本文選題：金磚四國 + 股市聯(lián)動性�。� 參考：《東華大學》2012年碩士論文

【摘要】：隨著世界經(jīng)濟一體化的推進,國與國之間相互影響的廣度、深度和影響時間都相比以前有了明顯的提高。這種相互影響既有正面積極的效果,例如互利互惠、協(xié)調發(fā)展和資源優(yōu)化配置等,同時也存在著諸多負面效應。自美國次貸危機以來,除了美國本土企業(yè)受到巨大損失、不少企業(yè)破產以外,其他國家受到的沖擊也不容小覷。美國股市受到經(jīng)濟不景氣的拖累,出現(xiàn)了嚴重下滑,金磚四國的股市也出現(xiàn)了不同程度的下跌。 本文首先對于股市聯(lián)動性的文獻綜述進行了梳理和總結。按研究對象可以分為：發(fā)達國家間股市聯(lián)動性、發(fā)達國家和發(fā)展中國家間股市聯(lián)動性、發(fā)展中國家間股市聯(lián)動性。按研究方法可以分為：協(xié)整模型和VAR模型、ARCH族模型和其他方法。研究股市聯(lián)動性的理論可以分為：經(jīng)濟基礎說、行為金融學和其他理論。并對文獻綜述進行了評述,歸納總結了文獻綜述的特點,評價文獻綜述的不足之處和發(fā)展方向。 其次,本文對股市聯(lián)動性的傳導渠道進行分析。以股市上漲為例,資本傳導渠道基本原理為：一國資本流入另一國,最終引起另一國的貨幣供應量增加,使得股市引起變動。國際貿易渠道基本原理為：國際貿易影響總需求、價格和產量的變動,然后影響宏觀經(jīng)濟,從而引起股市價格波動。 在研究股市傳導途徑和文獻綜述的基礎上,本文介紹了股市聯(lián)動性研究的方法,包括VAR模型、協(xié)整分析、方差分析和脈沖響應函數(shù)等方法。然后對股市聯(lián)動性進行實證研究,通過實證分析發(fā)現(xiàn),美國標普500指數(shù)和巴西Bovespa指數(shù)的聯(lián)動性最強,其次是俄羅斯RTSI指數(shù),而美國標普500指數(shù)同印度BSE30指數(shù)和中國滬深300指數(shù)的聯(lián)動性最弱。 最后,本文對金磚四國緩解美國股市不利沖擊提出了政策建議。在監(jiān)管熱錢流動方面,可以嚴格控制非法資金的流入、構建更為有效的監(jiān)控機制國際熱錢流動、促進國際合作、加強對外資流入股票市場的管理、在必要的時候開征托賓稅。在改革國際貨幣體系方面,一要促進國際貨幣基金組織的決策機制更加透明化,避免暗箱操作；二要進行多方協(xié)調,增強金磚四國在國際貨幣體系改革中的話語權。在規(guī)范股市信息披露方面,可以建立和完善證券市場監(jiān)督的組織體系、建立健全有關法律法規(guī)體系、制定證券市場信息監(jiān)管制度、完善證券發(fā)行、上市審核制度。
[Abstract]:With the development of world economic integration, the breadth, depth and influence time of the interaction between countries have been obviously improved.This kind of interaction has both positive and positive effects, such as mutual benefit, coordinated development and optimal allocation of resources, as well as many negative effects.Since the subprime mortgage crisis in the United States, in addition to the huge losses suffered by domestic companies, many companies have gone bankrupt, other countries are also not to be underestimated.U.S. stocks, dragged down by the recession, have fallen sharply, and BRIC stocks have fallen to varying degrees.Firstly, this paper summarizes the literature review of stock market linkage.According to the research object, it can be divided into three parts: stock market linkage among developed countries, stock market linkage between developed and developing countries, and stock market linkage between developing countries.According to the research methods, it can be divided into: cointegration model and VAR model, arch family model and other methods.The theory of stock market linkage can be divided into economic base theory, behavioral finance and other theories.This paper also reviews the literature review, summarizes the characteristics of the literature review, and evaluates the shortcomings and development direction of the literature review.Secondly, this paper analyzes the transmission channel of stock market linkage.Taking the stock market rise as an example, the basic principle of the capital transmission channel is that capital flows into another country, which eventually leads to the increase of money supply in another country, which causes the stock market to change.The basic principle of international trade channel is that international trade affects the change of aggregate demand, price and output, and then affects the macro economy, thus causing the fluctuation of stock market price.Based on the study of stock market conduction and literature review, this paper introduces the methods of stock market linkage research, including VAR model, cointegration analysis, variance analysis and impulse response function.Through empirical analysis, it is found that the S & P 500 index and the Brazilian Bovespa index are the strongest, followed by the Russian RTSI index.The S & P 500 index has the weakest interaction with India's BSE30 index and China's CSI 300 index.Finally, the paper puts forward some policy suggestions for the BRICs to mitigate the adverse impact of American stock market.In regulating the flow of hot money, we can strictly control the inflow of illegal funds, construct a more effective monitoring mechanism for international hot money flows, promote international cooperation, strengthen the management of the inflow of foreign capital into the stock market, and levy a Tobin tax when necessary.In the reform of the international monetary system, first, the decision-making mechanism of the International Monetary Fund should be made more transparent so as to avoid dark manipulation; second, the BRICs' voice in the reform of the international monetary system should be strengthened through multi-party coordination.In regulating the disclosure of information in the stock market, we can establish and perfect the organizational system of securities market supervision, establish and perfect the relevant laws and regulations system, formulate the information supervision system of the securities market, and perfect the securities issuance and listing examination system.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F831.51;F224

