本文主要關(guān)注全球金融危機(jī)對(duì)中國(guó)股票市場(chǎng)的有效性、股票價(jià)格和匯率之間的因果關(guān)系以及首次公開(kāi)發(fā)行的影響。在國(guó)際金融危機(jī)過(guò)去的幾年里,由于危機(jī)本身所具有的傳播性特征,中國(guó)的股市也面臨著衰退的考驗(yàn),股價(jià)在2008年的第四季度跌到了最低點(diǎn)。股價(jià)的這種下降趨勢(shì)對(duì)于檢驗(yàn)股市的有效性有著特別的意義。全球大部分股票市場(chǎng)特別是發(fā)展中國(guó)家的股票市場(chǎng)是缺乏有效性的,因此世界各國(guó)各地區(qū)都在努力創(chuàng)造有效的資本市場(chǎng),旨在最大化地利用資本這一資源。為了考察中國(guó)股市的有效性,筆者將數(shù)據(jù)分成兩部分,一部分取自國(guó)際金融危機(jī)發(fā)生之前的數(shù)據(jù),另一部分為金融危機(jī)發(fā)生期間的數(shù)據(jù)。筆者通過(guò)采用增廣的迪基-富勒檢驗(yàn)（ADF檢驗(yàn)）、單位根檢驗(yàn)、PP檢驗(yàn)（Philip Perron Test）和KPSS檢驗(yàn)的方法對(duì)數(shù)據(jù)的平穩(wěn)性進(jìn)行測(cè)試。研究的結(jié)果表明中國(guó)的股票市場(chǎng)是弱勢(shì)有效的,因此投資者將無(wú)法通過(guò)對(duì)股價(jià)過(guò)去的歷史進(jìn)行數(shù)據(jù)分析而取得超額收益,同時(shí)結(jié)果也表明此次國(guó)際金融危機(jī)并沒(méi)有對(duì)中國(guó)股市的有效性產(chǎn)生顯著的影響。進(jìn)一步地,本文試圖研究股價(jià)變化與匯率變動(dòng)之間的長(zhǎng)期關(guān)系。由于這兩個(gè)變量在影響一個(gè)國(guó)家資金的流入與流出中發(fā)揮著不可忽視的作用,因此理解... 

【文章來(lái)源】：華中科技大學(xué)湖北省 211工程院校 985工程院校 教育部直屬院校

【文章頁(yè)數(shù)】：144 頁(yè)

【學(xué)位級(jí)別】：博士

【文章目錄】：
摘要
Abstract
List of Tables
List of Figures
1 INTRODUCTION
    1.1 Global Financial Crisis
    1.2 Purpose and Significance of Study
    1.3 Contents of Study
    1.4 Research Background
2 Review of Literature
    2.1 Market Efficiency
    2.2 The Relationship between Stock Prices and Exchange Rates
    2.3 The Performance of IPOs Market in Global Financial Crisis
3 Data and Methodology
    3.1 Methodology for Measuring Stock Market Efficiency
    3.2 Methodology for Measuring Relationship Between Stock Prices andExchange Rates
    3.3 Methodology for IPOs Underpricing and Performance
4 Chinese Stock Market Efficiency
    4.1 Before Crisis Efficiency Tests
    4.2 During Crisis Efficiency Tests
5 The Relationship between Stock Prices and Exchange Rates
    5.1 Before Crisis Nature of relation between Stock Prices and ExchangeRates
    5.2 During Crisis Nature of Relation between Stock Prices and ExchangeRates
6 Global Financial Crisis and Chinese IPOs Market
    6.1 Effect of Global Financial Crisis on IPOs performance
    6.2 Comparison of Chinese IPO Underpricing and Performance during Asianand Prevailing Global Economic Crisis
7 Conclusion
    7.1 Concluding Remarks
    7.2 limitations
Acknowledgement
References
APPENDIX:PUBLICATIONS



本文編號(hào)：3403936