本文關鍵詞：歐債危機背景下我國A股與歐股的極端風險溢出效應研究　出處：《廣東財經(jīng)大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 歐債危機 極端風險溢出 A股 歐股

【摘要】：21世紀以來，次債危機和歐債危機的先后爆發(fā)嚴重影響了世界經(jīng)濟的正常發(fā)展，國際金融市場急劇動蕩，而危機期間各國股市表現(xiàn)出的聯(lián)動性和傳染性也日益成為政府監(jiān)管機構和投資者關注的焦點。本文采用理論歸納和實證檢驗相結合的方法，重點探討歐債危機背景下，我國A股市場和歐洲股市之間極端風險的溢出機理和具體溢出內容。 本文首先系統(tǒng)性地回顧了金融市場極端風險測度和極端風險溢出領域的現(xiàn)有成果。在此基礎上，詳盡探討了股票市場極端風險的溢出機理。在實證建模部分，，筆者引入Hong et al.（2009）提出的檢驗統(tǒng)計量，構建基于E-VaR和CCF的Granger檢驗方法，分階段考察了歐債危機背景下，我國A股與歐股極端風險溢出的具體內容，包括方向、方式、相對強度、是否存在時滯、時變性等 通過本文的研究，筆者得出以下結論： （1）機構投資者調整跨國資產(chǎn)配置策略和銀行業(yè)由于“共同貸款者”效應及同業(yè)資本關聯(lián)形成的流動性沖擊傳染，以及信息不對稱條件下，基于市場行為主體理性預期決策而產(chǎn)生的示范效應及羊群效應是股票市場極端風險溢出的主要動因。 （2）歐債危機背景下，我國A股與歐洲股市存在明顯的極端風險溢出效應，危機的爆發(fā)顯著改變了兩地股市的極端風險溢出信息。危機爆發(fā)前的主要特點是極端風險溢出的單向滯后效應和非對稱性，危機爆發(fā)后極端風險溢出信息的核心內容是顯著的瞬時溢出效應，并且隨著危機的演進不斷加強。 （3）A股市場是新興市場，但已非獨立市場。一方面，A股市場表現(xiàn)出了對于外圍股市極端風險信息的選擇性吸收和市場波動的非穩(wěn)定性；另一方面，其國際影響力也有了很大提升，市場有效性顯著增強，初步反映出我國A股市場在股權制度改革和市場制度建設等方面所取得的成績。
[Abstract]:Since twenty-first Century, after another outbreak of subprime crisis and the European debt crisis has seriously affected the normal development of the world economy, the international financial market turbulence, and stock markets during the crisis showed the linkage and infectious has become government regulators and investors attention focal point. This method theory and empirical analysis focus on the background, the European debt crisis, the spillover mechanism of A stock market in China and Europe between the stock market and the specific content of extreme risk spillover.
This paper systematically reviews the existing achievements of financial market risk measurement and extreme extreme risk spillover field. On this basis, a detailed discussion of the mechanism of stock market extreme risk spillover. In the empirical modeling part, the author introduces the Hong et al. (2009) test statistics is proposed, constructed Granger test method based on CCF and E-VaR that part of the European debt crisis, the specific content of China's A shares and European stocks including the Extreme Risk Spillover direction, relative intensity, the existence of time-delay, time-varying etc.
Through the study of this paper, the author draws the following conclusions:
(1) institutional investors to adjust the asset allocation strategy and transnational banks due to the liquidity shock common borrowers "effect and the formation of Capital Association interbank contagion, and under the condition of asymmetric information, demonstration effect and herding effect arising from the behavior of the market participants based on rational expectations decision is the main reason for the stock market extreme risk spillover.
(2) under the background of European debt crisis, the extreme risk spillover effect is obvious in China A shares and European stock markets, the crisis has a significant change in both markets. The main characteristics of Extreme Risk Spillover information before the crisis is a one-way lag effect of Extreme Risk Spillover and the asymmetry of the core content of Extreme Risk Spillover information after the outbreak of the crisis is the instantaneous spillover effect significantly, and with the evolution of the crisis intensified.
(3) A stock market is an emerging market, but has a non independent market. On the one hand, A stock market showed stability for non selective absorption and extreme market volatility outside the stock market risk information; on the other hand, its international influence has also been greatly improved, market efficiency significantly enhanced, preliminary reflect A stock market in China has made in the equity system reform and market system construction achievements.

【學位授予單位】：廣東財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F831.51

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