本文選題：金融危機(jī)　切入點(diǎn)：股票市場　出處：《上海社會科學(xué)院》2012年博士論文　論文類型：學(xué)位論文

【摘要】：隨著世界經(jīng)濟(jì)一體化趨勢越來越強(qiáng)，國際上主要股票市場經(jīng)常呈現(xiàn)齊漲共跌的趨勢，對股票市場的聯(lián)動的研究不僅對投資者具有重要的意義，對政府當(dāng)局避免由于外部股票市場聯(lián)動給本國帶來的股票市場的波動和金融市場的穩(wěn)定性同樣具有重要的政策意義，以往對股票市場的聯(lián)動主要集中在發(fā)達(dá)國家股票市場的聯(lián)動上，隨著新興國家的興起以及新興國家在世界經(jīng)濟(jì)中越來越重要的經(jīng)濟(jì)地位，對新興國家股票市場聯(lián)動的研究近年來越來越受到關(guān)注。 本文首先對境內(nèi)外股票市場聯(lián)動效應(yīng)做了系統(tǒng)全面的論述，然后通過對相關(guān)文獻(xiàn)的研究，結(jié)合理論背景和亞洲金融危機(jī)以及美國金融危機(jī)和歐債危機(jī)的現(xiàn)實(shí)情況，提出了本文的研究假設(shè)。接著主要是運(yùn)用多種方法對中國股票市場與香港、日本、美國和歐洲股票市場之間的聯(lián)動性進(jìn)行實(shí)證研究，從四個不同的角度考察聯(lián)動效應(yīng)的變化，即分別使用門限協(xié)整考察非線性相關(guān)性，，格蘭杰因果檢驗(yàn)考察變動因果性，DCC-GARCH模型考察收益率波動率的溢出效應(yīng)，Copula模型考察尾部相關(guān)性，以期對中美股票市場之間的聯(lián)動有個全面和不同層次聯(lián)動的了解。最后借鑒現(xiàn)有的研究成果，對金融危機(jī)背景下由于中外股票市場聯(lián)動的產(chǎn)生所導(dǎo)致的對我國金融市場穩(wěn)定的影響進(jìn)行了研究。具體如下： 第一、本文使用最近幾年發(fā)展起來的門限協(xié)整計(jì)量方法對中國股票市場（滬深300）與香港（恒生指數(shù)）、日本（日經(jīng)指數(shù)）、歐洲（彭博歐洲500）和美國股票（標(biāo)準(zhǔn)普爾500）市場的收益率的聯(lián)動性進(jìn)行了實(shí)證分析，結(jié)果發(fā)現(xiàn)：在亞洲金融危機(jī)期間，我國大陸股票市場與境外股票市場之間不存在聯(lián)動效應(yīng)，但是在美國金融危機(jī)和歐債危機(jī)卻出現(xiàn)了顯著的聯(lián)動效應(yīng)。 第二、中國股票市場（滬深300）與香港（恒生指數(shù)）、日本（日經(jīng)指數(shù)）、歐洲（彭博歐洲500）和美國股票（標(biāo)準(zhǔn)普爾500）市場波動率聯(lián)動的實(shí)證研究，本文使用雙變量DCC-GARCH模型對股價收益率的波動率的聯(lián)動性進(jìn)行了實(shí)證研究。結(jié)果發(fā)現(xiàn)：與亞洲金融危機(jī)期間相比，我國大陸股票市場與境外股票市場之間的聯(lián)動系數(shù)呈現(xiàn)了明顯的上升趨勢。 第三、利用Copula模型對中國股票市場（滬深300）與香港（恒生指數(shù)）、日本（日經(jīng)指數(shù)）、歐洲（彭博歐洲500）和美國股票（標(biāo)準(zhǔn)普爾500）的尾部相關(guān)性進(jìn)行實(shí)證研究。結(jié)果發(fā)現(xiàn)，與亞洲金融危機(jī)期間相比，峰值相關(guān)系數(shù)呈現(xiàn)了明顯增大現(xiàn)象。 最后本文借鑒前人的研究成果，利用金融穩(wěn)定性指數(shù)對美國金融危機(jī)和歐債危機(jī)對我國金融穩(wěn)定性的影響進(jìn)行了實(shí)證分析，結(jié)果發(fā)現(xiàn)，雖然我國大陸股票市場與境外股票市場在金融危機(jī)期間出現(xiàn)了聯(lián)動，但是聯(lián)動效應(yīng)并沒有大到對我國的金融穩(wěn)定性產(chǎn)生影響，從金融穩(wěn)定性指數(shù)時間序列可以看出，該序列為平穩(wěn)時間序列，從脈沖響應(yīng)可以看出，我國的股票市場具有較強(qiáng)的恢復(fù)平穩(wěn)狀態(tài)能力，表現(xiàn)出了較強(qiáng)的抗風(fēng)險(xiǎn)能力。最后結(jié)合本文的理論分析和實(shí)證研究，本文提出了政策建議。 本文創(chuàng)新之處主要有以下幾點(diǎn)： 第一、在理論方面，把經(jīng)濟(jì)危機(jī)的歷史變遷和金融危機(jī)傳導(dǎo)理論相結(jié)合，在一定程度上彌補(bǔ)了現(xiàn)在國內(nèi)相關(guān)研究的不足。并在文獻(xiàn)綜述和對中國大陸、香港、日本、美國和歐盟經(jīng)濟(jì)關(guān)系深入了解的基礎(chǔ)上提出了本文的研究假設(shè)。 第二、本文對股票市場聯(lián)動的實(shí)證提出了一個實(shí)證框架來驗(yàn)證本文的假設(shè)，即從三個層面分別對收益率、波動率和極值相關(guān)進(jìn)行分析以求對股指之間的聯(lián)動關(guān)系有多層次和深入的了解，避免目前只對收益率或者波動率關(guān)系進(jìn)行研究或者只是對峰值相關(guān)進(jìn)行研究來判斷股票市場聯(lián)動情況的研究缺陷。 第三、通過使用copula函數(shù)，可以比較清楚的對比分析各個時間段相關(guān)系數(shù)的變化，從而考察經(jīng)濟(jì)危機(jī)的短期沖擊效應(yīng)。 第四、以往的研究大多是針對中國大陸和單個境外股票市場的研究，本文采用中國A股市場（滬深300）與香港（恒生指數(shù)）、日本（日經(jīng)指數(shù)）、歐洲（彭博歐洲500）和美國股票（標(biāo)準(zhǔn)普爾500）市場五個指數(shù)對我國大陸、香港、日本、美國和歐洲之間的關(guān)系進(jìn)行了研究。 第五、本文不僅僅是對聯(lián)動現(xiàn)象進(jìn)行了研究，還利用DCC-GARCH模型的估計(jì)結(jié)果對美國金融危機(jī)和歐債危機(jī)對我國金融穩(wěn)定性的影響進(jìn)行了分析。
[Abstract]:With the trend of economic integration in the world is more and more strong, the main stock market often appear together with rose fell trend of linkage on the stock market not only has important significance for investors, the government authorities to avoid the stability of external stock market linkage to domestic brings the fluctuation of the stock market and the financial market also has policy significance the previous linkage linkage on the stock market is mainly concentrated in the developed stock market, with the rise of emerging countries and emerging countries in the world economy more and more important in the economic status, research on the linkage of stock market in emerging countries more and more attention in recent years.
