本文關(guān)鍵詞： 市場微觀結(jié)構(gòu)理論 指令流 非參數(shù)方法 市場聯(lián)動關(guān)系　出處：《哈爾濱工業(yè)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著金融一體化進程加深，必然會使全球的金融市場產(chǎn)生密切聯(lián)系，單獨研究某個市場已不足以全面客觀地研究整個市場結(jié)構(gòu)的內(nèi)在本質(zhì)。而在以往的研究中，對于金融市場之間聯(lián)動關(guān)系問題的研究一般都是從宏觀角度著手，考慮宏觀基本面因素對匯率及股票價格的影響。但忽視市場微觀因素和交易過程的影響必然會使研究結(jié)論與現(xiàn)實世界的情況產(chǎn)生偏差。本文則從指令流信息傳遞的視角，結(jié)合外匯市場微觀結(jié)構(gòu)理論研究跨市場的信息傳遞產(chǎn)生的匯市與股市動態(tài)的聯(lián)動關(guān)系。把市場結(jié)構(gòu)和交易機制等微觀因素作為考慮因素不僅更加有效的對市場聯(lián)動關(guān)系做出評價，同時，也可以從微觀層面探尋市場間深層次的聯(lián)動機理，此外，還能把很多宏觀信息捕捉不到的信息考慮在內(nèi)。這種全新視角的研究對揭示金融市場間的真實聯(lián)系有重要的理論與現(xiàn)實意義。 本文首先全面介紹現(xiàn)有的外匯市場與股票市場的聯(lián)動關(guān)系的相關(guān)理論基礎(chǔ)，其次，借鑒Francis（2006）的模型，結(jié)合我國外匯市場、股票市場的結(jié)構(gòu)提出假設(shè)，并進行了我國兩市場間聯(lián)動關(guān)系的模型構(gòu)建。第三，對本文所構(gòu)建的模型進行了實證檢驗。在檢驗過程中分別采用參數(shù)與非參數(shù)方法。一是通過對2008年2月-2009年3月的外匯市場和股票市場的統(tǒng)計數(shù)據(jù)利用參數(shù)方法進行實證檢驗，得出指令流的基本特性和其在外匯市場和股票市場聯(lián)動性中發(fā)揮的作用。二是利用非參數(shù)進行更深層次的研究。實證結(jié)果分析得出指令流在外匯市場和股票市場傳遞過程中確實有一定解釋能力，但是外匯指令流比股票指令流的解釋能力強，，并且在兩個市場傳遞過程中出現(xiàn)了非對稱性；在對變量序列突變時點識別方面可以看出，突變時點的發(fā)生往往伴隨著重要的政策信息從而導(dǎo)致指令流的突變進而帶動外匯市場和股票市場的變動。本文的研究結(jié)論有助于從微觀角度對外匯市場和股票市場投資操作提供理論依據(jù)，同時也可以在宏觀上對政策制定提供參考。
[Abstract]:As the process of financial integration deepens, it is inevitable that the global financial markets will be closely linked. It is no longer sufficient to study a single market in a comprehensive and objective way to study the intrinsic nature of the entire market structure. The research on the linkage between financial markets is generally carried out from a macro perspective. Considering the influence of macro fundamental factors on exchange rate and stock price, but ignoring the influence of market micro factors and trading process will inevitably cause the research conclusion to deviate from the real world situation. In this paper, from the perspective of instruction flow information transmission, Based on the microstructural theory of foreign exchange market, this paper studies the linkage relationship between foreign exchange market and stock market dynamics caused by information transmission across markets. Taking market structure and trading mechanism as the consideration factors is not only more effective to market linkage. The dynamic relationship is evaluated, At the same time, we can also explore the mechanism of deep interaction between markets at the micro level. This new perspective is of great theoretical and practical significance in revealing the true relationship between financial markets. This paper first introduces the theoretical basis of the linkage relationship between the foreign exchange market and the stock market, and secondly, draws lessons from Francisco 2006) model, and puts forward the hypothesis of the structure of the stock market in combination with the foreign exchange market of our country. The model of the linkage relationship between the two markets in China is constructed. Third, This paper makes an empirical test on the model constructed in this paper. In the process of the test, the parametric and non-parametric methods are adopted respectively. The first is the empirical test on the use of the statistical data of the foreign exchange market and the stock market from February 2008 to March 2009. The basic characteristics of instruction flow and its role in the linkage between foreign exchange market and stock market are obtained. It is true that there is a certain amount of explanatory power in the process of transmission. However, the foreign exchange instruction flow is more powerful than the stock instruction stream, and there is asymmetry in the transmission process of the two markets. The occurrence of sudden change is often accompanied by important policy information, which leads to the sudden change of instruction flow, which leads to the change of foreign exchange market and stock market. The conclusion of this paper is helpful to the microcosmic analysis of foreign exchange market and stock market. The field investment operation provides the theoretical basis, At the same time, it can also provide a reference for policy making on the macro level.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.9

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本文編號：1503793