本文關(guān)鍵詞：我國(guó)股市預(yù)警機(jī)制設(shè)計(jì)的研究　出處：《南京財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 預(yù)警機(jī)制 指標(biāo)體系 閾值 Monetary Crisis程序

【摘要】：由于我國(guó)股票市場(chǎng)在迅速發(fā)展的過(guò)程中仍然存在諸多不足，與成熟市場(chǎng)相比，我國(guó)股市的波動(dòng)性相對(duì)較大。通過(guò)對(duì)股票市場(chǎng)波動(dòng)的辨識(shí)，削弱波動(dòng)性的不良影響，設(shè)計(jì)一套適應(yīng)于我國(guó)股票市場(chǎng)的預(yù)警機(jī)制監(jiān)測(cè)其運(yùn)行顯得十分必要。 國(guó)內(nèi)外學(xué)者針對(duì)股票市場(chǎng)預(yù)警機(jī)制已經(jīng)做出了很多研究，，本文運(yùn)用“信號(hào)法”模型，設(shè)計(jì)了適應(yīng)于我國(guó)股票市場(chǎng)的預(yù)警機(jī)制，該預(yù)警機(jī)制將預(yù)警指標(biāo)分為長(zhǎng)期、中期、短期三個(gè)類(lèi)別，并運(yùn)用統(tǒng)計(jì)上的“3σ”原則確定指標(biāo)閾值，本文把指標(biāo)正常狀態(tài)的安全值域定義為[X-2σ， X+2σ]，每類(lèi)指標(biāo)體系超過(guò)一定數(shù)量的指標(biāo)超過(guò)閾值則視為發(fā)出預(yù)警信號(hào)。當(dāng)長(zhǎng)期預(yù)警指標(biāo)發(fā)出預(yù)警信號(hào)時(shí)，就進(jìn)入對(duì)股市的中期預(yù)警監(jiān)測(cè)階段；當(dāng)中期預(yù)警發(fā)出預(yù)警信號(hào)時(shí)，監(jiān)測(cè)頻率即提高至每日監(jiān)測(cè)。該預(yù)警機(jī)制與傳統(tǒng)的預(yù)警機(jī)制相比較，提高了對(duì)股市的監(jiān)測(cè)頻率，因此能夠更好的提升預(yù)警效率。 為了檢驗(yàn)上述股票市場(chǎng)預(yù)警機(jī)制的可靠性，本文開(kāi)發(fā)了一個(gè)名為“MonetaryCrisis”的應(yīng)用程序，并以我國(guó)股市過(guò)去的表現(xiàn)作為模擬環(huán)境，模擬結(jié)果發(fā)現(xiàn)，Monetary Crisis能夠較好的反映我國(guó)股票市場(chǎng)的危機(jī)程度。這表明，該程序能夠從長(zhǎng)期、中期、短期對(duì)我國(guó)股票市場(chǎng)的運(yùn)行進(jìn)行有效的監(jiān)測(cè)。 在上述研究的基礎(chǔ)上，本文最后從投資及監(jiān)管兩方面提出應(yīng)對(duì)股市危機(jī)的建議。
[Abstract]:There are still many shortcomings in the rapid development of stock market in our country. Compared with the mature market, the volatility of stock market in our country is relatively large. So it is necessary to design a set of early warning mechanism to monitor the operation of stock market. Scholars at home and abroad have done a lot of research on the stock market early warning mechanism. In this paper, the "signal method" model is used to design an early warning mechanism suitable for China's stock market. The early warning mechanism divides the early warning index into three categories: long term, medium term and short term, and uses the statistical "3 蟽" principle to determine the threshold value of the index. In this paper, the safe range of the normal state of the indicator is defined as [X-2 蟽, X2 蟽], each type of index system exceeding a certain number of indicators over the threshold is considered as an early warning signal, when the long-term early warning indicators send out early warning signals. To enter the stage of mid-term early warning and monitoring of the stock market; When the early warning signal is issued, the monitoring frequency is increased to daily monitoring. Compared with the traditional early warning mechanism, the monitoring frequency of the stock market is increased, so it can improve the efficiency of early warning better. In order to test the reliability of the stock market warning mechanism mentioned above, an application called "MonetaryCrisis" is developed in this paper, and the past performance of the stock market in China is taken as the simulation environment. The simulation results show that the Crisis can well reflect the crisis degree of China's stock market. This shows that the program can be used in the long and medium term. Short-term monitoring of the operation of the stock market in China. On the basis of the above research, this paper puts forward some suggestions to deal with the stock market crisis from the aspects of investment and supervision.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F224

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