中、港、美證券市場間的交叉相關(guān)研究
發(fā)布時間：2019-06-04 17:36
【摘要】：在金融實(shí)證研究中，股票收益率自相關(guān)的問題一直廣受關(guān)注，，Cutler et al（.1990）強(qiáng)調(diào)了“反饋交易”行為與股票市場自相關(guān)性的關(guān)系，開創(chuàng)了股票收益率自相關(guān)問題研究的新視角。隨著2007年美國次貸危機(jī)的發(fā)生，全球的經(jīng)濟(jì)都受到了或大或小的沖擊。因此，從“反饋交易”行為的角度探討金融危機(jī)對中國股市的影響以及對投資者行為特征的影響具有重要的理論和現(xiàn)實(shí)意義。 本文以中、港、美三個地區(qū)代表性股票指數(shù)收益率為研究對象，通過理論與實(shí)證分析相結(jié)合的方式，基于正反饋交易行為，對各個地區(qū)股票指數(shù)收益率的自相關(guān)性、不同地區(qū)之間股票指數(shù)收益率的交叉相關(guān)性進(jìn)行了研究。通過GARCH-M模型，得到單個市場股票收益率的條件方差、當(dāng)期股票收益率與滯后一期股票收益率之間的條件自相關(guān)系數(shù)，以及兩個市場之間的股票收益率條件交叉相關(guān)系數(shù)以及相應(yīng)的條件方差，探究各個地區(qū)股市的波動溢出效應(yīng)、收益溢出效應(yīng)特征和正反饋交易行為。為了探究2007年美國次貸危機(jī)對我國股市交易者行為的影響，特別地，本文把中、港、美三個市場指數(shù)數(shù)據(jù)分為2007年金融危機(jī)前及危機(jī)后兩個階段，分別對其相關(guān)性和正反饋交易行為進(jìn)行了研究。主要結(jié)論如下： （1）中國股市的波動性比美國、香港地區(qū)股市的波動性要大。三個市場指數(shù)存在顯著的ARCH效應(yīng)，因此可通過ARCH族模型來刻畫收益率波動的時變性和聚類性。 （2）雙變量GARCH-M模型較好地模擬了中國、美國、香港地區(qū)股市自相關(guān)性、交叉相關(guān)性的特征。相對而言，美國股市與香港股市的聯(lián)動性較強(qiáng)，中國內(nèi)地市場與香港股市之間也具有一定的相關(guān)性，中國股市在一定程度上受美國股市的影響。 （3）波動性與自相關(guān)系數(shù)之間不僅有“微笑曲線”的特征，也具有不對稱性特征。2007年金融危機(jī)對中國、美國、香港市場的反饋交易效應(yīng)產(chǎn)生了一定的影響。
[Abstract]:In the empirical research of finance, the autocorrelation of stock return has been paid more and more attention to, Cutler et al (. 1990), which emphasizes the relationship between "feedback trading" behavior and the autocorrelation of stock market. It creates a new perspective on the autocorrelation of stock return. With the occurrence of the subprime mortgage crisis in the United States in 2007, the global economy has been hit either big or small. Therefore, it is of great theoretical and practical significance to explore the influence of the financial crisis on the Chinese stock market and the characteristics of investors' behavior from the perspective of "feedback trading" behavior. This paper takes the three regional representative stock index returns of China, Hong Kong and the United States as the research object, through the combination of theoretical and empirical analysis, based on the positive feedback trading behavior, the autocorrelation of the stock index returns in each region. The cross-correlation of stock index return among different regions is studied. Through the GARCH-M model, the conditional variance of the stock return in a single market is obtained, and the conditional autocorrelation coefficient between the current stock return and the lag first stock return is obtained. As well as the conditional cross-correlation coefficient and the corresponding conditional variance between the two markets, this paper explores the volatility spillover effect, return spillover effect characteristics and positive feedback trading behavior of the stock market in each region. In order to explore the influence of the 2007 subprime mortgage crisis on the behavior of Chinese stock market traders, especially, this paper divides the three market index data of China, Hong Kong and the United States into two stages before and after the 2007 financial crisis. The correlation and positive feedback trading behavior are studied respectively. The main conclusions are as follows: (1) the volatility of the Chinese stock market is greater than that of the United States and Hong Kong. There is a significant ARCH effect in the three market indices, so the time-varying and clustering of yield fluctuations can be characterized by arch family model. (2) the bivariate GARCH-M model simulates the autocorrelation and cross-correlation of stock markets in China, the United States and Hong Kong. Relatively speaking, the interaction between the US stock market and the Hong Kong stock market is strong, and there is also a certain correlation between the mainland Chinese market and the Hong Kong stock market. The Chinese stock market is affected by the US stock market to a certain extent. (3) the relationship between volatility and autocorrelation coefficient not only has the characteristics of "smile curve", but also has the characteristics of asymmetry. The 2007 financial crisis has had a certain impact on the feedback trading effect in China, the United States and Hong Kong.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F837.12
