本文選題：股票市場 + 波動溢出效應(yīng)　； 參考：《江西財(cái)經(jīng)大學(xué)》2011年碩士論文

【摘要】：隨著金融一體化、金融自由化趨勢越來越明顯,世界資本市場聯(lián)系趨于緊密,一個金融市場的價格和波動不僅受到自身前期的影響,而且受到其他市場前期波動的影響,這就存在著溢出效應(yīng),包括均值溢出效應(yīng)和波動溢出效應(yīng)。溢出效應(yīng)一直是學(xué)術(shù)界關(guān)注的一個熱點(diǎn)問題。2007年美國次貸危機(jī)爆發(fā),并演變成一場席卷全球的金融危機(jī),對世界金融市場產(chǎn)生深遠(yuǎn)影響,世界各國股票市場一路狂跌,整個世界風(fēng)聲鶴唳。不僅發(fā)達(dá)國家如此,作為最大發(fā)展中國家的中國,其股票市值更是在甚短的時間內(nèi)蒸發(fā)了70%。美國次貸危機(jī)為何會演變成全球大規(guī)模的金融危機(jī),為何給全球帶來了如此沉重的影響,又是通過怎樣的渠道擴(kuò)散至全球并產(chǎn)生影響,這需要全面而又深入的對其進(jìn)行研究。由此可以看出,全面完整地研究各個市場間的相互聯(lián)系,相互影響,對于維護(hù)金融體系穩(wěn)定,保持經(jīng)濟(jì)持續(xù)增長有重要的意義和作用。 本文以國際金融危機(jī)爆發(fā)為著手點(diǎn),將時間分為國際金融危機(jī)爆發(fā)前(2005年4月29日——2007年7月31日)和國際金融危機(jī)爆發(fā)后(2007年8月1日——2010年8月31日)兩個時間段,并分別運(yùn)用VAR方法、單變量GARCH模型和多變量向量GARCH模型來分別研究上海股市、香港股市、美國股市和日本股市之間的一階矩聯(lián)系和波動溢出效應(yīng),并對一階矩聯(lián)系和二階矩波動溢出效應(yīng)進(jìn)行了對比分析,發(fā)現(xiàn)： 第一,在國際金融危機(jī)爆發(fā)前后,四個股票市場的價格收益率序列都是平穩(wěn)序列,具有很強(qiáng)的自相關(guān)性,且都不服從正態(tài)分布。而且市場都存在很強(qiáng)的波動聚集性和持續(xù)性,且都具有ARCH效應(yīng)。 第二,運(yùn)用VAR方法來研究一階矩之間的相關(guān)關(guān)系,在國際金融危機(jī)爆發(fā)前,在5%的顯著性水平下,不存在任何市場的均值溢出效應(yīng)；而在國際金融危機(jī)爆發(fā)后,存在著其他三個市場對美國市場的均值溢出效應(yīng),但不存在其他的均值溢出效應(yīng)。隨后的Granger因果檢驗(yàn)和脈沖響應(yīng)函數(shù)進(jìn)一步證實(shí)了這些結(jié)論。 第三,運(yùn)用單變量GARCH方程分析波動溢出效應(yīng)時。在國際金融危機(jī)爆發(fā)前,只存在著香港市場對上海市場的直接波動溢出效應(yīng),但是美國市場和日本市場可以通過香港市場間接影響上海市場；而在國際金融危機(jī)爆發(fā)后,存在著香港市場和美國市場對上海市場的直接波動溢出效應(yīng),日本市場對滬市波動溢出則不明顯,但是它可以通過香港市場間接作用于上海市場。 第四,運(yùn)用多變量GARCH模型對波動溢出效應(yīng)進(jìn)行研究時,發(fā)現(xiàn)在國際金融危機(jī)爆發(fā)前,存在著香港市場和上海市場的雙向波動溢出,而美國市場只能通過影響香港市場來間接影響,但是日本市場卻只能通過美國市場作用于香港市場對滬市產(chǎn)生作用,影響波動傳染效應(yīng)較弱。而在國際金融危機(jī)爆發(fā)后,只存在著香港市場對上海市場的波動溢出效應(yīng),美國市場可以通過作用于香港市場和日本市場對上海股市產(chǎn)生作用,我國滬市的對外影響力有所減弱,但是西方發(fā)達(dá)國家股市之間的聯(lián)系有所加強(qiáng),本文從貿(mào)易渠道和金融渠道對此做出了解釋。 通過時變的動態(tài)相關(guān)系數(shù)來分析股市間的關(guān)聯(lián)程度時發(fā)現(xiàn),國際金融危機(jī)爆發(fā)前,上海市場與其他市場的聯(lián)系程度較低,和聯(lián)系最為緊密的香港市場的相關(guān)系數(shù)也只有0.28左右。但是在國際金融危機(jī)爆發(fā)后,聯(lián)系明顯加強(qiáng)了,上海市場與香港市場、美國市場和日本市場的動態(tài)相關(guān)系數(shù)增加為0.55、0.3和0.35。 據(jù)此,本文認(rèn)為政府在制定政策時,應(yīng)該具有前瞻性和統(tǒng)籌性,充分考慮股市之間的信息傳導(dǎo)機(jī)制；政府應(yīng)采取全面、有效的監(jiān)管框架,監(jiān)管市場參與者,減少金融市場的動蕩。
[Abstract]:With the financial integration , the trend of financial liberalization has become more and more obvious , the world capital market is becoming more and more obvious , and the price and fluctuation of a financial market is not only influenced by the earlier stage , but also affected by the fluctuation of other markets .

