基于市盈率、市净率的上证指数风险度量 （已修改）.doc

TOC \o 1-3 \h \u 22994 摘　要 3 25816 Abstract 4 18762 1引言 5 30423 1.1研究背景和意义 5 23349 1.2相关研究综述 6 11773 1.3本文主要工作 9 8497 1.3.1研究思路和方法 9 863 1.3.2研究的创新点 9 27587 1.4论文的结构安排 10 9027 2中国股市特点及股市风险方法理论局限性 10 27967 2.1中国股市特点 10 31113 2.2股市风险方法理论局限性 11 8927 3方法的建立与应用分析 12 21870 3.1市盈率市净率设定区间，VaR揭示报警点的模型 13 9850 3.1.1VaR指标 13 23516 3.1.2VaR基本模型 13 15638 3.1.3VaR计算 14 30705 3.1.3 VAR校验 16 21505 3.1.4市盈率指标 17 8794 3.1.5市净率指标 17 28319 3.2动态相关系数 17 1810 4结论 19 7265 致 谢 20 32046 [参考文献] 21 摘　要 全球股市都是波动的，但相对于欧美等较为完善的市场，中国股市波动表现出频率更高波动幅度更大的特征。这种频繁大幅的波动给我国经济带来一系列不良的影响。加入世界贸易组织之后，中国股市与全球证券市场的联系日益密切，受外围股市影响也越加明显。如何在国际化的大背景下寻找到适合中国国情的股市风险方法就显得日趋重要。本文首先对导致中国股市波动较大的一些特殊原因进行分析，提出中国股市风险方法应该建立在对中国实际情况的分析基础上。然后利用 VaR 指标、市盈率和市净率指标建立模型，并结合中国股市与国外股市的动态相关情况，开户数情况，货币供应量以及市场人气等对上证指数的下跌风险进行综合分析。文章最后对如何保持股市稳定发展，减少市场的过度波动提出建议。 关键词：VaR；VECH；动态相关系数；纳斯达克中国指数；恒生中国企业指数 Abstract Global stock markets are all fluctuant, but compared to more mature market such as US and Britain, the Chinese market fluctuations often exhibit a greater frequency and higher volatility characteristics. Such high fluctuations may take a series of adverse effects to our county’s economy. After China entry into the WTO, the relationship between Chinese market and the global securities markets will getting more closer and the phenomenon that our market affected by external market will becoming more obvious. So it is very important to find a good stock market risk warning methods that fitted national condition of China On the background of global economic integration. The purpose of this article is to find the Chinese stock market risk measurement and early warning methods on the background of global economic integration. At first, this paper analysis the special reason of Chinas stock market fluctuations, and consider that the Chinese market risk warning methods should be based on the analysis of china’s actual situation. Then author use VaR indicators, PE and PB indicators to establish ea