發(fā)布時(shí)間：2018-01-01 04:40

  本文關(guān)鍵詞：中國(guó)和東盟股市收益的動(dòng)態(tài)相關(guān)性研究　出處：《吉林大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股市收益 動(dòng)態(tài)相關(guān)性 DCC-GARCH

【摘要】：隨著全球化的深入發(fā)展,各國(guó)經(jīng)濟(jì)體間之間的關(guān)系日益,尤其是各國(guó)金融體系聯(lián)系日趨緊密,國(guó)際間股票市場(chǎng)收益的相關(guān)性逐漸增強(qiáng)。2008年,由美國(guó)次貸危機(jī)引發(fā)的全球經(jīng)濟(jì)危機(jī)對(duì)世界各國(guó)經(jīng)濟(jì)都造成巨大沖擊,這次危機(jī)使得更多學(xué)者開(kāi)始關(guān)注和研究本國(guó)內(nèi)股票市場(chǎng)與國(guó)際股票市場(chǎng)的關(guān)系。與此同時(shí),中國(guó)正處于金融體制改革深水區(qū),金融市場(chǎng)逐步開(kāi)放會(huì)促進(jìn)經(jīng)濟(jì)發(fā)展也將帶來(lái)更多風(fēng)險(xiǎn),增加了經(jīng)濟(jì)不穩(wěn)定性。研究中國(guó)與其他經(jīng)濟(jì)體之間股票市場(chǎng)收益的動(dòng)態(tài)相關(guān)性,既有利于規(guī)避國(guó)際金融風(fēng)險(xiǎn),又有利于拓寬我國(guó)企業(yè)投資渠道。本文選取東盟10國(guó)(緬甸、柬埔寨、泰國(guó)、馬來(lái)西亞、新加坡、印度尼西亞、越南、老撾、菲律賓和文萊)作為研究對(duì)象,研究其與中國(guó)股票市場(chǎng)收益率動(dòng)態(tài)相關(guān)性。東盟國(guó)家從地理位置來(lái)看和我國(guó)處于同一區(qū)域,地緣聯(lián)系緊密;從經(jīng)濟(jì)發(fā)展水平和階段來(lái)看,大部分的東盟國(guó)家和我國(guó)一樣都屬于發(fā)展中國(guó)家;從股票市場(chǎng)發(fā)展的歷史來(lái)看,大部分東盟國(guó)家建立股票市場(chǎng)的初衷是為了解決國(guó)有企業(yè)融資困難,促進(jìn)國(guó)內(nèi)民營(yíng)經(jīng)濟(jì)的發(fā)展,股票市場(chǎng)相似的背景使得研究我國(guó)和東盟國(guó)家股票市場(chǎng)收益是否存在動(dòng)態(tài)相關(guān)性具有一定的可能。東盟很多國(guó)家的證券交易所建立的比較早,但是直到20世紀(jì)80年代末期,東盟各國(guó)股票市場(chǎng)的資本量仍然非常有限,股票市場(chǎng)的規(guī)模比較小。隨著該地區(qū)經(jīng)濟(jì)的飛速發(fā)展,尤其是2008年金融危機(jī)之后,在發(fā)達(dá)國(guó)家經(jīng)濟(jì)增速普遍減緩,投資渠道和收益趨于固定的情況下,東盟經(jīng)濟(jì)整體的高增速和日趨完善的金融市場(chǎng)監(jiān)管,使得外國(guó)投資者對(duì)該地區(qū)的投資興趣高漲,同時(shí),經(jīng)濟(jì)不斷增長(zhǎng)反過(guò)來(lái)又帶動(dòng)了東盟各國(guó)股票市場(chǎng)迅速成長(zhǎng)。本文通過(guò)研究中國(guó)與東盟國(guó)家間股票市場(chǎng)收益率的動(dòng)態(tài)相關(guān)關(guān)系,探究中國(guó)股票市場(chǎng)與東盟各國(guó)家股票市場(chǎng)的關(guān)聯(lián)程度,據(jù)此從股票市場(chǎng)反映中國(guó)與東盟各國(guó)間的經(jīng)濟(jì)關(guān)聯(lián)程度。此外,通過(guò)對(duì)股票收益率的研究來(lái)探究在中國(guó)與東盟股票市場(chǎng)上用以獲得更大收益率,有效分散風(fēng)險(xiǎn)的投資策略。本文實(shí)證方法為:首先對(duì)選取數(shù)據(jù)進(jìn)行自相關(guān)、平穩(wěn)性和條件異方差檢驗(yàn)。之后按照DCC-GARCH模型的兩步估計(jì)法,建立GARCH(1,1)模型進(jìn)行參數(shù)估計(jì),第二步用GARCH(1,1)模型估記結(jié)果的標(biāo)準(zhǔn)殘差值估計(jì)變量間動(dòng)態(tài)相關(guān)系數(shù)。本文實(shí)證結(jié)果表明,中國(guó)股票市場(chǎng)收益率與馬來(lái)西亞、新加坡和印度尼西亞在樣本區(qū)間內(nèi)為持續(xù)正相關(guān)關(guān)系,動(dòng)態(tài)相關(guān)系數(shù)平均值絕對(duì)值較大,但波動(dòng)性也較大,這表明中國(guó)與馬來(lái)西亞、新加坡和印度尼西亞股票市場(chǎng)相互影響較大,且收益率同向變動(dòng)。中國(guó)與越南、泰國(guó)和菲律賓市場(chǎng)股票收益率相關(guān)性變動(dòng)較小,大致呈正相關(guān)關(guān)系,相關(guān)系數(shù)在0.1左右,為較弱正相關(guān)關(guān)系。中國(guó)股票市場(chǎng)收益率與新加坡和泰國(guó)的股票市場(chǎng)收益率之間的相關(guān)性明顯高于越南的相關(guān)性,和印度尼西亞以及菲律賓的股票市場(chǎng)收益率之間的正相關(guān)關(guān)系正在逐漸的消失,金融危機(jī)之后,我們國(guó)家股票市場(chǎng)受到的沖擊,顯然比預(yù)想的要更加嚴(yán)重,另外,印度尼西亞、菲律賓的股票市場(chǎng)開(kāi)放程度高,資本得以自由流動(dòng),迅速的從金融危機(jī)的沖擊中恢復(fù)過(guò)來(lái)。東盟各國(guó)股票市場(chǎng)與中國(guó)股票市場(chǎng)相關(guān)關(guān)系總體呈正相關(guān)關(guān)系,不同國(guó)家不同時(shí)間的相關(guān)性又存在多樣化差異。這種多樣化相關(guān)性差異夠給為各國(guó),尤其是中國(guó)投資者提供多樣化投資選擇,使投資者通過(guò)分散投資組合減低投資風(fēng)險(xiǎn),獲得更高投資收益。
[Abstract]:With the further development of globalization, the relationship between national economies increasingly, especially in the financial system of the country increasingly close contact between international stock market revenue increased.2008, U.S. subprime mortgage crisis triggered by the global economic crisis has caused a huge impact on the world economy, this crisis has brought more and more scholars began to pay attention to and study the relationship between the domestic and international stock market. At the same time, Chinese is in the reform of financial system in the deep water area, the gradual opening up of financial markets will promote economic development will also bring more risk and increase economic instability. The dynamic study of the correlation between the Chinese and other economies in stock market returns, which is conducive to circumvent international financial risks it helps to broaden the investment channels for Chinese enterprises. This paper selects 10 ASEAN countries (Burma, Kampuchea, Thailand, Malaysia, singapore, Indonesia, Vietnam, Laos, Philippines and Brunei) as the