中國證券市場波動性的微觀結(jié)構(gòu)研究——基于中小板的高頻數(shù)據(jù)實證分析.pdf

1、廈門大學碩士學位論文中國證券市場波動性的微觀結(jié)構(gòu)研究——基于中小板的高頻數(shù)據(jù)實證分析姓名：霍金榮申請學位級別：碩士專業(yè)：數(shù)量經(jīng)濟學指導教師：張興國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