本文關鍵詞：基于美國次貸危機G20成員國股市聯(lián)動性分析　出處：《電子科技大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： G20 聯(lián)動性分析 Granger檢驗 統(tǒng)計因果網絡（SCN）

【摘要】：隨著互聯(lián)網通信領域的進步，，電子化金融交易系統(tǒng)給金融市場的投資全球化提供了較好的發(fā)展平臺�；诮洕蚧徒鹑谌蚧陌l(fā)展趨勢背景前提下，國際金融市場之間的相互聯(lián)系日益加劇，進一步促進了美國等發(fā)達國家與發(fā)展中國家或新興工業(yè)型國家之間的市場聯(lián)動性。尤其在2008年以美國為首的次貸危機引起的金融海嘯的爆發(fā)，可謂是百年不遇的金融危機，給大多數(shù)發(fā)達國家和發(fā)展中國家的經濟及金融帶來了嚴重的沖擊、破壞和損失。這樣使得業(yè)界與學界研究人員一方面不斷探究此次金融危機爆發(fā)的深度原因，另一方面又從經濟、貿易以及金融各個角度展開分析危機帶來的影響。 此外，在全球經濟一體化背景下國際金融體系得到了不斷改革，以及科學技術的快速發(fā)展加快了互聯(lián)網技術的發(fā)展，金融產品多樣性與投資多樣化并存的經濟金融市場再也按捺不住與國際接軌的發(fā)展趨勢。這必然使得證券市場同樣面臨全球化發(fā)展的進程，全球股市市場的關系或動態(tài)已經深受經濟學家和金融專家等相關學者的關注。因此，投資者們通過研究各國股票之間的聯(lián)動性有可能在一定程度上來分散股票投資風險。目前，隨著經濟全球化趨勢的發(fā)展國際各股市之間的活躍程度也不斷加劇，國內外投資者為了分散投資風險獲得更大的利潤，因此國內外金融學專家及經濟學家展開了對國際股市之間的聯(lián)動性研究。 本文與以往的研究聯(lián)動性學者相比，在研究對象和實證方法上都一定的突破性探索，主要運用CCF（Cross-Correlation Function）方法以及VAR模型中格蘭杰因果檢驗方法（Granger Causality）方法對G20國集團的代表性股票時間序列進行實證分析，并給出了清晰的統(tǒng)計因果網絡圖，在得到合理的實證性結果之后結合當今金融市場領域的實時動態(tài)給予合理的政策性建議。
[Abstract]:With the progress of the field of Internet communication, the electronic financial transaction system provides a better development platform for the investment globalization of the financial market, based on the background of economic globalization and financial globalization. International financial markets are increasingly interconnected. It has further promoted the market linkage between the developed countries such as the United States and developing countries or emerging industrial countries, especially in 2008, when the financial tsunami caused by the US-led subprime mortgage crisis broke out. It can be said that the financial crisis is once in a century, which has brought serious impact to the economy and finance of most developed and developing countries. Damage and loss. This makes industry and academic researchers on the one hand to explore the depth of the financial crisis, on the other hand, from the economy. The impact of the crisis was analyzed from all angles of trade and finance. In addition, in the context of global economic integration, the international financial system has been constantly reformed, and the rapid development of science and technology has accelerated the development of Internet technology. The diversification of financial products and investment diversification of the economic and financial markets can no longer restrain the development trend of international integration, which will inevitably make the securities market also face the process of globalization development. The relationship or dynamic of the global stock market has been concerned by economists and financial experts and other related scholars. Investors may diversify the risk of stock investment to a certain extent by studying the linkage between stocks in various countries. At present, with the development of economic globalization, the degree of activity among international stock markets is also increasing. In order to diversify the investment risk, domestic and foreign investors make more profits, so domestic and foreign financial experts and economists have carried out the research on the linkage between the international stock market. This paper compared with the previous research on the linkage of scholars, in the object of study and empirical methods are certain breakthrough exploration. CCF(Cross-Correlation function method and Granger causality test in VAR model are mainly used (. The representative stock time series of G20 group is empirically analyzed by Granger Caus. A clear statistical causal network diagram is given and reasonable policy suggestions are given after obtaining reasonable empirical results and combining with the real time dynamics in the field of financial markets.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F831.51;F224

【引證文獻】

相關博士學位論文 前1條

1 崔準煥;中國股市與美國股市之間聯(lián)動性研究[D];浙江大學;2007年

本文編號：1373547