本文選題：波動溢出效應(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性溢出效應(yīng),就意味著股票市場的監(jiān)管、風(fēng)險防范、投資組合構(gòu)建等方面,要兼顧考慮本國和其他國家股市的波動性狀況。而在全球股票市場中,美國和中國具有較為特殊的意義：一是二者不僅為全球最大的兩個綜合經(jīng)濟體,而且在股市總市值上也分居前兩位,在世界經(jīng)濟和資本市場中的地位和影響不言而喻。二是通過考察中國股市與美國股市之間波動性的聯(lián)動效應(yīng),可以對中國實體經(jīng)濟發(fā)展情況、資本市場的開放進程、投資者行為與市場的相互影響關(guān)系等多方面,進行較為全面和深入的了解、探討和剖析。同時,金融危機等極端情形下的波動溢出效應(yīng)往往具有自身的表現(xiàn)形式。 本文以本次美國次貸危機為背景,在波動溢出效應(yīng)形成機制分析基礎(chǔ)上,針對滬深300指數(shù)與道瓊斯工業(yè)指數(shù)間波動溢出效應(yīng),從中美兩國宏觀經(jīng)濟基本面和微觀市場傳導(dǎo)兩個層面提出理論研究假說提出了相應(yīng)的研究假說。在具體研究方法上,首先通過新聞事件法和MRS模型結(jié)合,確定了危機爆發(fā)的準(zhǔn)確時間,然后通過構(gòu)建DCC-MVGARCH模型,對滬深300指數(shù)和道瓊斯指數(shù)在危機下的波動溢出效應(yīng)進行實證分析。在得到實證結(jié)果后,從實證和理論上,進一步對具體的機制成因做深入的分析,驗證本文的研究假說,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)始終對滬深300指數(shù)具有單向的溢出效應(yīng),并且在危機過程中得到增強。其中,溢出效應(yīng)上述特點的形成機制,目前僅與微觀投資者的行為有關(guān),尚不具有宏觀經(jīng)濟基本面的傳導(dǎo)機制。
[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)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 張青;程希駿;陳功;;推廣的DCC模型及其在中國股市的應(yīng)用[J];工程數(shù)學(xué)學(xué)報;2011年01期

2 韋艷華,張世英;金融市場的相關(guān)性分析——Copula-GARCH模型及其應(yīng)用[J];系統(tǒng)工程;2004年04期

3 徐正國,張世英;調(diào)整"已實現(xiàn)"波動率與GARCH及SV模型對波動的預(yù)測能力的比較研究[J];系統(tǒng)工程;2004年08期

4 曹廣喜;姚奕;;滬深股市動態(tài)溢出效應(yīng)與動態(tài)相關(guān)性的實證研究——基于長記憶VAR-BEKK(DCC)-MVGARCH(1,1)模型[J];系統(tǒng)工程;2008年05期

5 吳英杰;;全球金融危機背景下的股市聯(lián)動性變化——基于DAG和結(jié)構(gòu)VECM的實證分析[J];南方金融;2010年04期

6 趙鵬;曾劍云;;香港、臺北、紐約股市收益及波動溢出效應(yīng)的實證研究[J];工業(yè)技術(shù)經(jīng)濟;2008年07期

7 唐齊鳴;韓雪;;中國股市與國際股市聯(lián)動效應(yīng)的實證研究[J];工業(yè)技術(shù)經(jīng)濟;2009年01期

8 張碧瓊;中國股票市場信息國際化:基于EGARCH模型的檢驗[J];國際金融研究;2005年05期

9 張金清;劉慶富;;中國金融對外開放的測度與國際比較研究[J];國際金融研究;2007年12期

10 李曉廣;張巖貴;;我國股票市場與國際市場的聯(lián)動性研究——對次貸危機時期樣本的分析[J];國際金融研究;2008年11期

，

本文編號：1888119