中国权证市场微观结构研究

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1、中国科学技术大学博士学位论文中国权证市场微观结构研究姓名：卢浩申请学位级别：博士专业：金融工程指导教师：黄运成20100501摘要性和流动性进行预测。根据研究结果，我们有针对性地提出了一些政策建议，通过改革交易机制、设定创设资产规模限制、发展权证新品种等措施，可以在一定程度上减少波动集聚和提升流动性，从而实现权证市场的健康发展。关键词：权证高频数据微观结构流动性波动性ACD模型GARCH模型IIAbstractAwarrantisasecuritythatentitlestheholdertobuystockofacompanythatissuedataspec

2、ifiedpricewithinthecertaintime，it’Soneofthemostpopularfinancialinstrumentsindevelopedsecuritymarket．Asthemarketdeveloping，theresearchonthepricing，riskmanagementandmicrostructureofwarranthasbecomethefocusofresearchers．Marketmicrostructureisaboutresearchonthefeaturesandpatternsoffinanc

3、ialmarket，whichisbecomingthehotspotoffinacialfields．Volatilityandliquidityhavebeenthemostimportantindicatorsofmarketqualityandefficiencyastheyarethemostimportantfeaturesoffinancialmarket．Researchesinthemarketmicrostructurefocusontheprocessesofdiscoveringthetradingpricesandtheoperatin

4、gmechanismsofthetradingprices．Lowfrequencytradingdataisfarfromenoughforthiskindofresearches．Withtherapiddevelopmentofcomputerscience，itmakespossibleforpeopletoexplorethemarketmicrostructurewithhighfrequencydata．Theempiricalresearchesindicatethatthemodelconstructedforvolatilityandliqu

5、idityexhibitssuperiorfeaturesindealingwiththehighfrequencyfinancialdata．／Inthispaper,wefirstintroducethedevelopmentofthewarrantmarketofChinesemainlandandtheapplicationofhighfrequencyfinancialdata，thengiveareviewoftheresearchonthemarketmicrostructure，afterthat，weconductempiricalresear

6、chesforvolatilityandliquidity．Forvolatilityresearch，wefirstintroducethedefinitonandfeaturesofvolatility,thenwiththetimesharinghighfrequencydataof13warrantsofmainlandmarket，webuildtheGARCHmodelbypricereturnseries．Besides，Weanalyzetheasymmetriceffectwith也ecombinationofIGARCHandTGARCHmo

7、del．Forliquidityresearch，wefirsttakeabriefreviewoftherelatedliteratureaboutliquidity．Thenwemtroduceeconometricmodelsusedintheresearchincludingthelinearandnonlinearmodelwithdifferentdistributions．Asaconsequence，thepaperconstructsandanalyzesthedurationof13selectedwarrantsfromChinesemai

8、nlandwarrant