我国股票市场波动性和宏观经济波动关系研究

华中科技大学硕士学位论文我国股票市场波动性和宏观经济波动关系研究姓名：钟俐申请学位级别：硕士专业：企业管理指导教师：王宗军20040428I40GDP1994112003123119941200312()Matlab6.1Eviews4.0ARCHVAR19983200312IIAbstractStockmarketistheoutcomeofeconomydevelopmentandwhereasstockmarkethasaffectedoneconomy.Financialmarketvolatilityisanimportantinputforinvestmentoptionpricingandfinancialmarketregulation.ButovervolatilitynotonlyseriouslydamagethefunctionsofsecuritiesmarketinpricefindingandresourceallocationbutincreaseMacro-economy’sfragility.Sovolatilityforecastingisanimportanttaskinfinancialmarketsandithasoccupiedtheattentionofacademiciansandpractitionersoverthelasttwodecades.Chinesecapitalmarkethasonlyrecentlydeveloped.Themarketsystemisnotcompletedandscaleoftransactionremainssmall.ButtherationofmarketvaluetoGDPisgraduallyincreasingandtheeffectonnationaleconomyisobvious.Volatilityofmarketalsobecomeshotissuesinfinancebecauseit’sveryimportantforstableeconomygrowthespeciallyforpreventingfinanceriskandensuringhealthdevelopmentoffinancesystem.It’sveryessentialtomakestudiesontherelationshipsbetweenvolatilitycharacteristicofstockmarketandeconomy.Thereisalotofunstableanduncertainfactorseffectingstockmarketbutbecauseofinteractionsbetweenstockmarketwithentityeconomyandentitiesinmarketwithoutsideenvironmentsinlongtermthereisacertaintendencyandrulesinitsprocess.Thestudyisnotonlyanacademicquestionbutalsobecomestheimportantfactorofimpactingdevelopmentofthecapitalmarket.OntherelationshipsofvolatilityandMacro-economy,presentstudiescoveredthreeareastherelationshipsofvolatilityandentityeconomy,stockcirclesandeconomycirclesandvolatilityandmacro-economypolicy.Thepaperisfocusedonthefirstarea.DatathatwechooseisthedailyandmonthlyCompositeindicesofShanghaiSecuritiesExchangeandmonthlymacro-economyparameters(GrossIndustrialProductionOutputPriceIndexMonetarySupplyImportValueExportValueandInterestRate)fromperiodsofJan,1994toDecember.2003.Afterdefiningvolatilityanditsmaincharacteristicsweexaminedthedata’sdescriptivestatisticscharacteristics,thenempiricallyestimatedthevolatilityequationsofChinesestockmarketandmacro-economyIIIbasedontheARCHmodelbyMatlab.6.0andEviews.4.0FurtherwetriedtodefinetherelationshipsbetweentherelationshipsofvolatilitybetweenstockmarketandeconomybyVARmodel.FinallyweaffirmedtheresultsbythedataofShenzhenSecuritiesExchangeComp.SubindexduringMary1998toDecember2003.Analysesonresultsprovidedsomereferencetopolicydecision-makingforhealthydevelopmentofChinesestockmarketandMacro-economyKeywordsStockMarketMacro-economyVolatilityRelationship111.120801990199119921048.13200338329.13GDP19923.93%200337%19912003322.13%199952104720012242114%20031137640%GDP7%1.2VAR1GDP20219941200312ARCHGARCHEGARCH(GARCH)GARCH3VAR()3199832003121.3VAR422.1(Present-valuerelation)tPtPt()11tKkktKtDER∞+=++∑(2-1)DtkRtkttkCAPMRtkEt[1]()()(GDP5)()(GDP)()2.220Ross1976(APT)[2]Chen(1986)[3]ATP()ATPAndreiShleiferRobert(1986)[4]AmarBhide(1993)[5]Harris(1997)[6]HarrisGranger(1981)[7]6(VECM)Chen(1986)Granger(1986)[8]Johansen(1990)[9](VECM)MukherjeeaNaka(1995)[10]RaminTiong(2000)[11]AggarwaRivoli(1989)[12]ChenMak(1992)[13]MaldanadoSaunders(1981)[14]ErrunzaRosenberg(1982)[15]Philppatos(1983)[16]Schwert1989[17]StockandWatson1999[18]stateoftheeconomy2.3()(1995)[19](1994)[20]-(1997)[21]ARCH1995(1995)[22]1993(1997)[23]2002[24]7EGARCH-MEGARCH-MAR-EGARCH-M199612162001928MSEAICSBC(1998)[25](2000)[26]1995GDP(1999)[27](1999)[28]GARCH[29]83ARCHGARCH3.1()()BollerslevEngleNelson(1994)[30]ARCHBate(1995a)[31]1(fattail)Mandelbort(1963)[32]Fama(19631965)[33]2(volatilityclusting)ARCHSV93(leverageeffect)Black(1976)()[34]Black(1976)Christie(1982)[35]Schwert(1989)[36](Asymmetries)4(informationarrival)MandelbortTaylor(1967)[37]Clark(1973)[38]YtY’ZtZt(directprocess)ZtMandelbortTalyor(1967)Clark(1973)3.2ARCHMandelbrot(1963)Bera(1992)[39]MandelbrotEngle(1982)10(AutoRegressiveConditionalHeteroscedasticityARCH)ARCHARCHARCHEngle(1982)[40]EngleKraft(1983)[41]ARCHWeiss(1984)[42]13ARCH90ARCHGARCH(GeneralizedAutoRegressiveConditionalHeteroscedasticity)NARCH(Non-linearAutoRegressiveConditionalHeteroscedasticity)ARCHARCHtARCH3.2.1ARCH()(Engle)[43]1982ARCHytxt(yt)yt=xtte(3-1)tetsst2=w+a2t-1+…+b2t-q(3-2)ab0(i=1…q)(3-1)(3-2)ARCH(q)sttt3.2.2GARCH()sttt11ARCH(q)te(q)1986BollerslevGARCH(pq)[44]teGARCH(pq)(3-1)(3-2)(3-2)stst2=w+∑=qi1iatie-2+∑=pi1jbtjs-2(3-3)p00w0ia0(i=1…q)jb0(j=1…p)GARCH(pq)stGARCH(pq)ARCHstARCH(q)stqGARCH(pq)3.2.3EARCH()Fama(1965)[45]Hagerman(1978)[46]Lau(1990)[47](1)0(2)31GARCHNelson(1992)GARCHEGARCH[48]teEGRACH(pq)(3-2)st12logst2=w+1pj=∑jblog(tjs-2)+1qi=∑{}titiiititigeeass--+--(3-4)Vt-j=tities--EARCHstgstvtg(Vt-j0)(Vt-j0)g(Vt-j0)(Vt-j0)g3.2.4ARCH-MGARCH-MEGARCH-MARCHGARCHEGARCHytytARCH-MGARCH-MEGARCH-M[49](3-1)yt=x’tst2g+te(3-5)g13.3ARCHARCH133.3.1ARCH19941200312(SR)(SH)(SH)(Rt)Rtlog(SHt)-log(SHt-1)120(Rt)3-1199412003123-23-3199412003123-13-2143-33-1(SR)(SH)(R't)(Rt)JB3-1(Rt)(SH)(R't)(SR)120120242624260.0017581273.8270.0001051272.4278830.00365543.08660.001426979.495903440.0022471312.9927.09E-051300.6250.040223466.61770.010090467.71541980.000853217730.0049