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The Research Of Nonlinear Model In China's Stock Market And Economic Relevance

Posted on:2012-01-06Degree:MasterType:Thesis
Country:ChinaCandidate:S YuFull Text:PDF
GTID:2219330374453549Subject:Applied Mathematics
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In this paper, the threshold autoregressive model were applied in the stock market. We will definite the actually economic growth rate of rise as the threshold variable, established the nonlinear threshold regression model of return rate, inflation rate and the relationship between them. Aimed at finding out the distribution of stock market prices reasonable explanation, at the first we use the present value of the stock described introduced the theory of the relationship between dividends, stock prices, return, a lasting volatility in the expected returns of stock have a strong impact on stock prices, and compared to the unchanged expected return of stock, the stock prices show stronger instability. We selected the Shanghai Composite Index monthly observations make an empirical analysis, found that the application of ARIMA model can only be used in the mature markets to predict the general trend of the broader market, but can not accurately predict the market's fall or rise, the stock prices fall. Secondly, using Shanghai Composite Index data since 1990 calculated quarterly stock returns, using consumer price index calculated inflation rate, established the asymmetry threshold regression model of stock returns and the actual economic, found that the real economy and stock market returns gains of significant positive correlation, stock returns and the lagged term has significant positive impact on the real economy stock returns, the rise of stock returns will produce greater longevity by enhancing the growth level of real economic. Then use the quarterly GDP which expect the inflation rate calculated the real economic growth, established the non-symmetry threshold regression models of stock returns and inflation, testing the asymmetric relationship between the them and their association. We concluded that:the small-scale change inflation rate have a positive impact on the stock market returns, showing the Fisher effect. When the inflation rate exceeds a certain level to more substantial changes, their associated decreased to 0. The relationship of inflation rate and real return rate is significantly negatively, when inflation rate rise, the interest rise, thus stock prices fell. Our stock price inflation rate has a significant negative influence, and show the direction of apparent asymmetry, inflation rates have increased the stock price will move up the basic level. Showed significant volatility clustering phenomenon associated to a greater increase in its volatility, which is the nature of the volatility of macroeconomic variables are consistent.
Keywords/Search Tags:threshold model, nonlinear model, ARCH model, ARIMA model, inflation
PDF Full Text Request
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