金融市场的异质性效应-统计学专业论文.docxVIP

摘 摘 要 I I 摘 要 金融市场作为我国经济体系中最重要的组成部分之一，长期以来一直担任着我国 经济晴雨表的重要职能。金融市场是否健康有序，直接影响到我国经济能否平稳均衡 发展。因此，对金融市场的研究不仅关系到人们的生活细节，还影响着整个国家经济 的命脉。自从异质市场假说提出以来，国内外学者对金融市场进行了广泛的研究。本 文基于异质市场假说，系统研究我国金融市场的异质效应，指出金融市场的异质效应 不仅来源于市场的微观结构造成的信息不完全，还来源于市场交易者是异质的。本文 首先通过采用低频波动率和已实现波动率分别刻画低频数据和高频数据，首先利用波 动率异质自相关分析，说明我国金融市场中存在着显著的月度效应和季度效应，其次 利用异质主成分分析，提取金融市场异质性效应的主成分；同时，本文发现低频波动 率在解释市场异质效应时有优势并解释其原因，并且具体分析了市场中的交易者的类 型和带来市场异质性效应的异质群体。然后，利用传统的 AR 族模型和 HAR 模型来 说明往期低频波动率和已实现波动率对波动率的影响，利用异质主成分推广 HAR 模 型，得到 HPC 模型，增强了模型的拟合能力和预测能力。最后，根据推广的模型结 果提出相应的政策建议以及说明文章的不足之处。 关键字：金融市场；异质效应；波动率；异质主成分分析；推广的 HAR 模型 金融市场的异质性效应 金融市场的异质性效应 II II Abstract Financial market is one of the most important parts of our country’s economic system, which has served a significant function as a barometer of the economy of our country. A healthy and order financial market will directly lead our country’s economy to a balanced development. Therefore, the research on the financial market is not only related to the people’s life in detail, but also affects the lifeblood of the national economy. Since the heterogeneous market hypothesis was put forward, the domestic and foreign scholars have conducted extensive researches on financial market. In this paper, which is based on the heterogeneous market hypothesis, the heterogeneous effect of the national financial market is researched by the numbers, and the paper points out that the heterogeneous effect of the financial market is caused not only by the incomplete information which comes from the market’s microstructure, but also by the fact that the market traders are heterogeneous. Firstly, using the low volatility and the daily realized volatility respectively to describe the low frequency data and high frequency data and using the volatility of heterogeneous autocorrelation analysis, indicating that the presence of monthly effect and quarterly effect have remarkable effects on the financial market of our country; secondly by using principal component analysis of heterogeneity,