本文選題：收益率溢出效應(yīng)　切入點(diǎn)：中國(guó)股市　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：在全球經(jīng)濟(jì)一體化的大背景下，一些新興國(guó)家諸如阿根廷和泰國(guó)等國(guó)家在其國(guó)內(nèi)金融體制不完善，資本市場(chǎng)運(yùn)作尚未成熟的情況下過(guò)早地開(kāi)放了資本賬戶，導(dǎo)致外部資本沖擊脆弱的國(guó)內(nèi)資本市場(chǎng)，引發(fā)本國(guó)貨幣大幅貶值，引發(fā)金融動(dòng)蕩，最終導(dǎo)致資本賬戶開(kāi)放難以為繼。中國(guó)吸取了這些教訓(xùn)和發(fā)達(dá)國(guó)家資本賬戶開(kāi)放成功的經(jīng)驗(yàn)，循序漸進(jìn)地進(jìn)行資本市場(chǎng)自由化的改革，中國(guó)資本市場(chǎng)的開(kāi)放進(jìn)程對(duì)于我國(guó)市場(chǎng)經(jīng)濟(jì)體制特別是資本市場(chǎng)的發(fā)展與完善有著非常重要的意義。為了考察資本賬戶自由化對(duì)中國(guó)股市的影響，提升我國(guó)股票市場(chǎng)的效率，以避免與國(guó)際市場(chǎng)間的收益率溢出所導(dǎo)致的投資風(fēng)險(xiǎn)，推動(dòng)我國(guó)股票市場(chǎng)制度的完善和穩(wěn)健發(fā)展，非常有必要研究在不同資本賬戶開(kāi)放時(shí)期我國(guó)股市與世界股市間的收益率溢出效應(yīng)。 本文選取1992年3月1日到2012年3月1日期間中國(guó)上證指數(shù)，美國(guó)道瓊斯工業(yè)指數(shù)、英國(guó)富時(shí)指數(shù)、日經(jīng)指數(shù)、泰國(guó)SET指數(shù)、臺(tái)灣加權(quán)指數(shù)作為研究對(duì)象。在測(cè)度中國(guó)資本市場(chǎng)開(kāi)放程度的基礎(chǔ)上，將樣本分為三個(gè)階段，利用Johansen協(xié)整檢驗(yàn)、Granger因果檢驗(yàn)、脈沖響應(yīng)函數(shù)、方差分解等模型來(lái)研究中國(guó)與其他五大市場(chǎng)之間的收益率溢出效應(yīng)。通過(guò)實(shí)證分析得到以下結(jié)論：（1）在第一階段，中國(guó)資本賬戶處于管制階段，，中國(guó)股市與其他五大市場(chǎng)間基本無(wú)收益率溢出效應(yīng)，中國(guó)股市獨(dú)立于其他五大市場(chǎng)。（2）在第二階段，雖然中國(guó)對(duì)資本賬戶進(jìn)行了大刀闊斧的改革，這個(gè)階段中國(guó)股市開(kāi)始受外部市場(chǎng)的收益率溢出，但是由于在資本流量和存量上沒(méi)有一定的積累，其影響比較小并且中國(guó)股市對(duì)外部市場(chǎng)不存在收益率溢出。（3）在第三階段，隨著資本的流動(dòng)障礙逐漸減小，中國(guó)對(duì)外部市場(chǎng)尤其是亞太市場(chǎng)產(chǎn)生了較為明顯的收益率溢出。 通過(guò)以上的實(shí)證分析，本文提出了在保證國(guó)內(nèi)金融穩(wěn)定的前提下穩(wěn)步開(kāi)放資本賬戶的政策建議。
[Abstract]:In the context of global economic integration, some emerging countries, such as Argentina and Thailand, have opened their capital accounts prematurely in the absence of sound domestic financial systems and the functioning of capital markets, This has led to external capital shocks to fragile domestic capital markets, a sharp devaluation of the domestic currency, financial turmoil and, ultimately, the unsustainability of capital account opening. China has learned these lessons and the experience of successful capital account opening in developed countries. Progressive reform of capital market liberalization, The opening process of China's capital market is of great significance to the development and perfection of China's market economic system, especially the capital market. In order to investigate the impact of capital account liberalization on China's stock market, and to enhance the efficiency of China's stock market, In order to avoid the investment risk caused by the rate of return spillover with the international market, and promote the perfection and steady development of the stock market system of our country, It is necessary to study the yield spillover effect between Chinese stock market and world stock market in different capital account opening period. This paper selects the Shanghai Stock Index of China, the Dow Jones Industrial Index of the United States, the FTSE Index, the Nikkei Index and the SET Index of Thailand from March 1st 1992 to March 1st 2012. Based on the measurement of the openness of China's capital market, the samples are divided into three stages. The Johansen cointegration test is used to test Granger causality and impulse response function. The variance decomposition model is used to study the yield spillover effect between China and the other five major markets. By empirical analysis, the following conclusions are drawn: 1) in the first stage, China's capital account is in the regulatory stage. China's stock market has basically no yield spillover effect from the other five markets, and the Chinese stock market is independent of the other five markets.) in the second stage, although China has made drastic reforms to its capital account, At this stage, the Chinese stock market is beginning to be overrun by the return rate of the external market, but since there is no accumulation of capital flows and stocks, the impact is relatively small and there is no yield spillover in the Chinese stock market to the external market.) in the third stage, As the barriers to capital flow have gradually decreased, China has produced more significant yield spillovers to external markets, especially in the Asia-Pacific region. Based on the above empirical analysis, this paper puts forward some policy suggestions on the steady opening of the capital account under the premise of ensuring the domestic financial stability.
【學(xué)位授予單位】：湖南大學(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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