【參考文獻】

相關期刊論文 前10條

1 王擎;張恒;;國際熱錢與我國股價的關系[J];財經(jīng)科學;2010年10期

2 鄧永亮;;“熱錢”對我國資產價格影響的實證研究[J];當代經(jīng)濟科學;2010年04期

3 羅子光;;香港股市與內地股市的聯(lián)動性研究[J];南方金融;2008年12期

4 吳英杰;;全球金融危機背景下的股市聯(lián)動性變化——基于DAG和結構VECM的實證分析[J];南方金融;2010年04期

5 曹媚;;我國國際貿易中的非正常資本流入研究[J];國際貿易問題;2008年09期

6 王志芬;張雪玲;;次貸危機對中美股市聯(lián)動性的影響分析[J];經(jīng)濟論壇;2009年09期

7 方建武;安寧;;中美股市的聯(lián)動性分析及預測[J];經(jīng)濟問題探索;2010年04期

8 斯映紅;;中美股市聯(lián)動性研究[J];經(jīng)濟研究導刊;2010年23期

9 母宇;;后金融危機時代關于中國股市與世界重要股市聯(lián)動性的思考——基于金融危機前后數(shù)據(jù)的對比分析[J];金融經(jīng)濟;2010年14期

10 胡秋靈;劉偉;;中美股市聯(lián)動性分析——基于次貸危機背景下的收益率研究[J];金融理論與實踐;2009年06期

相關碩士學位論文 前6條

1 丁勇錦;中國內地股市與香港股市聯(lián)動性研究[D];浙江大學;2008年

2 卓桂秋;中美股市聯(lián)動性的實證研究[D];廈門大學;2009年

3 劉闖;中國股市與國際股市聯(lián)動性研究[D];復旦大學;2009年

4 陳瑋;中國資本市場開放進程中股市聯(lián)動性的實證分析[D];浙江工商大學;2010年

5 徐娟;基于QFII的中國A股和美國股市聯(lián)動性分析[D];華中科技大學;2009年

6 劉偉;中國同國際主要股市聯(lián)動性分析[D];陜西師范大學;2010年

，

本文編號：1736634