research object, and study the stock market rate of return Chinese. The dynamic correlation between ASEAN countries geographically and in China in the same region, geopolitical closely; from the level and stage of economic development, most of the ASEAN countries and China are from developing countries; the history of the development of the stock market, most of the ASEAN countries, the establishment of the stock market, the original intention is to solve the financing difficulties of state-owned enterprises, promote the development of the domestic private economy, the stock market is similar to that of the background makes the research of stock market returns in China and ASEAN countries are dynamic correlation has certain possibilities. Many countries of ASEAN's stock exchange established earlier until the end of the 1980s, however, the amount of capital of ASEAN stock market stock market is still very limited. The relatively small scale. With the rapid development of the regional economy, especially in 2008 after the financial crisis, generally the slowdown in economic growth in developed countries, investment channels and income tends to be fixed, the high growth rate of the overall ASEAN Economic and improvement of financial market supervision, so that foreign investors is rising, investment in the region of interest at the same time in turn, economic growth driven by the ASEAN countries stock market grew rapidly. Through the research and Chinese among ASEAN countries stock market returns the dynamic correlation, correlation degree of stock market and the stock market to explore Chinese ASEAN countries, which reflect from the stock market Chinese and ASEAN countries between the degree of Economic Association. In addition, through study on stock returns to explore in the China with ASEAN on the stock market to obtain greater returns, effectively spread the risk of investment Strategy. In this paper the empirical methods are: firstly, selecting data autocorrelation, stationarity and conditional heteroskedasticity test. Then according to the DCC-GARCH model of two step estimation, the establishment of GARCH (1,1) model for parameter estimation, the second step GARCH (1,1) model to estimate the residual difference estimation results on standard variables of dynamic correlation coefficient. The empirical results show that the stock market returns China rate and Malaysia, Singapore and Indonesia continued positive correlation in the sample interval, the dynamic correlation coefficient of average absolute value is larger, but the volatility is larger, which indicates that the Chinese and Malaysia, Singapore and Indonesia stock market are affected, and the yield change in the same direction. China with Vietnam, Thailand and Philippines stock market rate of return correlation varies less, generally positively correlated relationship, the correlation coefficient is about 0.1, as a weak positive correlation. Return Chinese stock market rate and a correlation between Singapore and Thailand stock market yields significantly higher than Vietnam's correlation and positive relationship between the Indonesia and Philippines stock market return rate is gradually disappear after the financial crisis, our country stock market impact, obviously more serious than expected, in addition, Indonesia, Philippines's stock market opening degree is high, capital can flow freely, quickly recover from the financial crisis. The relationship between ASEAN countries stock market and China stock market overall positive correlation, correlation between different countries and different time difference. The relationship between diversification diversification to enough for all countries, especially China provide investors with diversified investment options, making investors through portfolio diversification to reduce investment risk To gain higher investment returns.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F831.51

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