本文選題：波動溢出 + BEKK-GARCH模型　； 參考：《陜西師范大學(xué)》2012年碩士論文

【摘要】：我國于2005年針對匯率形成機(jī)制和股票市場運作同步實施了重大改革。這次改革以后,我國開始實行有管理的浮動,即以市場供求為基礎(chǔ),同時參考一攬子貨幣進(jìn)行調(diào)節(jié)的匯率制度。從此以后人民幣匯率不再僅僅盯住美元,而是逐漸向更富彈性的匯率機(jī)制過渡。同時期內(nèi),股票市場的流動性開始增強(qiáng)。自此后學(xué)術(shù)界開始關(guān)注我國外匯市場和股票市場之間的關(guān)聯(lián),在當(dāng)前人民幣升值壓力較大的背景下,研究匯率與股價之間的影響,有助于防范匯率波動以及金融沖擊,抵消不良的影響。 本文對國內(nèi)外關(guān)于股價與匯率關(guān)系的研究首先進(jìn)行了文獻(xiàn)的梳理和論述.然后介紹了兩種主流的理論模型即流量導(dǎo)向模型和股票導(dǎo)向模型并分析了匯率與股價之間傳導(dǎo)信息的途徑。第三章和第四章分別作了關(guān)于股價和匯率價格溢出和收益率波動溢出的實證分析,在分析時運用了VAR模型、協(xié)整檢驗、Granger因果檢驗、脈沖響應(yīng)函數(shù)以及多元BEKK-GARCH模型,從一階矩和二階矩的角度分析了兩者間的關(guān)系。 研究結(jié)果表明：人民幣兌美元匯率與上證A股綜合指數(shù)收盤價之間不存在長期的協(xié)整關(guān)系；運用Granger因果檢驗發(fā)現(xiàn)：在1%的顯著性水平下,人民幣兌美元匯率與股指之間存在雙向的因果關(guān)系,即人民幣兌美元匯率是上證A股指數(shù)的Granger原因,而上證A股指數(shù)也是人民幣兌美元匯率的Granger原因。人民幣兌美元匯率波動對股價的影響較大,股價波動對人民幣匯率影響相對來說比較小。股票市場和外匯市場存在波動率的溢出效應(yīng),但是溢出效應(yīng)是不對稱的、單向的。人民幣兌美元匯率收益率波動對上證A股綜指收益率波動存在顯著的波動溢出,而股市的波動對匯市的影響有限。最后基于本文的實證研究結(jié)果,提出了一些針對匯率制度和股票市場的政策建議。
[Abstract]:In 2005, China implemented major reforms in exchange rate formation mechanism and stock market operation synchronously.After this reform, China began to implement a managed floating, that is, the exchange rate system based on market supply and demand, with reference to a basket of currencies.Since then, the yuan has moved away from pegging the dollar to a more flexible exchange rate regime.During the same period, stock market liquidity began to increase.Since then, the academic community has begun to pay attention to the relationship between the foreign exchange market and the stock market in China. Under the background of the current pressure of RMB appreciation, the study of the influence between the exchange rate and the stock price will help to prevent exchange rate fluctuations and financial shocks.Counteract adverse effects.In this paper, the domestic and foreign research on the relationship between stock price and exchange rate is firstly reviewed and discussed.Then it introduces two main theoretical models, namely, flow oriented model and stock oriented model, and analyzes the way of transmitting information between exchange rate and stock price.In chapter 3 and chapter 4, the empirical analysis of price spillover and volatility spillover of stock price and exchange rate is made. The VAR model, cointegration test, Granger causality test, impulse response function and multivariate BEKK-GARCH model are used in the analysis.The relationship between the first moment and the second moment is analyzed from the point of view of the first order moment and the second order moment.The results show that there is no long-term cointegration relationship between the RMB / US dollar exchange rate and the closing price of the Shanghai Stock Exchange A Composite Index, and the Granger causality test shows that: under the significant level of 1%,There is a two-way causal relationship between the renminbi and the stock index, that is, the renminbi versus the dollar is the Granger cause of the Shanghai A-share index, and the Shanghai A-share index is also the Granger reason for the renminbi's exchange rate against the dollar.The volatility of the RMB against the dollar has a greater impact on the stock price, and the volatility of the stock price has a relatively small impact on the RMB exchange rate.There exists volatility spillover effect in stock market and foreign exchange market, but the spillover effect is asymmetric and unidirectional.There is a significant volatility spillover from the volatility of the yuan's yield against the dollar on the Shanghai A-share Composite, while the volatility of the stock market has a limited impact on the currency market.Finally, based on the empirical results of this paper, some policy suggestions for exchange rate system and stock market are put forward.
【學(xué)位授予單位】：陜西師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.52;F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳然方;論匯率和股價的相互作用與影響[J];財經(jīng)理論與實踐;1999年02期

2 程昆;周銳聰;;中國股價與匯率動態(tài)關(guān)系的實證分析[J];華南農(nóng)業(yè)大學(xué)學(xué)報(社會科學(xué)版);2009年01期

3 陳云;陳浪南;林魯東;;人民幣匯率與股票市場波動溢出效應(yīng)研究[J];管理科學(xué);2009年03期

4 郭福春;姚星垣;;中國匯率與股票價格聯(lián)動的實證研究[J];廣東金融學(xué)院學(xué)報;2007年03期

5 張兵;封思賢;李心丹;汪慧建;;匯率與股價變動關(guān)系:基于匯改后數(shù)據(jù)的實證研究[J];經(jīng)濟(jì)研究;2008年09期

6 陳雁云;何維達(dá);;人民幣匯率與股價的ARCH效應(yīng)檢驗及模型分析[J];集美大學(xué)學(xué)報(哲學(xué)社會科學(xué)版);2006年01期

7 陳亮;夏亮;;人民幣匯率形成機(jī)制改革后人民幣匯率和股價之間關(guān)系的實證分析[J];金融經(jīng)濟(jì);2007年02期

8 張碧瓊,李越;匯率對中國股票市場的影響是否存在:從自回歸分布滯后模型(ARDL-ecm)得到的證明[J];金融研究;2002年07期

9 呂江林;李明生;石勁;;人民幣升值對中國股市影響的實證分析[J];金融研究;2007年06期

10 鄧q，

本文編號：1736019