Taking the international financial crisis as the starting point , this paper divides the time into two periods before the outbreak of the international financial crisis ( April 29 , 2005 , July 31 , 2007 ) and the international financial crisis ( August 1 , 2007 ) .

First , before and after the outbreak of the international financial crisis , the prices and yield sequences of the four stock markets are stable sequences , have strong self - correlation and do not obey the normal distribution , and the market has strong volatility clustering and persistence , and has the ARCH effect .

Secondly , using VAR method to study the correlation between the first order moment and the first order moment , before the outbreak of the international financial crisis , there is no mean overflow effect of any market under the significance level of 5 % ;
However , after the outbreak of the international financial crisis , there are three other markets for the mean overflow effect of the United States market , but there is no other mean overflow effect .

Thirdly , when the volatility spillover effect is analyzed by using the single - variable ARCH model , there are only the direct volatility spillover effects of the Hong Kong market on the Shanghai market before the outbreak of the international financial crisis , but the U.S . market and the Japanese market can indirectly influence the Shanghai market through the Hong Kong market ;
However , after the outbreak of the international financial crisis , there are the direct volatility spillover effects of the Hong Kong market and the United States market on the Shanghai market . The Japanese market is not obvious to the fluctuation of the Shanghai market , but it can indirectly act on the Shanghai market through the Hong Kong market .

Fourth , when the volatility spillover effect is studied by using the multi - variable ARCH model , it is found that there are two - way fluctuation of the Hong Kong market and the Shanghai market before the outbreak of the international financial crisis . However , after the outbreak of the international financial crisis , there is only the fluctuation spillover effect of the Hong Kong market on the Shanghai market . However , after the outbreak of the international financial crisis , there is only the fluctuation spillover effect of the Hong Kong market on the Shanghai market . However , the relationship between the stock markets in the developed countries has been strengthened . This paper explains the trade channel and financial channel .

On the basis of time - varying dynamic correlation coefficient , it is found that the correlation between Shanghai market and other markets is relatively low before the outbreak of the international financial crisis , and the correlation coefficient between Shanghai market and other markets is only 0.28 . However , after the outbreak of the international financial crisis , the link between Shanghai market and the Hong Kong market , the United States market and the Japanese market is increased to 0.55 , 0.3 and 0.35 .

Therefore , this paper holds that the government should have a proactive and integrated nature in the formulation of policies and take full account of the information transmission mechanism between the stock markets ;
The government should adopt a comprehensive and effective regulatory framework to regulate market participants and reduce the volatility of financial markets .

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2011
【分類號】：F832.51;F831.51;F224

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