本文關(guān)鍵詞：國(guó)際大宗商品市場(chǎng)對(duì)我國(guó)股票市場(chǎng)影響的實(shí)證研究　出處：《廈門大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 大宗商品 股票市場(chǎng) 實(shí)證研究

【摘要】：自從我國(guó)加入WT0世界貿(mào)易組織后,我國(guó)與國(guó)際大宗商品市場(chǎng)的聯(lián)系越來(lái)越緊密。然而國(guó)際大宗商品價(jià)格波動(dòng)劇烈,我國(guó)卻缺乏對(duì)國(guó)際大宗商品的定價(jià)權(quán),只能被動(dòng)的接受國(guó)際大宗商品價(jià)格波動(dòng)對(duì)我國(guó)宏觀經(jīng)濟(jì)的沖擊。我國(guó)股票市場(chǎng)經(jīng)過(guò)不斷的改革己逐漸發(fā)揮了經(jīng)濟(jì)晴雨表的作用,是不是也會(huì)受到國(guó)際大宗商品市場(chǎng)的影響?國(guó)際大宗商品市場(chǎng)對(duì)我國(guó)股票市場(chǎng)的具體影響機(jī)制是什么?對(duì)我國(guó)股票市場(chǎng)會(huì)產(chǎn)生什么樣的影響? 在總結(jié)國(guó)內(nèi)外學(xué)者關(guān)于大宗商品市場(chǎng)與宏觀經(jīng)濟(jì)、大宗商品市場(chǎng)與股票市場(chǎng)研究的基礎(chǔ)上,根據(jù)大宗商品的商品屬性和金融屬性本文將國(guó)際大宗商品市場(chǎng)對(duì)我國(guó)股票市場(chǎng)的影響分為實(shí)體經(jīng)濟(jì)影響路徑和金融市場(chǎng)聯(lián)動(dòng)路徑。在實(shí)體經(jīng)濟(jì)路徑方面,國(guó)際大宗商品市場(chǎng)主要通過(guò)影響企業(yè)現(xiàn)金流、預(yù)期通貨膨脹率和實(shí)際貨幣余額三個(gè)方面對(duì)股票市場(chǎng)產(chǎn)生影響,導(dǎo)致股票市場(chǎng)價(jià)格變化,這一路徑需要較長(zhǎng)的時(shí)間,是比較長(zhǎng)期的影響。在金融聯(lián)動(dòng)路徑方面,由于現(xiàn)代投資組合理論的資金跨市場(chǎng)流動(dòng)、啟發(fā)式判斷法和羊群效應(yīng)等多種因素的影響,國(guó)際大宗商品市場(chǎng)和我國(guó)股票市場(chǎng)產(chǎn)生金融聯(lián)動(dòng)效應(yīng),即均值溢出效應(yīng)和波動(dòng)溢出效應(yīng),這一路徑傳導(dǎo)速度很快并且是較為短期的影響。 通過(guò)向量自回歸模型(VAR)、格蘭杰因果檢驗(yàn)、脈沖響應(yīng)函數(shù)、方差分解和GARCH-BEKK模型等實(shí)證研究發(fā)現(xiàn),基于實(shí)體經(jīng)濟(jì)影響路徑國(guó)際大宗商品市場(chǎng)確實(shí)會(huì)通過(guò)對(duì)我國(guó)造成輸入性通貨膨脹進(jìn)而間接對(duì)我國(guó)股票市場(chǎng)產(chǎn)生負(fù)的影響,但這一路徑相對(duì)來(lái)說(shuō)是比較滯后的�；诮鹑诼�(lián)動(dòng)路徑在股權(quán)分置改革前國(guó)際大宗商品市場(chǎng)與我國(guó)股票市場(chǎng)互不影響,沒(méi)有金融市場(chǎng)聯(lián)動(dòng)效應(yīng),但在股權(quán)分置改革后受資金快速流動(dòng)和羊群效應(yīng)等影響,國(guó)際大宗商品市場(chǎng)對(duì)我國(guó)股票市場(chǎng)具有單向的均值溢出效應(yīng)和波動(dòng)溢出效應(yīng)。最后,本文對(duì)實(shí)證結(jié)果做出了現(xiàn)實(shí)意義的解釋,并提出了相應(yīng)的政策建議。
[Abstract]:Since China's accession to the WT0 World Trade Organization, China has become more and more closely connected with the international commodity market. However, the international commodity prices fluctuate sharply, but our country lacks the pricing power to the international commodities. Can only passively accept the impact of international commodity price fluctuations on China's macroeconomic. China's stock market has gradually played the role of economic barometer after continuous reform. Will it also be affected by international commodity markets? What is the specific influence mechanism of international commodity market on China's stock market? What kind of influence will it have on the stock market of our country? On the basis of summarizing domestic and foreign scholars' research on commodity market and macroeconomic, commodity market and stock market. According to commodity attributes and financial attributes of commodities this paper divides the impact of international commodity market on Chinese stock market into real economic impact path and financial market linkage path. The international commodity market mainly influences the stock market by influencing the cash flow of the enterprise, the expected inflation rate and the actual currency balance, which leads to the change of the stock market price. This path needs a long time, is a relatively long-term impact. In the financial linkage path, because of the modern portfolio theory of funds across the market flow, heuristic judgment method and herd effect and other factors. The international commodity market and China's stock market have financial linkage effects, that is, mean spillover effect and volatility spillover effect. Through the vector autoregressive model, Granger causality test, impulse response function, variance decomposition and GARCH-BEKK model and other empirical research findings. Based on the real economic impact path, the international commodity market does have a negative impact on China's stock market by causing imported inflation and then indirectly on China's stock market. However, this path is relatively lagging. Based on the financial linkage path before the split share structure reform, the international commodity market and China's stock market do not affect each other, and there is no financial market linkage effect. However, under the influence of rapid capital flow and herd effect, the international commodity market has one-way mean spillover effect and volatility spillover effect on China's stock market after the split share structure reform. In this paper, the empirical results of the practical significance of the explanation, and the corresponding policy recommendations.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F831.53;F224

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