本文編號：2492881
[Abstract]:In the empirical research of finance, the autocorrelation of stock return has been paid more and more attention to, Cutler et al (. 1990), which emphasizes the relationship between "feedback trading" behavior and the autocorrelation of stock market. It creates a new perspective on the autocorrelation of stock return. With the occurrence of the subprime mortgage crisis in the United States in 2007, the global economy has been hit either big or small. Therefore, it is of great theoretical and practical significance to explore the influence of the financial crisis on the Chinese stock market and the characteristics of investors' behavior from the perspective of "feedback trading" behavior. This paper takes the three regional representative stock index returns of China, Hong Kong and the United States as the research object, through the combination of theoretical and empirical analysis, based on the positive feedback trading behavior, the autocorrelation of the stock index returns in each region. The cross-correlation of stock index return among different regions is studied. Through the GARCH-M model, the conditional variance of the stock return in a single market is obtained, and the conditional autocorrelation coefficient between the current stock return and the lag first stock return is obtained. As well as the conditional cross-correlation coefficient and the corresponding conditional variance between the two markets, this paper explores the volatility spillover effect, return spillover effect characteristics and positive feedback trading behavior of the stock market in each region. In order to explore the influence of the 2007 subprime mortgage crisis on the behavior of Chinese stock market traders, especially, this paper divides the three market index data of China, Hong Kong and the United States into two stages before and after the 2007 financial crisis. The correlation and positive feedback trading behavior are studied respectively. The main conclusions are as follows: (1) the volatility of the Chinese stock market is greater than that of the United States and Hong Kong. There is a significant ARCH effect in the three market indices, so the time-varying and clustering of yield fluctuations can be characterized by arch family model. (2) the bivariate GARCH-M model simulates the autocorrelation and cross-correlation of stock markets in China, the United States and Hong Kong. Relatively speaking, the interaction between the US stock market and the Hong Kong stock market is strong, and there is also a certain correlation between the mainland Chinese market and the Hong Kong stock market. The Chinese stock market is affected by the US stock market to a certain extent. (3) the relationship between volatility and autocorrelation coefficient not only has the characteristics of "smile curve", but also has the characteristics of asymmetry. The 2007 financial crisis has had a certain impact on the feedback trading effect in China, the United States and Hong Kong.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F837.12
【參考文獻(xiàn)】
相關(guān)期刊論文 前10條
1 程興華,段瑞強(qiáng);我國A股與B股市場分割性之實(shí)證研究[J];財經(jīng)論叢(浙江財經(jīng)學(xué)院學(xué)報);2004年06期
2 何劍;姚益清;;基于正反饋交易理論的中美股市比較研究[J];財會通訊;2009年06期
3 趙偉;曾勇;;股票互自相關(guān)與反轉(zhuǎn)收益的實(shí)證研究[J];電子科技大學(xué)學(xué)報;2008年01期
4 張漫子;;證券市場反饋交易行為實(shí)證研究[J];東岳論叢;2010年07期
5 胡海鵬,方兆本;用AR-EGARCH-M模型對中國股市波動性的擬合分析[J];系統(tǒng)工程;2002年04期
6 吳世農(nóng),潘越;香港紅籌股、H股與內(nèi)地股市的協(xié)整關(guān)系和引導(dǎo)關(guān)系研究[J];管理學(xué)報;2005年02期
7 朱宏泉,盧祖帝,汪壽陽;中國股市的Granger因果關(guān)系分析[J];管理科學(xué)學(xué)報;2001年05期
8 韓德宗;中國A股市場分割因素與消除路徑[J];經(jīng)濟(jì)理論與經(jīng)濟(jì)管理;2004年07期
9 趙桂芹;股票交易量與股價波動關(guān)系研究綜述[J];經(jīng)濟(jì)學(xué)動態(tài);2002年11期
10 劉金全;崔暢;;中國滬深股市收益率和波動性的實(shí)證分析[J];經(jīng)濟(jì)學(xué)(季刊);2002年03期
本文編號：2492881
本文鏈接：http://sikaile.net/guanlilunwen/zhqtouz/2492881.html
最近更新
教材專著
