發(fā)布時(shí)間：2018-01-01 05:38

  本文關(guān)鍵詞：中美股市動(dòng)態(tài)相關(guān)性及驅(qū)動(dòng)因素分析　出處：《南京財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 中美股市 相關(guān)性 GARCH-BEKK模型 VAR模型

【摘要】：隨著世界經(jīng)濟(jì)一體化和金融全球化趨勢(shì)的越來(lái)越強(qiáng),以及互聯(lián)網(wǎng)信息技術(shù)的不斷發(fā)展,國(guó)際上主要股票市場(chǎng)經(jīng)常呈現(xiàn)出同漲同跌的現(xiàn)象。世界上主要股票市場(chǎng)之間的聯(lián)動(dòng)性不斷加強(qiáng),對(duì)股票市場(chǎng)之間相關(guān)性的研究不僅對(duì)投資者在風(fēng)險(xiǎn)分散、判斷股票市場(chǎng)走勢(shì)及資產(chǎn)定價(jià)方面等具有重要的參考價(jià)值,而且對(duì)政府當(dāng)局規(guī)避由于外部金融危機(jī)風(fēng)險(xiǎn)給本國(guó)股票市場(chǎng)帶來(lái)的波動(dòng)和為實(shí)現(xiàn)本國(guó)金融市場(chǎng)的穩(wěn)定性而進(jìn)行有效的市場(chǎng)監(jiān)管也具體十分重要的政策意義。隨著中國(guó)對(duì)外貿(mào)易經(jīng)濟(jì)的發(fā)展和一系列股市制度市場(chǎng)化改革的實(shí)施,中國(guó)股票市場(chǎng)與世界主要發(fā)達(dá)股票市場(chǎng)之間的聯(lián)系越來(lái)越緊密,特別是在美國(guó)次貸危機(jī)后,中美股票市場(chǎng)之間的相關(guān)性呈現(xiàn)出新的特征。本文在回顧國(guó)內(nèi)外股市之間的聯(lián)動(dòng)性理論和實(shí)證研究文獻(xiàn)的基礎(chǔ)上,對(duì)股市之間聯(lián)動(dòng)性的內(nèi)在機(jī)理和傳導(dǎo)渠道進(jìn)行了系統(tǒng)的規(guī)范分析,理論上將股票市場(chǎng)之間相關(guān)性的傳播途徑歸納為進(jìn)出口貿(mào)易、外商直接投資、投資者心理預(yù)期和市場(chǎng)之間傳導(dǎo)四個(gè)方面,然后從這四個(gè)方面分析了股票市場(chǎng)之間相關(guān)性的國(guó)內(nèi)外影響因素。接著以2002年到2013年滬深300指數(shù)和美國(guó)道瓊斯指數(shù)的收益率為研究對(duì)象,首先以EGARCI模型考察中美股市的波動(dòng)性特征并從中得到中美股市的條件波動(dòng)率,進(jìn)而運(yùn)用多元GARCH-BEKK模型計(jì)算出中國(guó)與美國(guó)股市的動(dòng)態(tài)相關(guān)系數(shù),并從實(shí)體經(jīng)濟(jì)因素、金融因素、宏微觀因素和極端事件因素來(lái)分析動(dòng)態(tài)相關(guān)系數(shù)變化的原因。在此基礎(chǔ)上,將以上因素相關(guān)的經(jīng)濟(jì)變量與動(dòng)態(tài)相關(guān)系數(shù)建立向量自回歸模型并進(jìn)行脈沖響應(yīng)和方差分解分析,以探討兩國(guó)宏微觀經(jīng)濟(jì)因素對(duì)動(dòng)態(tài)相關(guān)系數(shù)的影響,得到的結(jié)論是：滬深股市作為新興的股票市場(chǎng),其波動(dòng)特征與美國(guó)股市一樣,呈現(xiàn)出波動(dòng)的集群性、持續(xù)性和非對(duì)稱性的特點(diǎn)；在整個(gè)樣本區(qū)間內(nèi)的大部分時(shí)間段,滬深300指數(shù)的條件波動(dòng)率大于道瓊斯指數(shù)的條件波動(dòng)率。在影響中美股市動(dòng)態(tài)相關(guān)性的中國(guó)因素中,長(zhǎng)期來(lái)看,外商直接投資因素對(duì)中美股市相關(guān)性有負(fù)向影響,外貿(mào)依存度和中國(guó)貨幣供應(yīng)量的變動(dòng)對(duì)股市相關(guān)性有正向影響。中國(guó)股市波動(dòng)率是影響股市相關(guān)性的主要解釋變量,對(duì)股市動(dòng)態(tài)相關(guān)系數(shù)的沖擊較大；在影響中美股市動(dòng)態(tài)相關(guān)性的美國(guó)因素中,長(zhǎng)期內(nèi)美國(guó)貨幣供應(yīng)量和聯(lián)邦基金利率的變動(dòng)對(duì)股市相關(guān)性有正向影響,美國(guó)貨幣供應(yīng)量的變動(dòng)是影響股市相關(guān)性的主要解釋變量,對(duì)股市動(dòng)態(tài)相關(guān)系數(shù)的沖擊較大。最后本文依據(jù)實(shí)證結(jié)論分別提出防范內(nèi)部和外在風(fēng)險(xiǎn)的相關(guān)政策建議。
[Abstract]:With the increasing trend of the world economic integration and financial globalization, as well as the continuous development of Internet information technology. The international main stock market often presents the phenomenon of rising and falling. The linkage between the main stock markets in the world is constantly strengthened. The research on the correlation between the stock markets not only distributes the risk to investors. Judging the trend of stock market and asset pricing has important reference value. It is also of great policy significance for the government to avoid the volatility of the domestic stock market due to the risk of the external financial crisis and to carry out effective market supervision in order to realize the stability of the domestic financial market. The development of China's foreign trade economy and the implementation of a series of market-oriented reforms of the stock market system. The relationship between China's stock