本文關(guān)鍵詞：歐洲股票市場(chǎng)與中國(guó)股票市場(chǎng)之間的波動(dòng)溢出效應(yīng)研究　出處：《江西財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：本文的研究目的，是探究在中國(guó)股票市場(chǎng)和歐洲股票市場(chǎng)之間是否存在波動(dòng)溢出效應(yīng)。其實(shí)質(zhì)是通過(guò)研究德國(guó)股票市場(chǎng)、法國(guó)股票市場(chǎng)、英國(guó)股票市場(chǎng)與中國(guó)股票市場(chǎng)之間是否存在波動(dòng)溢出效應(yīng)，，來(lái)判斷歐洲股票市場(chǎng)與中國(guó)股票市場(chǎng)之間是否存在波動(dòng)溢出效應(yīng)。本文運(yùn)用的統(tǒng)計(jì)模型是BEKK-MGARCH(1,1)模型。通過(guò)滬深300指數(shù)、德國(guó)DAX指數(shù)、法國(guó)CAC40指數(shù)與英國(guó)富時(shí)100指數(shù)的日價(jià)格指數(shù)的收盤(pán)價(jià)，構(gòu)建了各個(gè)指數(shù)的日對(duì)數(shù)收益率序列。分牛市、熊市、反彈、震蕩四個(gè)行情，分別運(yùn)用BEKK-MGARCH(1,1)模型，來(lái)研究德國(guó)股票市場(chǎng)、法國(guó)股票市場(chǎng)、英國(guó)股票市場(chǎng)與中國(guó)股票市場(chǎng)之間的波動(dòng)溢出效應(yīng)。 研究結(jié)果表明：中國(guó)股票市場(chǎng)、德國(guó)股票市場(chǎng)、法國(guó)股票市場(chǎng)及英國(guó)股票市場(chǎng)均具有顯著的ARCH效應(yīng)。運(yùn)用計(jì)量經(jīng)濟(jì)學(xué)方法，對(duì)所選擇的樣本數(shù)據(jù)進(jìn)行估計(jì)，結(jié)果顯示：在中國(guó)股票市場(chǎng)是牛市的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與德國(guó)股票市場(chǎng)之間是有的，而且還是雙向的；在中國(guó)股票市場(chǎng)是熊市的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與德國(guó)股票市場(chǎng)之間是沒(méi)有的；在中國(guó)股票市場(chǎng)是反彈的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與德國(guó)股票市場(chǎng)之間也是沒(méi)有的；在中國(guó)股票市場(chǎng)是震蕩的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與德國(guó)股票市場(chǎng)之間是有的，但是僅僅是從中國(guó)股票市場(chǎng)到德國(guó)股票市場(chǎng)，從德國(guó)股票市場(chǎng)到中國(guó)股票市場(chǎng)則沒(méi)有該現(xiàn)象。在中國(guó)股票市場(chǎng)是牛市的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與法國(guó)股票市場(chǎng)之間是有的，但是僅僅是從中國(guó)股票市場(chǎng)到法國(guó)股票市場(chǎng)，從法國(guó)股票市場(chǎng)到中國(guó)股票市場(chǎng)則沒(méi)有該現(xiàn)象；在中國(guó)股票市場(chǎng)是熊市的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與法國(guó)股票市場(chǎng)之間是沒(méi)有的；在中國(guó)股票市場(chǎng)是反彈的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與法國(guó)股票市場(chǎng)之間是有的，但是僅僅是從中國(guó)股票市場(chǎng)到法國(guó)股票市場(chǎng)，從法國(guó)股票市場(chǎng)到中國(guó)股票市場(chǎng)則沒(méi)有該現(xiàn)象；在中國(guó)股票市場(chǎng)是震蕩的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與法國(guó)股票市場(chǎng)之間是有的，但是僅僅是從中國(guó)股票市場(chǎng)到法國(guó)股票市場(chǎng)，從法國(guó)股票市場(chǎng)到中國(guó)股票市場(chǎng)則沒(méi)有該現(xiàn)象。在中國(guó)股票市場(chǎng)是牛市的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與英國(guó)股票市場(chǎng)之間是沒(méi)有的；在中國(guó)股票市場(chǎng)是熊市的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與英國(guó)股票市場(chǎng)之間也是沒(méi)有的；在中國(guó)股票市場(chǎng)是反彈的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與英國(guó)股票市場(chǎng)之間是有的，而且還是雙向的；在中國(guó)股票市場(chǎng)是震蕩的情況下，波動(dòng)溢出效應(yīng)在中國(guó)股票市場(chǎng)與英國(guó)股票市場(chǎng)之間是有的，但是僅僅是從中國(guó)股票市場(chǎng)到英國(guó)股票市場(chǎng)，從英國(guó)股票市場(chǎng)到中國(guó)股票市場(chǎng)則沒(méi)有該現(xiàn)象。
[Abstract]:The purpose of this paper is to explore whether there is volatility spillover effect between Chinese stock market and European stock market. The essence of this study is to study the German stock market and the French stock market. Whether there is volatility spillover effect between UK stock market and Chinese stock market. To determine whether there is volatility spillover effect between European stock market and Chinese stock market. The statistical model used in this paper is BEKK-MGARCH1) model. The closing price of the DAX index in Germany, the CAC40 index in France, and the daily price index in the FTSE index in the UK, constructed a series of daily logarithmic yields for each index. It was divided into bull markets, bear markets, and rebounded. Four market shocks, respectively using the BEKK-MGARCHG 1) model, to study the German stock market, the French stock market. Volatility spillover effect between UK stock market and Chinese stock market. The results show that the Chinese stock market, the German stock market, the French stock market and the British stock market have significant ARCH effects. The results show that the volatility spillover effect exists between the Chinese stock market and the German stock market when the Chinese stock market is a bull market. Under the condition that the Chinese stock market is a bear market, there is no volatility spillover effect between the Chinese stock market and the German stock market. When the Chinese stock market is rebounding, the volatility spillover effect is not found between the Chinese stock market and the German stock market. In the case that the Chinese stock market is volatile, the volatility spillover effect exists between the Chinese stock market and the German stock market, but only from the Chinese stock market to the German stock market. There is no such phenomenon from the German stock market to the Chinese stock market. In the case of a bull market in the Chinese stock market, volatility spillover effects exist between the Chinese stock market and the French stock market. But only from the Chinese stock market to the French stock market, from the French stock market to the Chinese stock market, there is no such phenomenon; Under the condition that the Chinese stock market is a bear market, there is no volatility spillover effect between the Chinese stock market and the French stock market. In the case of a rebound in the Chinese stock market, volatility spillover effects exist between the Chinese stock market and the French stock market, but only from the Chinese stock market to the French stock market. From the French stock market to the Chinese stock market, there is no such phenomenon; In the case that the Chinese stock market is volatile, the volatility spillover effect exists between the Chinese stock market and the French stock market, but only from the Chinese stock market to the French stock market. There is no such phenomenon from the French stock market to the Chinese stock market. When the Chinese stock market is a bull market, there is no volatility spillover effect between the Chinese stock market and the British stock market; Under the condition that the Chinese stock market is a bear market, the volatility spillover effect is not between the Chinese stock market and the British stock market. In the case that the Chinese stock market is rebounding, the volatility spillover effect between the Chinese stock market and the British stock market is still two-way; When the Chinese stock market is volatile, the volatility spillover effect exists between the Chinese stock market and the British stock market, but only from the Chinese stock market to the British stock market. From the British stock market to the Chinese stock market, there is no such phenomenon.
【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F831.51;F224

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