Firstly, the domestic and foreign stock market linkage effects do a systematic and comprehensive analysis, and then through the study of literature, theoretical background and reality of the Asian financial crisis and the financial crisis in the United States and the European debt crisis, puts forward the research hypothesis. Then mainly by using a variety of methods of China stock market and Hongkong, Japan and makes an empirical study on the linkage between the United States and the European stock market, to study the change of the linkage effect from four different angles, which are used to study nonlinear threshold cointegration relationship, Grainger causality test to explore changes of causality, DCC-GARCH model to study the spillover effect of the volatility of return rate, Copula model to study the tail correlation, in order a comprehensive understanding of the different levels of linkage and linkage between Chinese and American stock market. Finally, based on the existing research achievement, on the background of financial crisis The impact of the linkage of Chinese and foreign stock markets on the stability of China's financial market has been studied.
First, this paper use the recently developed threshold cointegration measurement of Chinese stock market (Shanghai and Shenzhen 300) and Hongkong (HSI), Japan (Nikkei), Europe (Peng Bo, European and American stock (500) P 500) linkage yield market through empirical analysis, the results found during the Asian financial crisis, there is no interaction effect between China mainland stock market and overseas stock markets, but the financial crisis in the United States and the European debt crisis has appeared significant linkage effects.
Second, China stock market (Shanghai and Shenzhen 300) and Hongkong (HSI), Japan (Nikkei), Europe (Bloomberg Europe 500) and American stock (S & P 500) An Empirical Study on market volatility linkage, the linkage of the bivariate DCC-GARCH model of stock return volatility empirically the research results showed that: Compared with. During the Asian financial crisis, the linkage coefficient between China's stock market of mainland and overseas stock market showed a significant upward trend.
Third, the China stock market using Copula model (Shanghai 300) and Hongkong (HSI), Japan (Nikkei), Europe (Peng Bo, European and American stock (500) P 500) makes an empirical research on the tail correlation. The results showed that compared with during the Asian financial crisis, the peak correlation coefficient is obvious to increase the phenomenon.
At the end of this paper, drawing on previous research results, the influence of the financial crisis in the United States and the European debt crisis on China's financial stability through the empirical analysis, using the financial stability index results showed that although the Chinese mainland stock market and overseas stock market linkage during the financial crisis, but the linkage effects are not big enough to financial stability to me the impact from the time series of financial stability index can be seen, the sequence is stationary time series, from the impulse response can be seen, China's stock market has a strong recovery steady state capacity, showed a strong ability to resist risks. Finally, combining the theoretical and empirical research, this paper puts forward policy suggestions.
The main innovations of this paper are as follows:
First, in theory, the economic crisis of the historical changes and the financial crisis conduction theory, to a certain extent, compensate for the lack of domestic research. And now the literature review and the China mainland, Hongkong, Japan, in-depth understanding of the economic relationship between the United States and the European Union put forward the hypothesis of this research.
Second, this paper on the stock market linkage presents an empirical framework to validate the hypothesis, namely from three aspects respectively on the rate of return, volatility and extreme value analysis to multi-level and in-depth understanding of the relationship between the stock index linkage, to avoid the current only to return or volatility relationship study on peak related research or just to judge the defects of linkage in the stock market.
Third, by using the copula function, we can compare and analyze the changes in the correlation coefficient of each time relatively clearly, so as to investigate the short-term impact effect of the economic crisis.
絎洓,浠ュ線鐨勭爺絀跺ぇ澶氭槸閽堝涓浗澶ч檰鍜屽崟涓澶栬偂紲ㄥ競鍦虹殑鐮旂┒,鏈枃閲囩敤涓浗A鑲″競鍦

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