【摘要】：世界各國的金融市場之間在經(jīng)濟全球化的不斷發(fā)展深化的影響之下,聯(lián)系程度不斷加深,導(dǎo)致各個不同的市場的聯(lián)系深化也在不斷加大。受此影響,各個不同的金融市場的價格變動也受到來自不同因素的影響,除了自身的影響變動因素之外,還包括來自其他金融市場價格波動的影響。作為金融市場之中非常重要的兩個組成部分,外匯市場和股票市場一直都是眾多學(xué)者的研究對象。而在我國實行股權(quán)分置改革和人民幣匯改之后,這兩者之間的關(guān)聯(lián)性影響分析也逐漸受到了更多的關(guān)注和研究。 文章主要分為五個部分。第一部分分析了我國目前的經(jīng)濟金融背景,通過總結(jié)國內(nèi)外的文獻綜述,引入本文研究的目的和意義。第二部分總結(jié)了匯率波動與股票價格之間影響的理論基礎(chǔ),主要包括兩種比較成熟的理論：流量導(dǎo)向模型和股票導(dǎo)向模型。之后分別從利率、貨幣供應(yīng)量和心理預(yù)期因素等不同角度分析了匯率和股票價格之間的傳導(dǎo)機制。第三部分為我國目前的經(jīng)濟形勢和日本上個世紀80年代末90年初的泡沫經(jīng)濟時期的對比分析,找到兩國金融方面存在的異同點。第四部分為實證分析部分,通過金融時間序列模型(GARCH和TARCH模型),分別分析了中國和日本兩國外匯和股票市場,同時又以金融危機為分界線,劃分不同時期,將2005年匯改至今分為金融危機前、金融危機中和金融危機后三個時段,具體分析問題,分別引用模型進行實證研究。第五部分根據(jù)前文得出的實證研究分析結(jié)果,即中國的股票市場和外匯市場指數(shù)收益率僅在后金融危機時代存在雙向的波動溢出效應(yīng),提出相關(guān)的政策建議,以推動未來我國經(jīng)濟可持續(xù)發(fā)展。
[Abstract]:Under the influence of the continuous development and deepening of the economic globalization, the financial markets in the world are becoming more and more connected, which leads to the deepening of the relationship between different markets. As a result, the price changes in different financial markets are also affected by different factors, including other financial market price fluctuations, in addition to their own factors. As a very important part of financial market, foreign exchange market and stock market have been studied by many scholars. After the reform of split share structure and RMB exchange rate, the analysis of the relationship between the two has gradually been paid more attention and research. The article is divided into five parts. The first part analyzes the current economic and financial background of our country, and introduces the purpose and significance of this study by summarizing the literature review at home and abroad. The second part summarizes the theoretical basis of the influence between exchange rate fluctuation and stock price, including two mature theories: flow oriented model and stock oriented model. Then the transmission mechanism between exchange rate and stock price is analyzed from different angles of interest rate, money supply and psychological expectation. The third part is a comparative analysis of the current economic situation in China and the bubble economy period in Japan in the late 1980s and early 1990s, and finds out the similarities and differences between the two countries in financial aspects. The fourth part is the empirical analysis, through the financial time series model (GARCH and TARCH model), analyzes the foreign exchange and stock markets of China and Japan respectively, at the same time taking the financial crisis as the dividing line, divides the different periods. The exchange rate reform in 2005 is divided into three periods: before the financial crisis, during the financial crisis and after the financial crisis. The fifth part is based on the empirical research results, that is, the return rate of stock market and foreign exchange market in China only has two-way volatility spillover effect in the post-financial crisis era, and puts forward relevant policy recommendations. In order to promote the future sustainable development of our economy.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.6;F832.51;F224

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