發(fā)布時(shí)間：2018-03-06 16:54

  本文選題：股市聯(lián)動(dòng)　切入點(diǎn)：VAR-BEKK-GARCH　出處：《中國農(nóng)業(yè)大學(xué)》2014年博士論文　論文類型：學(xué)位論文

【摘要】：隨著世界資本市場(chǎng)的不斷發(fā)展,資本在本國市場(chǎng)與國外市場(chǎng)之間自由流動(dòng),全球股市呈現(xiàn)出共同上漲或下跌的趨勢(shì),這種股市聯(lián)動(dòng)在世界資本市場(chǎng)中表現(xiàn)的越來越普遍。股市聯(lián)動(dòng)也成為國內(nèi)外學(xué)術(shù)界研究的焦點(diǎn)問題。隨著QFII和QDII制度的實(shí)施,匯率制度改革的穩(wěn)步推進(jìn),國內(nèi)外投資者已經(jīng)能夠利用中國股市和境外股市進(jìn)行分散投資,這使得中國股市與世界資本市場(chǎng)產(chǎn)生了一定程度的聯(lián)動(dòng)性。中國股市已經(jīng)由封閉性市場(chǎng)轉(zhuǎn)變?yōu)橛邢揲_放的市場(chǎng),其正逐步融入世界資本市場(chǎng),這種轉(zhuǎn)變,一方面使得投資者可以利用世界資本市場(chǎng)去豐富投資組合,分散投資風(fēng)險(xiǎn),提高投資收益；另一方面要求中國股市管理者制定相應(yīng)的政策,保證中國股市的健康發(fā)展。正是出于這一目的,本文對(duì)中國股市與世界主要股市的聯(lián)動(dòng)關(guān)系進(jìn)行研究。 本文通過理論分析和實(shí)證研究中國股市與世界主要股市聯(lián)動(dòng)性,介紹了中國股市與世界主要股市間聯(lián)動(dòng)的現(xiàn)狀,得出了中國股市與世界主要股市的相關(guān)關(guān)系、長期關(guān)系和波動(dòng)性溢出。本文結(jié)構(gòu)及研究內(nèi)容如下： 第一章是導(dǎo)言。本章探討了本文研究背景,提出了本文的研究目標(biāo),分析了學(xué)者關(guān)于股市聯(lián)動(dòng)的研究,并指出本文的研究思路、研究內(nèi)容以及本文的主要?jiǎng)?chuàng)新。 第二章是股市聯(lián)動(dòng)的相關(guān)理論。本章首先介紹了基于現(xiàn)代投資理論的證券投資組合理論、資產(chǎn)定價(jià)模型和套利定價(jià)模型,然后探討了金融(危機(jī))傳染理論,并且分析了金融傳染的條件與渠道；最后介紹了研究股市聯(lián)動(dòng)的計(jì)量經(jīng)濟(jì)學(xué)方法。 第三章是中國股市與世界股市聯(lián)動(dòng)的影響因素。本章介紹了世界股市與中國股市的概況；分析了股市開放、對(duì)外貿(mào)易、資金利用和經(jīng)濟(jì)政策等幾個(gè)方面對(duì)聯(lián)動(dòng)的影響。 第四章是中國股市與世界主要股市的因子分析,主要運(yùn)用相關(guān)系數(shù)法、因子分析模型區(qū)檢驗(yàn)影響樣本股市的公因子,確定某個(gè)因子對(duì)那些股市的解釋能力,進(jìn)而確定這些股市的聯(lián)動(dòng)關(guān)系。 第五章是中國股市與世界主要股市的長期均衡與短期沖擊研究,通過VAR模型、格蘭杰因果關(guān)系檢驗(yàn)、脈沖響應(yīng)分析和方差分解,確定樣本股市的長期均衡結(jié)果,并分析股市的短期沖擊對(duì)相關(guān)國家或地區(qū)股市波動(dòng)的影響,以及某個(gè)國家股市對(duì)其他國家股市波動(dòng)的貢獻(xiàn)程度。 第六章是中國股市與世界主要股市的波動(dòng)性溢出效應(yīng)研究,通過VAR-BEKK-GARCH模型研究樣本之間的波動(dòng)性溢出,確定股市波動(dòng)溢出的方向。 第七章是結(jié)論與展望,主要是對(duì)全文的總結(jié),對(duì)政策制定者和投資者的建議,以及對(duì)未來股市聯(lián)動(dòng)研究的發(fā)展方向的介紹。
[Abstract]:With the continuous development of the world capital market and the free flow of capital between the domestic market and the foreign market, the global stock market shows a common upward or downward trend. This kind of stock market linkage is becoming more and more common in the world capital market. Stock market linkage has also become the focus of academic research at home and abroad. With the implementation of QFII and QDII system, the reform of exchange rate system is advancing steadily. Domestic and foreign investors have been able to diversify their investments by using the Chinese stock market and the foreign stock market, which has created a certain degree of linkage between the Chinese stock market and the world capital market. The Chinese stock market has changed from a closed market to a limited open market. On the one hand, investors can make use of the world capital market to enrich investment portfolio, diversify investment risk and improve investment returns; On the other hand, the managers of Chinese stock market are required to make corresponding policies to ensure the healthy development of Chinese stock market. For this purpose, this paper studies the relationship between Chinese stock market and major stock markets in the world. Through theoretical analysis and empirical research on the linkage between Chinese stock market and the world's main stock market, this paper introduces the current situation of the linkage between the Chinese stock market and the world's main stock market, and concludes the correlation between the Chinese stock market and the world's main stock market. Long-term relationship and volatility spillover. The first chapter is the introduction. This chapter discusses the research background of this paper, puts forward the research objectives of this paper, analyzes the scholars' research on the stock market linkage, and points out the research ideas, research contents and the main innovations of this paper. The second chapter is the related theory of stock market linkage. This chapter first introduces the portfolio theory, asset pricing model and arbitrage pricing model based on modern investment theory, and then discusses the financial (crisis) contagion theory. It also analyzes the conditions and channels of financial contagion, and finally introduces the econometrics method to study the linkage of stock market. The third chapter is the influence factors of the linkage between Chinese stock market and world stock market. This chapter introduces the general situation of the world stock market and Chinese stock market, and analyzes the impact of stock market opening, foreign trade, fund utilization and economic policy on the linkage. Chapter 4th is the factor analysis of the Chinese stock market and the world's major stock markets. It mainly uses the correlation coefficient method, the factor analysis model area to test the common factors that affect the sample stock market, and determines the interpretation ability of a certain factor to those stock markets. Then determine the linkage of these stock markets. Chapter 5th is a study on the long-term equilibrium and short-term impact of Chinese stock market and major world stock market. Through VAR model, Granger causality test, impulse response analysis and variance decomposition, the long-term equilibrium results of the sample stock market are determined. It also analyzes the impact of the short-term impact of the stock market on the volatility of the relevant countries or regions, as well as the contribution of one country's stock market to the volatility of other countries' stock market. Chapter 6th is a study of volatility spillover effect between Chinese stock market and major stock market in the world. The direction of volatility spillover in stock market is determined by using VAR-BEKK-GARCH model to study volatility spillover between samples. Chapter 7th is a conclusion and prospect, mainly a summary of the full text, suggestions to policy makers and investors, as well as an introduction to the development direction of the future stock market linkage research.
【學(xué)位授予單位】：中國農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F831.51;F224

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