目前,在經(jīng)典的計(jì)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(jià)格波動(dòng)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(shí)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(jià)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(jià)格波動(dòng)之間的關(guān)系。由于數(shù)據(jù)頻率限制的問(wèn)題,傳統(tǒng)的同頻模型不能用來(lái)研究宏觀經(jīng)濟(jì)解釋變量與股市波動(dòng)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(jià)格波動(dòng)分解為短期和長(zhǎng)期兩個(gè)分量。此外,為了確保數(shù)據(jù)的有效利用,通過(guò)宏觀經(jīng)濟(jì)變量解釋長(zhǎng)期波動(dòng)。此外,目前的研究在這方面有所不同,因?yàn)樗ㄟ^(guò)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(shí)現(xiàn)的波動(dòng)性來(lái)解釋卡拉奇證券交易所(KSE)的長(zhǎng)期波動(dòng)性。另外,在實(shí)證部分,建立了多因素和單因素GARCHMIDAS模型,從橫向效應(yīng)、波動(dòng)性效應(yīng)的角度分析和估計(jì)了KSE的股票市場(chǎng)波動(dòng)性。此外,本研究選取貨幣供應(yīng)量和消費(fèi)物價(jià)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(guó)股市的波動(dòng)性。進(jìn)而建立基于改進(jìn)的GARCH-MIDAS模型,實(shí)證結(jié)果表明,貨幣供應(yīng)量的水平和波動(dòng)性與KSE(卡拉奇證券交易所)股價(jià)波動(dòng)性具有顯著的正相關(guān)關(guān)系。此外,消費(fèi)者物價(jià)指數(shù)的水平值與KSE具有顯著的負(fù)相關(guān),而波動(dòng)性值與KSE股價(jià)波動(dòng)性無(wú)顯著關(guān)系。此外,美元-PKR匯率的水平和波動(dòng)性值與KSE股價(jià)波動(dòng)性均呈顯著負(fù)相關(guān)。實(shí)證結(jié)果表明,多因素模型的估計(jì)結(jié)果與單因素模型的估計(jì)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(jì),這可能會(huì)導(dǎo)致過(guò)度參數(shù)化等問(wèn)題,從而使某些系數(shù)值不再顯著。同時(shí),預(yù)測(cè)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(cè)能力。多因素水平效應(yīng)模型的預(yù)測(cè)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(jià)格波動(dòng)的長(zhǎng)期組成部分。針對(duì)巴基斯坦的實(shí)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(guò)程中所面臨的研究不足和困難以及未來(lái)的發(fā)展前景。
【學(xué)位單位】：中國(guó)礦業(yè)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位年份】：2019
【中圖分類(lèi)】：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(fèi)者價(jià)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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