本文選題：股票市場　切入點：外匯市場　出處：《山東大學》2014年碩士論文

【摘要】：作為我國金融市場的重要組成部分,股票市場和外匯市場共同承擔著融通資金、配置資源、分散風險、調(diào)節(jié)經(jīng)濟等重要職能。隨著股權(quán)分置改革和人民幣匯率制度改革的推進,我國的股票市場與外匯市場逐步走上了市場化道路,股票價格指數(shù)與人民幣匯率之間的聯(lián)動關(guān)系也日益密切,對二者之間相關(guān)性的研究也在不斷深入。 基于我國股票市場的特點,將其劃分為四大類：出口型行業(yè)(包括紡織服裝、家電、機械等)、進口型行業(yè)(包括造紙、印刷、石化、鋼鐵等)、外匯負債型行業(yè)(如航空航天業(yè)等)和其他行業(yè)(包括農(nóng)林牧漁業(yè)等),試圖以行業(yè)為單位研究我國股票價格與人民幣匯率間的相依性結(jié)構(gòu)。 本文選取2005年8月至2013年12月的周度數(shù)據(jù)為研究對象,分別進行單位根檢驗、異方差檢驗和自相關(guān)檢驗,結(jié)果顯示經(jīng)過對數(shù)化差分處理后的數(shù)據(jù)不存在單位根,但仍然有異方差和自相關(guān)現(xiàn)象存在。為了消除序列異方差和自相關(guān)對模型的沖擊,本文采用ARMA(p,q)-GARCH(1,1)模型對各組數(shù)據(jù)加以過濾。之后運用時變混合Copula模型的非參數(shù)方法對各個行業(yè)的股票價格指數(shù)與人民幣匯率之間的尾部相依性進行刻畫。 通過實證檢驗發(fā)現(xiàn)：出口型行業(yè)的股票價格指數(shù)與人民幣外匯匯率之間具有明顯的同向波動性,即投資者在這兩個市場上同時獲取極端收益或同時遭受極端損失的可能性比較大。因而投資者進行資產(chǎn)組合時,不適宜同時大量持有這兩種資產(chǎn)。對于進口型行業(yè)和外匯負債型行業(yè)而言,它們的股票價格與外匯匯率之間尾部相依性并不明顯,也就是說它們與外匯匯率同時出現(xiàn)同向極值的概率比較低。因此,投資者可以考慮同時持有一定份額的該類股票和外匯資產(chǎn),即使面對突發(fā)情況,投資者也可以保證收益。此外,政策制定者也可以參照本文的結(jié)論,及時推動政策轉(zhuǎn)變,減少我國股市和匯市可能發(fā)生的劇烈震蕩,保證我國經(jīng)濟平穩(wěn)健康發(fā)展。
[Abstract]:As an important part of China's financial market, stock market and foreign exchange market jointly assume the important functions of financing, allocating resources, dispersing risks, adjusting economy, and so on.With the reform of split share structure and the reform of RMB exchange rate system, China's stock market and foreign exchange market have gradually embarked on a market-oriented path, and the linkage between the stock price index and the RMB exchange rate has become increasingly close.The research on the correlation between the two is also deepening.Based on the characteristics of China's stock market, it is divided into four categories: export industry (including textile and clothing, home appliances, machinery, etc.), import industry (including paper, printing, petrochemical, etc.)Iron and steel industry, foreign exchange liability industry (such as aerospace industry) and other industries (including agriculture, forestry, herding, fishery and so on) try to study the dependence structure between stock price and RMB exchange rate.In this paper, the cycle data from August 2005 to December 2013 are selected as the research objects, and the unit root test, heteroscedasticity test and autocorrelation test are carried out respectively. The results show that there is no unit root in the data after logarithmic difference processing.However, heteroscedasticity and autocorrelation still exist.In order to eliminate the impact of sequence heteroscedasticity and autocorrelation on the model, this paper uses the ARMA-PQQ GARCH1) model to filter the data of each group.Then the non-parametric method of time-varying mixed Copula model is used to describe the tail dependence between stock price index and RMB exchange rate.The empirical results show that the stock price index and the exchange rate of RMB are in the same direction volatility in the export-oriented industry.That is, investors are more likely to gain extreme returns or suffer extreme losses at the same time in both markets.As a result, it is not appropriate for investors to hold large amounts of these two assets at the same time when they are in a portfolio.The tail dependence between stock price and foreign exchange rate is not obvious for the import industry and foreign exchange liability industry, that is to say, the probability that they have the same extreme value at the same time as foreign exchange rate is relatively low.Therefore, investors can consider holding a certain share of such stocks and foreign exchange assets at the same time, even in the face of unexpected situations, investors can also guarantee the return.In addition, the policy makers can also make reference to the conclusion of this paper, promote the policy change in time, reduce the violent fluctuations that may occur in the stock market and foreign exchange market of our country, and ensure the steady and healthy development of our country's economy.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F832.6;F224

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本文編號：1706573