本文選題：波動(dòng)溢出效應(yīng) + 滬深300指數(shù)��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：不同股市間存在波動(dòng)性溢出效應(yīng),就意味著股票市場(chǎng)的監(jiān)管、風(fēng)險(xiǎn)防范、投資組合構(gòu)建等方面,要兼顧考慮本國(guó)和其他國(guó)家股市的波動(dòng)性狀況。而在全球股票市場(chǎng)中,美國(guó)和中國(guó)具有較為特殊的意義：一是二者不僅為全球最大的兩個(gè)綜合經(jīng)濟(jì)體,而且在股市總市值上也分居前兩位,在世界經(jīng)濟(jì)和資本市場(chǎng)中的地位和影響不言而喻。二是通過(guò)考察中國(guó)股市與美國(guó)股市之間波動(dòng)性的聯(lián)動(dòng)效應(yīng),可以對(duì)中國(guó)實(shí)體經(jīng)濟(jì)發(fā)展情況、資本市場(chǎng)的開放進(jìn)程、投資者行為與市場(chǎng)的相互影響關(guān)系等多方面,進(jìn)行較為全面和深入的了解、探討和剖析。同時(shí),金融危機(jī)等極端情形下的波動(dòng)溢出效應(yīng)往往具有自身的表現(xiàn)形式。 本文以本次美國(guó)次貸危機(jī)為背景,在波動(dòng)溢出效應(yīng)形成機(jī)制分析基礎(chǔ)上,針對(duì)滬深300指數(shù)與道瓊斯工業(yè)指數(shù)間波動(dòng)溢出效應(yīng),從中美兩國(guó)宏觀經(jīng)濟(jì)基本面和微觀市場(chǎng)傳導(dǎo)兩個(gè)層面提出理論研究假說(shuō)提出了相應(yīng)的研究假說(shuō)。在具體研究方法上,首先通過(guò)新聞事件法和MRS模型結(jié)合,確定了危機(jī)爆發(fā)的準(zhǔn)確時(shí)間,然后通過(guò)構(gòu)建DCC-MVGARCH模型,對(duì)滬深300指數(shù)和道瓊斯指數(shù)在危機(jī)下的波動(dòng)溢出效應(yīng)進(jìn)行實(shí)證分析。在得到實(shí)證結(jié)果后,從實(shí)證和理論上,進(jìn)一步對(duì)具體的機(jī)制成因做深入的分析,驗(yàn)證本文的研究假說(shuō),最后給出結(jié)論和政策建議。 本文的主要結(jié)論如下：研究區(qū)間內(nèi),道瓊斯指數(shù)始終對(duì)滬深300指數(shù)具有單向的溢出效應(yīng),并且在危機(jī)過(guò)程中得到增強(qiáng)。其中,溢出效應(yīng)上述特點(diǎn)的形成機(jī)制,目前僅與微觀投資者的行為有關(guān),尚不具有宏觀經(jīng)濟(jì)基本面的傳導(dǎo)機(jī)制。
[Abstract]:The existence of volatility spillover effect between different stock markets means that the regulation of stock market risk prevention and portfolio construction should take into account the volatility of domestic and other stock markets. In the global stock market, the United States and China have more special significance: first, they are not only the two largest comprehensive economies in the world, but also the top two in the total market value of the stock market. The position and influence in the world economy and capital market are self-evident. Second, by examining the linkage effect of volatility between the Chinese stock market and the US stock market, it can affect the development of China's real economy, the opening process of the capital market, the mutual influence of investor behavior and the market, and so on. More comprehensive and in-depth understanding, discussion and analysis. At the same time, volatility spillover effects in extreme situations such as financial crisis often have their own forms. Based on the analysis of the formation mechanism of volatility spillover effect, this paper aims at the volatility spillover effect between Shanghai and Shenzhen 300 Index and Dow Jones Industrial Index. This paper puts forward the theoretical research hypothesis from the two aspects of the macroeconomic fundamentals and the micro market conduction of China and the United States, and puts forward the corresponding research hypothesis. In the specific research methods, firstly, through the combination of the news event method and the MRS model, the accurate time of crisis outbreak is determined, and then the DCC-MVGARCH model is constructed. The volatility spillover effects of Shanghai and Shenzhen 300 Index and Dow Jones Index under the crisis are analyzed empirically. After obtaining the empirical results, the author makes a further analysis of the causes of the specific mechanism from the empirical and theoretical aspects, validates the research hypothesis of this paper, and finally gives the conclusions and policy recommendations. The main conclusions of this paper are as follows: the Dow Jones index has a one-way spillover effect on the CSI 300 index and has been strengthened in the course of the crisis. Among them, the formation mechanism of the above characteristics of spillover effect is only related to the behavior of micro investors, and does not have the transmission mechanism of macroeconomic fundamentals.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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