本文關(guān)鍵詞： 金融危機(jī) 復(fù)雜網(wǎng)絡(luò) 聯(lián)動(dòng)性 非線性 協(xié)整關(guān)系 影響力　出處：《南京信息工程大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：在金融市場(chǎng)中,資產(chǎn)間的聯(lián)動(dòng)性主要是指相互關(guān)聯(lián)的資產(chǎn)會(huì)表現(xiàn)出相似的波動(dòng)趨勢(shì)。那么在金融危機(jī)背景下,資產(chǎn)之間的關(guān)聯(lián)關(guān)系如何變化?各類資產(chǎn)的影響力又是如何變化?這些問(wèn)題一直以來(lái)都受到研究者的廣泛關(guān)注。 本文從系統(tǒng)科學(xué)角度出發(fā),在金融危機(jī)背景下運(yùn)用復(fù)雜網(wǎng)絡(luò)理論對(duì)金融市場(chǎng)中的資產(chǎn)價(jià)格聯(lián)動(dòng)及其影響力進(jìn)行了深入的對(duì)比研究,文章的主要工作和創(chuàng)新成果如下： (1)在2008年金融危機(jī)背景下,以滬市23個(gè)行業(yè)板塊指數(shù)作為研究對(duì)象,利用互信息法度量各行業(yè)之間的非線性關(guān)系,從而構(gòu)建了相應(yīng)的行業(yè)關(guān)聯(lián)網(wǎng)絡(luò)并對(duì)各行業(yè)的影響力進(jìn)行分析。實(shí)驗(yàn)結(jié)果表明：①金融危機(jī)對(duì)在中國(guó)經(jīng)濟(jì)中占主導(dǎo)地位的行業(yè)如制造業(yè)、批發(fā)和零售貿(mào)易、其他制造業(yè)等行業(yè)只有有限的影響。②金融危機(jī)對(duì)中國(guó)的出口型行業(yè)如紡織服裝皮毛、電子和木材家具造成了嚴(yán)重影響;金融危機(jī)對(duì)出口型行業(yè)的沖擊進(jìn)而影響了與之聯(lián)系緊密的行業(yè),從而導(dǎo)致出口型行業(yè)的影響力變大。③金融危機(jī)對(duì)中國(guó)的進(jìn)口行業(yè)如石油化工、金屬非金屬、醫(yī)藥生物等行業(yè)也造成了不利影響。然而,由于宏觀經(jīng)濟(jì)政策的刺激,危機(jī)對(duì)這些行業(yè)的沖擊有限。④由于相對(duì)嚴(yán)格的對(duì)外資本控制及宏觀政策刺激國(guó)內(nèi)需求,建筑業(yè)、房地產(chǎn)行業(yè)、金融保險(xiǎn)行業(yè)受到金融危機(jī)的沖擊較小。 (2)在次貸危機(jī)和歐債危機(jī)背景下,以全球26個(gè)國(guó)家和地區(qū)的股票市場(chǎng)指數(shù)作為研究對(duì)象,將協(xié)整理論與復(fù)雜網(wǎng)絡(luò)理論相結(jié)合,研究了26個(gè)股市之間的長(zhǎng)期均衡關(guān)系,并構(gòu)建了相應(yīng)的協(xié)整網(wǎng)絡(luò),從系統(tǒng)的角度研究了不同時(shí)期全球股市間的協(xié)整關(guān)系及其影響力。實(shí)驗(yàn)結(jié)果表明：①次貸危機(jī)和歐債危機(jī)確實(shí)改變了全球股市間的協(xié)整關(guān)系及協(xié)整關(guān)系程度。特別地,在美國(guó)雷曼公司倒閉后,全球股市間的協(xié)整關(guān)系數(shù)量明顯增加。此外,全球股市間的協(xié)整關(guān)系程度則隨時(shí)間變化逐步下降。②美國(guó)、日本及中國(guó)股市的影響力發(fā)生了明顯改變。在歐債危機(jī)之前,美國(guó)股市在全球股市中占據(jù)絕對(duì)的領(lǐng)導(dǎo)力；然而,在歐債危機(jī)時(shí)期,美國(guó)股市的影響力明顯減弱。對(duì)于日本股市,其總是對(duì)歐洲市場(chǎng)具有影響力,并且對(duì)亞洲市場(chǎng)也存在影響,然而在次貸危機(jī)以及美國(guó)蕭條時(shí)期,日本股市對(duì)處于同一地域的亞洲市場(chǎng)卻不具有影響力。對(duì)于中國(guó)股市,在次貸危機(jī)之前,由于中國(guó)對(duì)外參與程度較低,只有很少的市場(chǎng)與其存在協(xié)整關(guān)系。然而,在次貸危機(jī)及歐債危機(jī)時(shí)期,隨著中國(guó)對(duì)外參與程度的不斷加深以及經(jīng)濟(jì)實(shí)力的提升,越來(lái)越多的股市與中國(guó)股市存在長(zhǎng)期均衡關(guān)系。③對(duì)于發(fā)達(dá)股市以及新興股市,在歐債危機(jī)之前,發(fā)達(dá)市場(chǎng)在全球股市中占據(jù)絕對(duì)的領(lǐng)導(dǎo)力。然而,由于次貸危機(jī)以及歐債危機(jī)的沖擊,它們的影響力明顯下降。值得注意的是,美國(guó)及歐洲經(jīng)濟(jì)的蕭條已經(jīng)使得亞洲新興市場(chǎng)逐步代替歐洲發(fā)達(dá)市場(chǎng)來(lái)引領(lǐng)全球經(jīng)濟(jì)走勢(shì)。 以上結(jié)論不僅有利于我們?cè)诮鹑谖C(jī)背景下了解金融市場(chǎng)中資產(chǎn)價(jià)格聯(lián)動(dòng)及其影響力的變化,還能為投資者進(jìn)行資產(chǎn)投資以及風(fēng)險(xiǎn)管理提供一定的指導(dǎo)意義,為政府制定相應(yīng)的宏觀經(jīng)濟(jì)政策以促進(jìn)經(jīng)濟(jì)可持續(xù)健康穩(wěn)定發(fā)展提供有力指導(dǎo)。
[Abstract]:In the financial market, the linkage between assets mainly refers to the related assets will exhibit similar fluctuation trend. So under the background of financial crisis, how the relationship between the assets and the influence of all kinds of assets change? How changes? These problems have attracted the attention of researchers.
From the perspective of system science, this paper makes a deep comparative study of asset price linkage and its influence in financial market under the background of financial crisis, using complex network theory. The main works and achievements of the article are as follows:
(1) in the background of the financial crisis in 2008, in Shanghai 23 industry sector index as the research object, the nonlinear relationship between the mutual information measure in various industries, so as to construct the corresponding industry association network and the industry's influence is analyzed. The experimental results show that the financial crisis on the industry occupies a leading position in the Chinese in the economy such as manufacturing, wholesale and retail trade, other manufacturing industries limited. The financial crisis of Chinese export-oriented industries such as textile and garment fur, electronic and wood furniture caused serious influence; the financial crisis impact on export-oriented industries and it affects and is closely linked to the industry, leading export industries influence bigger. The financial crisis of China imports such as petrochemical industry, non-ferrous metal, pharmaceutical and biotech industries also adversely affected. However, Due to the stimulation of macroeconomic policies, the impact of the crisis on these industries is limited. Fourth, due to relatively strict external capital control and macroeconomic policies to stimulate domestic demand, the construction industry, the real estate industry and the financial and insurance industry are less affected by the financial crisis.
(2) in the subprime mortgage crisis and the European debt crisis, with 26 countries and regions in the world stock market index as the research object, the cointegration theory and complex network theory, studies the long-term equilibrium relationship between the 26 markets, and construct the corresponding cointegration network, from the perspective of system research the relationship between the stock market and the influence of the global association of different periods. The experimental results show that: the subprime crisis and the European debt crisis has really changed the global stock market between the Cointegration and cointegration relationship. In particular, the number of Lehman Corp in the United States after the collapse of the whole relationship between the global stock market association increased significantly. In addition, the global stock market the cointegration relationship between the degree of change with time gradually decreased. The United States, Japan and China the influence of the stock market has changed obviously. The debt crisis in Europe before the U.S. stock market to occupy the absolute leadership in the global stock market ; however, in the European debt crisis, the United States significantly weakened the influence of the stock market. For the Japanese stock market, it always has influence on the European market, and also have an impact on the Asian market, but in the US subprime mortgage crisis and recession, the Japanese stock market in the same region of the Asian market is not influential. For China stock market and before the subprime crisis, the Chinese foreign participation degree is low, only a few of the market and there is a cointegration relationship. However, in the subprime mortgage crisis and the European debt crisis, with Chinese foreign participation in the deepening and improvement of economy, the stock market and the stock market Chinese there is a long-term equilibrium relationship for more and more. The developed stock market and emerging stock market, the debt crisis in Europe before the developed market occupy the absolute leadership in the global stock market. However, due to the subprime mortgage crisis and the European debt crisis impact Their influence declined significantly. It is worth noting that the economic depression in the US and Europe has made Asian emerging markets take the lead in the global economic trend instead of the developed markets in Europe.
The above conclusion is not only conducive to our understanding of changes in asset price linkage and its influence in the financial market in the context of the financial crisis, but also provide some guidance for the investor asset investment and risk management, for the government to formulate the corresponding macroeconomic policies to provide effective guidance in promoting sustainable healthy and stable development of the economy.

