【摘要】：世界各國(guó)的金融市場(chǎng)之間在經(jīng)濟(jì)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(gè)不同的市場(chǎng)的聯(lián)系深化也在不斷加大。受此影響,各個(gè)不同的金融市場(chǎng)的價(jià)格變動(dòng)也受到來(lái)自不同因素的影響,除了自身的影響變動(dòng)因素之外,還包括來(lái)自其他金融市場(chǎng)價(jià)格波動(dòng)的影響。作為金融市場(chǎng)之中非常重要的兩個(gè)組成部分,外匯市場(chǎng)和股票市場(chǎng)一直都是眾多學(xué)者的研究對(duì)象。而在我國(guó)實(shí)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(gè)部分。第一部分分析了我國(guó)目前的經(jīng)濟(jì)金融背景,通過(guò)總結(jié)國(guó)內(nèi)外的文獻(xiàn)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(dòng)與股票價(jià)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(jià)格之間的傳導(dǎo)機(jī)制。第三部分為我國(guó)目前的經(jīng)濟(jì)形勢(shì)和日本上個(gè)世紀(jì)80年代末90年初的泡沫經(jīng)濟(jì)時(shí)期的對(duì)比分析,找到兩國(guó)金融方面存在的異同點(diǎn)。第四部分為實(shí)證分析部分,通過(guò)金融時(shí)間序列模型(GARCH和TARCH模型),分別分析了中國(guó)和日本兩國(guó)外匯和股票市場(chǎng),同時(shí)又以金融危機(jī)為分界線,劃分不同時(shí)期,將2005年匯改至今分為金融危機(jī)前、金融危機(jī)中和金融危機(jī)后三個(gè)時(shí)段,具體分析問(wèn)題,分別引用模型進(jìn)行實(shí)證研究。第五部分根據(jù)前文得出的實(shí)證研究分析結(jié)果,即中國(guó)的股票市場(chǎng)和外匯市場(chǎng)指數(shù)收益率僅在后金融危機(jī)時(shí)代存在雙向的波動(dòng)溢出效應(yīng),提出相關(guān)的政策建議,以推動(dòng)未來(lái)我國(guó)經(jīng)濟(jì)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(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)】：F832.6;F832.51;F224

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