本文關(guān)鍵詞：歐債危機(jī)背景下我國(guó)A股與歐股的極端風(fēng)險(xiǎn)溢出效應(yīng)研究　出處：《廣東財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：21世紀(jì)以來(lái)，次債危機(jī)和歐債危機(jī)的先后爆發(fā)嚴(yán)重影響了世界經(jīng)濟(jì)的正常發(fā)展，國(guó)際金融市場(chǎng)急劇動(dòng)蕩，而危機(jī)期間各國(guó)股市表現(xiàn)出的聯(lián)動(dòng)性和傳染性也日益成為政府監(jiān)管機(jī)構(gòu)和投資者關(guān)注的焦點(diǎn)。本文采用理論歸納和實(shí)證檢驗(yàn)相結(jié)合的方法，重點(diǎn)探討歐債危機(jī)背景下，我國(guó)A股市場(chǎng)和歐洲股市之間極端風(fēng)險(xiǎn)的溢出機(jī)理和具體溢出內(nèi)容。 本文首先系統(tǒng)性地回顧了金融市場(chǎng)極端風(fēng)險(xiǎn)測(cè)度和極端風(fēng)險(xiǎn)溢出領(lǐng)域的現(xiàn)有成果。在此基礎(chǔ)上，詳盡探討了股票市場(chǎng)極端風(fēng)險(xiǎn)的溢出機(jī)理。在實(shí)證建模部分，，筆者引入Hong et al.（2009）提出的檢驗(yàn)統(tǒng)計(jì)量，構(gòu)建基于E-VaR和CCF的Granger檢驗(yàn)方法，分階段考察了歐債危機(jī)背景下，我國(guó)A股與歐股極端風(fēng)險(xiǎn)溢出的具體內(nèi)容，包括方向、方式、相對(duì)強(qiáng)度、是否存在時(shí)滯、時(shí)變性等 通過(guò)本文的研究，筆者得出以下結(jié)論： （1）機(jī)構(gòu)投資者調(diào)整跨國(guó)資產(chǎn)配置策略和銀行業(yè)由于“共同貸款者”效應(yīng)及同業(yè)資本關(guān)聯(lián)形成的流動(dòng)性沖擊傳染，以及信息不對(duì)稱條件下，基于市場(chǎng)行為主體理性預(yù)期決策而產(chǎn)生的示范效應(yīng)及羊群效應(yīng)是股票市場(chǎng)極端風(fēng)險(xiǎn)溢出的主要?jiǎng)右颉?（2）歐債危機(jī)背景下，我國(guó)A股與歐洲股市存在明顯的極端風(fēng)險(xiǎn)溢出效應(yīng)，危機(jī)的爆發(fā)顯著改變了兩地股市的極端風(fēng)險(xiǎn)溢出信息。危機(jī)爆發(fā)前的主要特點(diǎn)是極端風(fēng)險(xiǎn)溢出的單向滯后效應(yīng)和非對(duì)稱性，危機(jī)爆發(fā)后極端風(fēng)險(xiǎn)溢出信息的核心內(nèi)容是顯著的瞬時(shí)溢出效應(yīng)，并且隨著危機(jī)的演進(jìn)不斷加強(qiáng)。 （3）A股市場(chǎng)是新興市場(chǎng)，但已非獨(dú)立市場(chǎng)。一方面，A股市場(chǎng)表現(xiàn)出了對(duì)于外圍股市極端風(fēng)險(xiǎn)信息的選擇性吸收和市場(chǎng)波動(dòng)的非穩(wěn)定性；另一方面，其國(guó)際影響力也有了很大提升，市場(chǎng)有效性顯著增強(qiáng)，初步反映出我國(guó)A股市場(chǎng)在股權(quán)制度改革和市場(chǎng)制度建設(shè)等方面所取得的成績(jī)。
[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(xué)位授予單位】：廣東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F831.51

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