中國(guó)證券市場(chǎng)波動(dòng)性的微觀(guān)結(jié)構(gòu)研究——基于中小板的高頻數(shù)據(jù)實(shí)證分析.pdf

1、廈門(mén)大學(xué)碩士學(xué)位論文中國(guó)證券市場(chǎng)波動(dòng)性的微觀(guān)結(jié)構(gòu)研究——基于中小板的高頻數(shù)據(jù)實(shí)證分析姓名：霍金榮申請(qǐng)學(xué)位級(jí)別：碩士專(zhuān)業(yè)：數(shù)量經(jīng)濟(jì)學(xué)指導(dǎo)教師：張興國(guó)20080401ABSTRACTSincethebirthofthestockmarket，ithasalwaysbeenplayingauniquerolebotllinresourcesallocationandinformationtransductionThepurposeofthis

2、paperistoprobeintothevolatilitycharacteristicsofChinasecuritiesmarket，especiallythesmallandmediumsizedstockmarkeLSOastooffsetthedeficiencyofourmicrostructurestudiesBasedontheanalysisofbothdomesticandinternationalliteratu

3、re，thispaperstarts謝t11securitiesindexvolatility，andthendoesmicrostructureresearchonChinasecuritiesmarketvolatility，usinghigh—frequencydataofthesmallandmedium—sizedstockmarkeLthatis，thispaperdedicatestoexplorethestatistic

4、alrulesofChina’sStockmarketbytheempiricalanalysisofsecuritiesindexvolatilityThispaperisdividedintofivechaptersChapter1putsforwardthepurposeofthestudy，themethodswewilluseandthesignificance；chapter2isthereviewofrelatedlite

5、rature，includingvolatilitytheory；chapter3introducesthenecessarytheoriesandmodelsofmicrostructureresearchonChinasecuritiesmarket，includingARCHmodelgroup，SVmodelandACDmodel；chapter4isthesecuritiesmarketvolatilityempiricals

6、tudiesusingthe2007semiannualhigh—frequencydataofthesmallandmedium—sizedstockmarket；andchapter5istheconclusionthesuggestionandtheresearchprospectWeanalyzedthemodeofsecuritiesvolatilitywithindayandwithinweekandthen，aGARCHm

7、odelbasedonthesemiannualhighfrequencydataofthesmallandmediumsizedstockmarketisbuilt，researchindicatesthatthesecuritiesvolatilitywithindaypresentsdouble“U”orwecallsay“W”mode；andfromthewithinweekvolatilitymodewecanmakeout，

8、theindexreturnofoursmallandmedium—sizedstockmarketpresentsthecharacteristicofcyclebyday，and‘weekendeffect”exists；theempiricalstudiesusingthe2007semi—annualmgh—frequencydataofthesmallandmedium—sizedstockmarketindicatestha