本文關(guān)鍵詞：我國(guó)滬市與國(guó)際股市的聯(lián)動(dòng)性研究　出處：《南京財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票價(jià)格指數(shù) 聯(lián)動(dòng)性 BEKK-GARCH模型 啟示

【摘要】：在金融開放形勢(shì)下，伴隨經(jīng)濟(jì)的全球化和信息傳播速度的加快，全球證券市場(chǎng)的一體化趨勢(shì)日益明顯，各國(guó)或地區(qū)間的股市聯(lián)動(dòng)性成為國(guó)內(nèi)外學(xué)者熱議的話題。那么隨著我國(guó)加入WTO，股改、匯改的進(jìn)行，滬市與世界主要金融中心股市收益率之間的聯(lián)動(dòng)效應(yīng)如何？國(guó)內(nèi)機(jī)構(gòu)投資者還能否從全球分散化投資中獲得益處呢？ 本文首先闡述了研究國(guó)內(nèi)外股市聯(lián)動(dòng)性的背景和現(xiàn)實(shí)意義，對(duì)國(guó)內(nèi)外的相關(guān)文獻(xiàn)進(jìn)行了梳理和總結(jié)，并對(duì)論文的結(jié)構(gòu)框架和可能創(chuàng)新之處進(jìn)行了介紹。第二部分主要對(duì)股市間聯(lián)動(dòng)性的原因進(jìn)行了概述，，分析了幾個(gè)理論對(duì)股市間聯(lián)動(dòng)性影響機(jī)制。第三部分是對(duì)樣本數(shù)據(jù)選取情況的說(shuō)明，進(jìn)行了數(shù)據(jù)描述性統(tǒng)計(jì)，為實(shí)證分析奠定了基礎(chǔ)。在實(shí)證分析方面，本文分階段進(jìn)行了協(xié)整、脈沖響應(yīng)、方差分解等計(jì)量分析，發(fā)現(xiàn)滬市與世界主要股市之間不存在長(zhǎng)期關(guān)系。然而，從短期看，2005年下半年以來(lái)國(guó)內(nèi)外股市的聯(lián)動(dòng)關(guān)系有所增強(qiáng)，上海股市開始對(duì)其他股市產(chǎn)生不同程度影響。另外，論文利用BEKK-GARCH模型，動(dòng)態(tài)地分析了滬市與國(guó)際股市的波動(dòng)溢出效應(yīng)及傳導(dǎo)方向，得出的結(jié)論與前面分析總體上具有一致性。在2005年6月之前，滬市與其他市場(chǎng)之間不存在任何方向的波動(dòng)溢出效應(yīng)；2005年6月之后，在股市上漲階段甚至出現(xiàn)了滬市與美國(guó)、德國(guó)、香港股市的雙向波動(dòng)溢出效應(yīng)；但自2007年10月以來(lái)，主要是滬市對(duì)國(guó)際股市產(chǎn)生了單向波動(dòng)溢出效應(yīng)。文章的最后一部分是研究結(jié)論與啟示，此部分進(jìn)一步分析了實(shí)證結(jié)果的原因，并根據(jù)結(jié)論得出了完善國(guó)內(nèi)資本市場(chǎng)的有益啟示。
[Abstract]:Under the situation of financial opening, with the globalization of economy and the acceleration of information dissemination, the integration trend of global securities market is becoming more and more obvious. Stock market linkage between countries or regions has become a hot topic for scholars at home and abroad. So with China's accession to the WTO, share reform, exchange rate reform. What is the linkage effect between Shanghai stock market and the stock market yield of the world's major financial center? Can domestic institutional investors also benefit from global diversification? This paper first elaborated the domestic and foreign stock market linkage research background and the realistic significance, has carried on the comb and the summary to the domestic and foreign related literature. And the structural framework of the paper and possible innovations are introduced. The second part mainly summarizes the reasons of stock market interaction. The third part is the description of sample data selection, data descriptive statistics, for empirical analysis laid a foundation for empirical analysis. In this paper, the econometric analysis of cointegration, impulse response and variance decomposition is carried out in stages, and it is found that there is no long-term relationship between Shanghai stock market and major stock markets in the world. However, in the short run. Since the second half of 2005, the linkage relationship between domestic and foreign stock markets has been strengthened, and Shanghai stock market has begun to affect other stock markets to varying degrees. In addition, the paper uses BEKK-GARCH model. The volatility spillover effect and conduction direction of Shanghai stock market and international stock market are analyzed dynamically. The conclusion is consistent with the previous analysis. Before June 2005. There is no volatility spillover effect in any direction between Shanghai stock market and other markets; After June 2005, in the stock market rising stage, there even appeared the two-way volatility spillover effect between Shanghai stock market and the US, Germany and Hong Kong stock markets; But since October 2007, Shanghai stock market has produced one-way volatility spillover effect on the international stock market. The last part of the article is the conclusion and inspiration, this part further analyzes the reasons of the empirical results. According to the conclusion, the beneficial enlightenment of perfecting the domestic capital market is obtained.
【學(xué)位授予單位】：南京財(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)】：F832.51;F831.51

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