本文選題：主權(quán)信用評級　切入點：事件研究法　出處：《電子科技大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：2009年底,希臘政府的財政赤字和公共債務(wù)占國內(nèi)生產(chǎn)總值的比例嚴(yán)重超出《馬斯特里赫特條約》規(guī)定的上限,其財政狀況惡化,世界三大評級機構(gòu)標(biāo)準(zhǔn)普爾,穆迪和惠譽相繼下調(diào)希臘的主權(quán)信用評級,希臘債務(wù)危機爆發(fā)。而后意大利,西班牙,葡萄牙和愛爾蘭的評級也被下調(diào),希臘債務(wù)演變成為了歐洲債務(wù)危機。在金融開放環(huán)境下和經(jīng)濟全球化進程中,各國經(jīng)濟之間的相關(guān)性和依存度逐漸上升,因而,爆發(fā)在一國一區(qū)域的債務(wù)危機能否撼動全球經(jīng)濟,引發(fā)全球性的金融海嘯,以及如何防范金融危機,維護金融市場的穩(wěn)定都成為學(xué)術(shù)界研究的焦點。本文從歐洲主權(quán)信用評級下調(diào)引發(fā)的債務(wù)危機的理論入手,闡述了危機的起源、擴散以及對全球經(jīng)濟的影響和沖擊,然后通過對國內(nèi)外相關(guān)文獻的研究,結(jié)合理論背景和債務(wù)危機的現(xiàn)實情況,實證研究債務(wù)危機的跨國傳染性。由于股票市場是金融危機傳染的重要途徑,本文的研究對象就選擇了國際股票市場。首先運用事件研究法,選取2009年12月到2012年6月的樣本數(shù)據(jù),對歐盟區(qū)各國股票價格收益的變化進行實證分析,在得出主權(quán)信用評級下調(diào)對歐盟區(qū)各國股票價格收益有顯著影響的基礎(chǔ)上,進一步研究債務(wù)危機對美國和亞洲各國股價收益的沖擊影響,并比較評級下調(diào)對各股市的不同沖擊結(jié)果。發(fā)現(xiàn),亞洲經(jīng)濟體對貿(mào)易的依賴是使其遭受風(fēng)險的主要原因,歐盟是亞洲地區(qū)的不可替代的出口市場,若歐洲經(jīng)濟系統(tǒng)崩潰,國際貿(mào)易往來停滯,消費者信貸枯竭,股市下跌在所難免。因而,在此次危機中,出口依賴型的國家如新加坡、香港、韓國、日本、臺灣及中國受到了歐洲經(jīng)濟疲軟的沖擊。美國股市也沒能一枝獨秀。之后,采用非對稱GARCH模型實證分析了歐債危機背景下歐盟區(qū)代表性國家,美國和亞洲國家股票價格波動的趨勢,發(fā)現(xiàn),危機時期,歐洲的八個國家中,利空消息對希臘股票市場的沖擊影響最大,其次為葡萄牙和愛爾蘭的股票市場,最后為德國的股票市場,說明在危機時代,希臘,葡萄牙,愛爾蘭等嚴(yán)重危機國家較德國等發(fā)達國家股票市場的波動性顯著大。另外對歐洲以外市場的研究發(fā)現(xiàn),利空消息對美國股票市場的沖擊最大,其次為日本的股票市場,最后為中國的股票市場,這說明了在危機時代,市場自由度高的發(fā)達國家的股票市場比發(fā)展中國家的股票市場波動更大。最后通過對債務(wù)危機期間希臘股市與歐盟其他國家及美國,日本,中國股市動態(tài)相關(guān)系數(shù)的研究,發(fā)現(xiàn)風(fēng)險更多地限于危機發(fā)生國。
[Abstract]:In end of 2009, the Greek government's fiscal deficit and public debt as a percentage of gross domestic product (GDP) seriously exceeded the Maastricht Treaty ceiling, and its fiscal position deteriorated, with the world's three largest rating agencies, Standard & Poor's, Moody's and Fitch have downgraded Greece's sovereign credit rating, and Greece's debt crisis has erupted. Italy, Spain, Portugal and Ireland have also been downgraded. Greece's debt has evolved into a European debt crisis. In the context of financial openness and the process of economic globalization, the correlation and dependence between the economies of various countries has gradually increased, thus, Can a debt crisis erupt in a country or region shake the global economy, trigger a global financial tsunami, and how to prevent a financial crisis? Maintaining the stability of financial markets has become the focus of academic research. This paper begins with the theory of debt crisis caused by European sovereign credit rating downgrade, and expounds the origin, diffusion, impact and impact on the global economy. Then through the domestic and foreign related literature research, unifies the theory background and the debt crisis reality situation, empirically studies the debt crisis transnational contagion, because the stock market is the financial crisis contagion important way, The research object of this paper is the international stock market. Firstly, using the method of event research, we choose the sample data from December 2009 to June 2012 to make an empirical analysis on the change of stock price returns in European countries. On the basis of the conclusion that the sovereign credit rating downgrade has a significant impact on the stock price returns of the countries in the EU region, the impact of the debt crisis on the stock price returns of the United States and Asian countries is further studied. Comparing the different impact of the downgrade on the stock markets, we find that the dependence of Asian economies on trade is the main reason for their exposure to risk. The European Union is the irreplaceable export market of the region, and if the European economic system collapses, International trade is stagnant, consumer credit is drying up, and stock markets are falling. Thus, in this crisis, export-dependent countries such as Singapore, Hong Kong, South Korea, Japan, Taiwan and China have been hit by the weak European economy, and the US stock market has not been able to outshine. Then, the asymmetric GARCH model is used to empirically analyze the representative countries of the EU region in the context of the European debt crisis. The trend of stock price fluctuations in the United States and Asian countries shows that during the crisis period, of the eight European countries, the negative news had the greatest impact on the Greek stock market, followed by the stock markets of Portugal and Ireland. Finally, the stock market in Germany, which shows that in the crisis era, the stock markets of Greece, Portugal, Ireland and other serious crisis countries are significantly more volatile than those of developed countries such as Germany. In addition, a study of markets outside Europe found that. The negative news had the greatest impact on the US stock market, followed by the Japanese stock market, and finally the Chinese stock market. This shows that in the crisis era, The stock markets of developed countries with high degree of market freedom are more volatile than those of developing countries. Finally, a study of the dynamic correlation coefficient between Greek stock markets and other European Union countries, the United States, Japan, and China during the debt crisis is carried out. The risk was found to be more limited to the countries in which the crisis occurred.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F831.51

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本文編號：1640706