摘要
中国证券市场发展已有三十余年,形成了以沪深主板市场、创业板市场、中小板市场等为主的多样性、多层次的资本市场结构。发展至今,我国证券市场经历过多次剧烈的波动,对市场的健康有序发展造成了不良影响。因此,有必要对资本市场结构的波动特点与风险情况进行全面判断与描述,为政府更有效地监管市场提供依据,同时也将有利于投资者更加客观开展交易活动。文中选取上证综指、深证成指、中小板指、创业板指的日收盘价作为实证样本,通过建立GARCH模型并引入夏普比率的方式分析研究四个股票交易市场的风险特征以及投资绩效。实证结果说明,四个股指变化集聚性异常显著,并呈现非正态与尖峰厚尾等特点。GARCH(1,1)模型对于四个股票指数的波动拟合效果最好,绩效评估结果表明创业板的投资效率最高,而沪深主板市场的投资效率相对较低。
The development of China‘s securities market has been more than 30 years,forming a multi-level capital market structure with the Shanghai and Shenzhen main board market,the GEM market,and the small and medium-sized board market.Up to now,China’s securities market has experienced many violent fluctuations,which has adversely affected the healthy and orderly development of the market.Therefore,it is necessary to comprehensively judge and describe the volatility characteristics and risk conditions of the capital market structure,and provide a basis for the government to monitor the market more effectively,which is conducive to investors to conduct more objective trading activities.The daily closing prices of the Shanghai Composite Index,Shenzhen Stock Exchange Index,SME Board Index and GEM Index are selected in the paper as empirical samples,and the risk characteristics and investment performance of the four stock trading markets are analyzed by establishing a model and introducing the Sharpe Ratio.The empirical results show that the four stock indexes selected in the paper are characterized by abnormal agglomeration and non-normal and peak fat tail.The GARCH(1,1)Model has the best effect on the fluctuation of the four stock indices.The performance evaluation results show that the investment efficiency of the GEM is the highest,while the investment efficiency of the Shanghai and Shenzhen main board markets is relatively low.
作者
范高乐
FAN Gao-le(School of Economics and Finance,Tianshi College,Tianjin 301799,China;School of Economics and Management,Hebei University of Technology,Tianjin 300401,China)
出处
《技术经济与管理研究》
北大核心
2020年第4期112-116,共5页
Journal of Technical Economics & Management
关键词
股票市场
股票指数
股票交易
投资效率
GARCH Model
Stock index
Sharpe Ratio
Risk characteristic
作者简介
范高乐(1987-),女,天津人,博士研究生,研究方向:金融机构与金融市场、证券与期货投资。
