目前,在經(jīng)典的計量經(jīng)濟(jì)學(xué)研究方法中,研究宏觀經(jīng)濟(jì)變量與股市價格波動關(guān)系的主要有兩種方法。第一種方法利用同一頻率數(shù)據(jù)進(jìn)行研究,第二種方法利用低頻股市數(shù)據(jù),使股市數(shù)據(jù)和宏觀經(jīng)濟(jì)變量數(shù)據(jù)具有相同的頻率。通常,處理具有不同頻率的時間序列數(shù)據(jù)需要將高頻數(shù)據(jù)轉(zhuǎn)換為低頻或同頻數(shù)據(jù),從而導(dǎo)致高頻變量中包含了丟失的有價值信息。因此,本研究采用混合數(shù)據(jù)抽樣(MIDAS)方法,包括混合頻率數(shù)據(jù),即低頻(月)和高頻(日)數(shù)據(jù),研究宏觀經(jīng)濟(jì)解釋變量與股市價格波動之間的關(guān)系。由于數(shù)據(jù)頻率限制的問題,傳統(tǒng)的同頻模型不能用來研究宏觀經(jīng)濟(jì)解釋變量與股市波動之間的因果關(guān)系。因此,將恩格爾提出的經(jīng)典GARCH-MIDAS(Generalized autoregressive conditional heteroskedasticity-Mixed data sampling)模型集成到傳統(tǒng)的GARCH模型中,將股票價格波動分解為短期和長期兩個分量。此外,為了確保數(shù)據(jù)的有效利用,通過宏觀經(jīng)濟(jì)變量解釋長期波動。此外,目前的研究在這方面有所不同,因為它通過整合美元-巴基斯坦盧比匯率的高頻數(shù)據(jù)擴(kuò)展了經(jīng)典的GARCH-MIDAS模型,并利用已實現(xiàn)的波動性來解釋卡拉奇證券交易所(KSE)的長期波動性。另外,在實證部分,建立了多因素和單因素GARCHMIDAS模型,從橫向效應(yīng)、波動性效應(yīng)的角度分析和估計了KSE的股票市場波動性。此外,本研究選取貨幣供應(yīng)量和消費物價指數(shù)作為月度(低頻)指標(biāo),以美元兌巴基斯坦盧比匯率作為日(高頻)指標(biāo),研究韓國股市的波動性。進(jìn)而建立基于改進(jìn)的GARCH-MIDAS模型,實證結(jié)果表明,貨幣供應(yīng)量的水平和波動性與KSE(卡拉奇證券交易所)股價波動性具有顯著的正相關(guān)關(guān)系。此外,消費者物價指數(shù)的水平值與KSE具有顯著的負(fù)相關(guān),而波動性值與KSE股價波動性無顯著關(guān)系。此外,美元-PKR匯率的水平和波動性值與KSE股價波動性均呈顯著負(fù)相關(guān)。實證結(jié)果表明,多因素模型的估計結(jié)果與單因素模型的估計結(jié)果基本一致。然而,多因素模型涉及到大量的參數(shù)估計,這可能會導(dǎo)致過度參數(shù)化等問題,從而使某些系數(shù)值不再顯著。同時,預(yù)測能力分析表明,單因素模型和多因素模型都具有較強(qiáng)的預(yù)測能力。多因素水平效應(yīng)模型的預(yù)測能力優(yōu)于單因素水平效應(yīng)模型。此外,單因素混合效應(yīng)模型與多因素混合效應(yīng)模型的交叉比較表明,多因素混合效應(yīng)模型更善于解釋巴基斯坦股市價格波動的長期組成部分。針對巴基斯坦的實際經(jīng)濟(jì)情況,提出并制定了有效的監(jiān)管政策(貨幣政策、通貨膨脹和匯率方面),進(jìn)而提高股市效率、引導(dǎo)合理投資、完善信息披露機(jī)制等政策建議。最后,闡述了本研究過程中所面臨的研究不足和困難以及未來的發(fā)展前景。
【學(xué)位單位】：中國礦業(yè)大學(xué)
【學(xué)位級別】：博士
【學(xué)位年份】：2019
【中圖分類】：F135.3;F831.51
【部分圖文】：

excess holdings would be invested back into the stock market. This activity would reflected inthe stock market performance and would cause a subsequent increase in the stock prices.During the corresponding study period (2004-2018), Pakistan’s monetary policy hadundergone a process, which saw the money supply move from steady tight loose steadythat was extremely beneficial for the economy. Furthermore, moneysupply, as an intermediatetarget of monetary policy, affects the stock market volatility. Fig. 3-1 displays money supplyfrom July 2004 to September 2018, which illustrates that adoption of an expansionarymacroeconomic policy results in increase in money supply. Additionally, this would cause anincrease in cash in circulation; reduce the cost of the corporate centralized capital, cause anexpansion in company’s expected future operating profit and encourage investment of the idlefunds into the stock market, thus ultimately affecting the stock market prices in a positivemanner. On the other hand, any shortage in money supply would cause a decline in stockmarket prices. Resultantly, any increase in money supply would cause an increase in the stockmarket volatility and vice versa.

004年至2018年消費者價格指數(shù)

博士學(xué)位論文trade (exports and imports) directly affects the country’s exchange rate. The subsequentincrease/decrease in exchange rate is determined by imports and exports of various sectors.SincepredominantlyPakistanis an import-orientedcountryso exchangeratefluctuation wouldcause the currency to depreciate thus causing a negative effect on the stock market returns.Exchange rate has a negative relationship with stock market returns.

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