market and the major developed stock markets in the world is getting closer and closer, especially after the subprime mortgage crisis in the United States. The correlation between Chinese and American stock markets shows new characteristics. This paper reviews the domestic and foreign stock market linkage theory and empirical research on the basis of literature. The internal mechanism and transmission channel of the linkage between the stock market are analyzed systematically and normative. In theory, the transmission channels of the correlation between the stock market are summarized as import and export trade, foreign direct investment. There are four aspects of investor psychological expectation and market transmission. Then it analyzes the domestic and foreign influencing factors of the correlation between stock market from these four aspects, and then takes the yield of Shanghai and Shenzhen 300 Index and Dow Jones Index from 2002 to 2013 as the research objects. Firstly, the EGARCI model is used to investigate the volatility characteristics of the Chinese and American stock markets and the conditional volatility of the Chinese and American stock markets is obtained. Then using the multivariate GARCH-BEKK model to calculate the dynamic correlation coefficient between China and the United States stock market, and from the real economic factors, financial factors. Macro and micro factors and extreme event factors are used to analyze the causes of dynamic correlation coefficient change. A vector autoregressive model is established between the economic variables and the dynamic correlation coefficient of the above factors, and the impulse response and variance decomposition analysis are carried out to study the influence of macro and micro economic factors on the dynamic correlation coefficient. The conclusions are as follows: as a new stock market, the volatility of Shanghai and Shenzhen stock market is similar to that of American stock market, showing the characteristics of cluster, persistence and asymmetry; During most of the sample period, the conditional volatility of CSI 300 index is higher than that of Dow Jones Index. Foreign direct investment factors have a negative impact on the correlation between Chinese and American stock markets. The dependence of foreign trade and the change of Chinese money supply have a positive effect on the correlation of stock market. The volatility of Chinese stock market is the main explanatory variable which has a great impact on the dynamic correlation coefficient of stock market. Among the American factors that influence the dynamic correlation of the Chinese and American stock markets, the changes of the US money supply and the federal funds rate have a positive impact on the stock market correlation in the long run. The change of money supply in the United States is the main explanatory variable that affects the correlation of stock market. The impact on the dynamic correlation coefficient of the stock market is strong. Finally, based on the empirical conclusions, this paper puts forward relevant policy recommendations to guard against internal and external risks.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F837.12

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