【學(xué)位授予單位】：南京信息工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前9條

1 莊新田;閔志鋒;陳師陽(yáng);;上海證券市場(chǎng)的復(fù)雜網(wǎng)絡(luò)特性分析[J];東北大學(xué)學(xué)報(bào)(自然科學(xué)版);2007年07期

2 郭衍游,侯一筠,劉戰(zhàn)慶;互信息在海洋資料相關(guān)分析中的應(yīng)用[J];海洋科學(xué);2004年10期

3 沈藝峰;許琳;黃娟娟;;我國(guó)股權(quán)分置中對(duì)價(jià)水平的“群聚”現(xiàn)象分析[J];經(jīng)濟(jì)研究;2006年11期

4 才文仁增;;規(guī)則網(wǎng)絡(luò)的拓?fù)浠灸Ｐ蚚J];今日科苑;2007年10期

5 楊志安，，王光瑞，陳式剛;用等間距分格子法計(jì)算互信息函數(shù)確定延遲時(shí)間[J];計(jì)算物理;1995年04期

6 董美;;中國(guó)股票市場(chǎng)行業(yè)間股指聯(lián)動(dòng)分析[J];遼寧經(jīng)濟(jì);2012年09期

7 劉金娥;;亞洲金融危機(jī)后中國(guó)股市與世界股市的波動(dòng)溢出效應(yīng)研究[J];山東紡織經(jīng)濟(jì);2007年01期

8 周煒星;;金融物理學(xué):一個(gè)簡(jiǎn)單的綜述[J];世界科學(xué);2007年06期

9 陳守東 ,韓廣哲 ,荊偉;主要股票市場(chǎng)指數(shù)與我國(guó)股票市場(chǎng)指數(shù)間的協(xié)整分析[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2003年05期

本文編號(hào)：1548892