本文選題：證券市場　切入點：波動溢出　出處：《湖南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著世界經(jīng)濟(jì)一體化和金融全球化進(jìn)程的加快,各國在經(jīng)濟(jì)和金融領(lǐng)域的往來越來越密切,中國證券市場與世界各地證券市場的聯(lián)系也日益緊密,這在很大程度上促進(jìn)了中國證券市場的發(fā)展與完善。與此同時,風(fēng)險在各證券市場之間不斷動態(tài)演化,且呈現(xiàn)出影響范圍不斷擴(kuò)大的新特征。在這種背景下,中國證券市場時常受到世界各地證券市場波動的沖擊,國際證券市場對中國證券市場的波動溢出愈來愈顯著。 本文將通過建立ICA-GJR-GARCH-M模型來研究多個證券市場對單個證券市場的波動溢出。首先,就多個證券市場對單個證券市場波動溢出進(jìn)行定義,并從溢出的原因和途徑方面探討多個證券市場對單個證券市場波動溢出的機(jī)理。然后,結(jié)合多元統(tǒng)計分析中的獨立成分分析和時域分析方法中的GJR-GARCH-M模型,構(gòu)建多個證券市場對單個證券市場波動溢出的ICA-GJR-GARCH-M模型。接著,在度量各證券市場收益率波動的基礎(chǔ)上,利用所構(gòu)建的ICA-GJR-GARCH-M模型實證研究中國香港、日本、美國、韓國和英國證券市場對中國大陸證券市場的波動溢出。最后,根據(jù)實證結(jié)果提出相應(yīng)的政策建議。 研究結(jié)果表明,中國香港、日本、美國和韓國證券市場對中國大陸證券市場均存在較大程度的波動溢出,而英國證券市場對中國大陸證券市場的波動溢出非常小。因此,中國大陸證券市場在融入國際證券市場的過程中,不僅應(yīng)注意證券市場本身存在的風(fēng)險,還應(yīng)該對風(fēng)險傳染保持高度警惕,特別是對來自中國香港、美國、日本和韓國等與中國經(jīng)濟(jì)往來密切的國家或地區(qū)證券市場的風(fēng)險傳染,做好風(fēng)險防范措施。
[Abstract]:With the acceleration of the process of world economic integration and financial globalization, the contacts between various countries in the economic and financial fields have become closer and closer, and the links between China's securities market and the securities markets around the world have become increasingly close. This has greatly promoted the development and perfection of China's securities market. At the same time, risks have evolved dynamically among the various securities markets, and have shown new characteristics of continuous expansion of the scope of influence. China's securities market is often affected by the volatility of securities markets all over the world, and the volatility spillover of international securities markets to China's securities markets is becoming more and more significant. In this paper, ICA-GJR-GARCH-M model is established to study the volatility spillover of multiple securities markets on a single securities market. Firstly, the volatility spillover of multiple securities markets is defined. The mechanism of volatility spillover from multiple securities markets to a single securities market is discussed from the causes and ways of spillover. Then, the independent component analysis in multivariate statistical analysis and the GJR-GARCH-M model in time domain analysis are combined. The ICA-GJR-GARCH-M model of volatility spillover from multiple stock markets to a single securities market is constructed. Then, based on the measurement of the volatility of return in each stock market, the empirical study is made on Hong Kong, Japan, the United States, China, China, Hong Kong, Japan, and the United States by using the ICA-GJR-GARCH-M model constructed. The volatility spillover of Korean and British stock markets to mainland China. Finally, according to the empirical results, the corresponding policy recommendations are put forward. The results show that the securities markets of Hong Kong, Japan, the United States and South Korea all have volatility spillovers to the mainland of China to a large extent, while the volatility spillovers of the British securities markets to the securities markets in mainland China are very small. In the process of integrating into the international securities market, the securities market in mainland China should not only pay attention to the risks existing in the securities market itself, but also remain highly vigilant against risk contagion, especially for those from Hong Kong, China, the United States. Japan and South Korea and other countries with close economic ties with China or regional securities markets risk contagion, do a good job of risk prevention measures.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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