM market, and compares it with the main board market. The study shows that: (1) in the stage of the rally, the overnight profit of the gem is not only affected by overnight information but also by the previous day. The impact of lag information, so relative to the main board market of China's GEM market is slightly more volatile. (2) during the day of intra day trading, the growth of the gem on the day of volatility is greater than the motherboard market, one is because the growth of the day of the gem is still affected by overnight information, the two is because of the growth of the GEM market. The impact of volatility on the day's earnings of the gem is greater than the impact of volatility on the main board market on the day of the motherboard. Further using the GARCH model to analyze the impact of overnight information on the day's earnings per hour in the GEM market, the study found that the third 60 minutes from the GEM market start, overnight information. There is no significant impact on the daily income of the gem, that is to say, the efficiency of the information transfer in the gem is low, and the overnight information slowly integrates into the stock price with the transaction, until two hours after the opening. Finally, this article will be from January 4, 2011 to three years. The sample data are divided into three copies, which verify the effect of the overnight information on the daily income of the gem. It is found that the results of each year's sample test and the three year sample are not the same. However, it can be seen that the efficiency of the overnight information transfer in the gem is rising from 2011 to 2013.
This paper holds that it is of great practical significance to study the impact of overnight information on the GEM market. First, the volatility of the rate of return is a key feature of the domestic stock market. This volatility is an important reference for many enterprises to make investment and financing decisions, and is also a risk factor for many investors to study the domestic stock market. The important reference of the qualitative and investor behavior patterns is also an important reference for our measurement of the VAR (Value at Risk risk value). This paper makes an empirical study on the overnight earnings of the domestic gem and the main board markets, the intraday returns and the volatility of the daytime income, and makes a comparative analysis of the volatility characteristics. To clarify the fluctuation law of the stock market, and then clarify the micro structure of the gem, investor behavior and the pricing of stock. Secondly, from the macro level, the comparative study on the income of the gem and the main board will help to reduce the volatility of the stock price in the gem stock market, and help to reduce the volatility of the stock price in the GEM market. To improve the market efficiency and optimize the allocation of market resources, it also plays a certain reference role in making information disclosure system and perfecting market transaction structure. From the micro level, it compares and analyzes the volatility characteristics of the overnight earnings of the gem and the main board markets, and the GEM market combined with the overnight earnings. For investors and the academic researchers of the financial market, it has a certain theoretical and practical significance for investors and the academic researchers in the financial market. First, it can help investors to make reasonable judgments and investment decisions with the combination of overnight returns to the stock market, and secondly, for the investors. On the basis of summarizing the existing literature, this paper makes a comparative study of the different effects of overnight earnings on the gem and the main board markets, and then makes up for the gap in the research on the overnight information of the GEM market.
In this paper, this paper has the following contributions and innovations in the study of the mechanism of the impact of the GEM market. (1) the daily income of the stock market is composed of the overnight earnings and the earnings of the intra day trading period. It is the first time to analyze the fluctuation of the stock price in the GEM market by analyzing the fluctuation characteristics of the overnight return rate, so as to further understand the microstructure of the GEM market and the behavior of the investor. And the problem of stock pricing. (2) many of the current literature can either do empirical research on the relationship between day variables and daily variables in the stock market, or make an empirical study on the overnight variable relationship in the stock market, and the study on the relationship between the daily variables and the daily variables is far more than the study of the relationship between the overnight variables. For the first time, the paper makes a comprehensive comparison and analysis of the daytime income of the main board market and the GEM market, the intra day income and the overnight income, which will help us to make a complete and clear impression on the fluctuation of the domestic stock market, and help us to grasp the fluctuation law of the stock price in the domestic stock market. (3) no The listed companies of the stock market (such as the gem and the main board market) have different market concerns, and the information transparency of the listed companies is different. Their opening prices (or overnight earnings) are different in the efficiency of revealing the overnight information, and their information is integrated into the stock price process. Therefore, although the focus of this study is on the impact of overnight information on the GEM market, considering the market maturity of the gem and the main board market, the main board market is introduced as a reference for the first time. According to the standard, through the empirical results of the two markets, the volatility level of the GEM market and the transmission efficiency of the overnight information are clearer. (4) it is well known that the transaction process in the stock market is that various macro and micro information constantly integrates the transaction price and thus causes the change of the transaction volume, and the change of the transaction volume continues to continue. As a process in which information is reintegrated into the next stage of the transaction price, this paper introduces the change term of the volume to the mean equation of the GARCH model, and does not consider the influence of other factors and directly introduces the virtual variable to investigate the impact of the overnight information on the daily income. (5) many documents are for the overnight information shadow. The research on the stock market is based on a long term large sample. This paper divides the sample data of three years from January 4, 2011 to December 31, 2013 to three, to verify the effect of the overnight information on the daily income of the GEM market, which will help us to grasp the dynamic characteristics of the night information on the GEM market.

【學(xué)位授予單位】：西南財(cái)經(jīng)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;F224

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