本文選題：關(guān)聯(lián)性　切入點：沖擊因素　出處：《天津財經(jīng)大學》2013年碩士論文

【摘要】：本文運用Granger檢驗、脈沖分析以及協(xié)整檢驗,研究中、美、歐股指之間短期、長期的關(guān)系,研究發(fā)現(xiàn)：中、美、歐股指間存在關(guān)聯(lián)性,并且關(guān)聯(lián)性越來越大；全球主要股指受外部沖擊后,經(jīng)市場傳導給上證指數(shù),給上證指數(shù)一個正方向的沖擊,并且持續(xù)時間長,影響程度大。反過來,上證指數(shù)受到外部沖擊后,給全球主要股指產(chǎn)生的影響微弱。中國股市與對發(fā)達市場股市的影響力度較小,受外界的影響較多,并且存在大量的非理性投資者,股市上“羊群效應”較為突出；為了進一步具體研究股指波動的沖擊因素,建立包含多種沖擊因素的面板回歸模型,將美元流動性作為各國股市的系統(tǒng)性風險因素引入模型,并且根據(jù)各國資本市場開放程度的差異,從全球股市、發(fā)達市場股市、新興市場股市3個角度,對股指波動沖擊因素進行橫向比較,并得出相應結(jié)論：第一,影響股指的主要因素是股指滯后期因素和美元流動性因素,股指滯后變量對新興市場的影響較發(fā)達市場有所增加,從而股指滯后變量對于新興市場的投資者具有更大的投資參考價值；第二,美元流動性因素對發(fā)達市場與新興市場股指的影響顯著,對于新興市場的影響系數(shù)更大；第三,貨幣供應量因素對于發(fā)達市場股指影響不顯著,對新興市場股指的影響顯著而且系數(shù)較大；第四,整體上看,利率因素與股指負相關(guān),對股指的影響微弱；匯率對股指幾乎沒有顯著的影響；GDP增長率因素對股指的影響是比較小的。
[Abstract]:This paper uses Granger test, pulse analysis and cointegration test to study the short-term and long-term relationship between American, European and Chinese stock indexes. It is found that: there is a correlation between Chinese, American and European stock indexes, and the correlation between them is more and more important; After the major global stock indexes are subjected to external shocks, they pass through the market to the Shanghai Stock Exchange Index and give the Shanghai Stock Exchange Index a positive impact, which lasts for a long time and has a great impact. In turn, after the Shanghai Stock Exchange Index is subjected to an external shock, The influence of Chinese stock market and developed market on stock market is weak, and there are a lot of irrational investors, so the herding effect in stock market is more prominent. In order to further study the impact factors of stock index volatility, a panel regression model with multiple impact factors is established, and the US dollar liquidity is introduced into the model as a systemic risk factor of stock market in various countries. And according to the difference of the opening degree of capital market in different countries, this paper compares the impact factors of stock index fluctuation from three angles of global stock market, developed market stock market and emerging market stock market, and draws the corresponding conclusion: first, The main factors influencing the stock index are the lag factor and the dollar liquidity factor. The influence of the lagging stock index variable on the emerging market is more than that of the developed market. As a result, the lagging stock index has greater reference value for investors in emerging markets; second, the dollar liquidity factor has a significant impact on developed and emerging market stock indexes, and the impact coefficient on emerging markets is greater; third, The influence of money supply factor on developed market stock index is not significant, but on emerging market stock index is significant and coefficient is larger. Fourth, overall, interest rate factor is negatively correlated with stock index, and the influence on stock index is weak. Exchange rate has little effect on stock index.
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F831.51;F832.51;F224

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