本文關(guān)鍵詞：中美股市動態(tài)相關(guān)性及驅(qū)動因素分析　出處：《南京財經(jīng)大學》2014年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 中美股市 相關(guān)性 GARCH-BEKK模型 VAR模型

【摘要】：隨著世界經(jīng)濟一體化和金融全球化趨勢的越來越強,以及互聯(lián)網(wǎng)信息技術(shù)的不斷發(fā)展,國際上主要股票市場經(jīng)常呈現(xiàn)出同漲同跌的現(xiàn)象。世界上主要股票市場之間的聯(lián)動性不斷加強,對股票市場之間相關(guān)性的研究不僅對投資者在風險分散、判斷股票市場走勢及資產(chǎn)定價方面等具有重要的參考價值,而且對政府當局規(guī)避由于外部金融危機風險給本國股票市場帶來的波動和為實現(xiàn)本國金融市場的穩(wěn)定性而進行有效的市場監(jiān)管也具體十分重要的政策意義。隨著中國對外貿(mào)易經(jīng)濟的發(fā)展和一系列股市制度市場化改革的實施,中國股票市場與世界主要發(fā)達股票市場之間的聯(lián)系越來越緊密,特別是在美國次貸危機后,中美股票市場之間的相關(guān)性呈現(xiàn)出新的特征。本文在回顧國內(nèi)外股市之間的聯(lián)動性理論和實證研究文獻的基礎(chǔ)上,對股市之間聯(lián)動性的內(nèi)在機理和傳導渠道進行了系統(tǒng)的規(guī)范分析,理論上將股票市場之間相關(guān)性的傳播途徑歸納為進出口貿(mào)易、外商直接投資、投資者心理預期和市場之間傳導四個方面,然后從這四個方面分析了股票市場之間相關(guān)性的國內(nèi)外影響因素。接著以2002年到2013年滬深300指數(shù)和美國道瓊斯指數(shù)的收益率為研究對象,首先以EGARCI模型考察中美股市的波動性特征并從中得到中美股市的條件波動率,進而運用多元GARCH-BEKK模型計算出中國與美國股市的動態(tài)相關(guān)系數(shù),并從實體經(jīng)濟因素、金融因素、宏微觀因素和極端事件因素來分析動態(tài)相關(guān)系數(shù)變化的原因。在此基礎(chǔ)上,將以上因素相關(guān)的經(jīng)濟變量與動態(tài)相關(guān)系數(shù)建立向量自回歸模型并進行脈沖響應和方差分解分析,以探討兩國宏微觀經(jīng)濟因素對動態(tài)相關(guān)系數(shù)的影響,得到的結(jié)論是：滬深股市作為新興的股票市場,其波動特征與美國股市一樣,呈現(xiàn)出波動的集群性、持續(xù)性和非對稱性的特點；在整個樣本區(qū)間內(nèi)的大部分時間段,滬深300指數(shù)的條件波動率大于道瓊斯指數(shù)的條件波動率。在影響中美股市動態(tài)相關(guān)性的中國因素中,長期來看,外商直接投資因素對中美股市相關(guān)性有負向影響,外貿(mào)依存度和中國貨幣供應量的變動對股市相關(guān)性有正向影響。中國股市波動率是影響股市相關(guān)性的主要解釋變量,對股市動態(tài)相關(guān)系數(shù)的沖擊較大；在影響中美股市動態(tài)相關(guān)性的美國因素中,長期內(nèi)美國貨幣供應量和聯(lián)邦基金利率的變動對股市相關(guān)性有正向影響,美國貨幣供應量的變動是影響股市相關(guān)性的主要解釋變量,對股市動態(tài)相關(guān)系數(shù)的沖擊較大。最后本文依據(jù)實證結(jié)論分別提出防范內(nèi)部和外在風險的相關(guān)政策建議。
[Abstract]:With the increasing trend of the world economic integration and financial globalization, as well as the continuous development of Internet information technology. The international main stock market often presents the phenomenon of rising and falling. The linkage between the main stock markets in the world is constantly strengthened. The research on the correlation between the stock markets not only distributes the risk to investors. Judging the trend of stock market and asset pricing has important reference value. It is also of great policy significance for the government to avoid the volatility of the domestic stock market due to the risk of the external financial crisis and to carry out effective market supervision in order to realize the stability of the domestic financial market. The development of China's foreign trade economy and the implementation of a series of market-oriented reforms of the stock market system. The relationship between China's stock market and the major developed stock markets in the world is getting closer and closer, especially after the subprime mortgage crisis in the United States. The correlation between Chinese and American stock markets shows new characteristics. This paper reviews the domestic and foreign stock market linkage theory and empirical research on the basis of literature. The internal mechanism and transmission channel of the linkage between the stock market are analyzed systematically and normative. In theory, the transmission channels of the correlation between the stock market are summarized as import and export trade, foreign direct investment. There are four aspects of investor psychological expectation and market transmission. Then it analyzes the domestic and foreign influencing factors of the correlation between stock market from these four aspects, and then takes the yield of Shanghai and Shenzhen 300 Index and Dow Jones Index from 2002 to 2013 as the research objects. Firstly, the EGARCI model is used to investigate the volatility characteristics of the Chinese and American stock markets and the conditional volatility of the Chinese and American stock markets is obtained. Then using the multivariate GARCH-BEKK model to calculate the dynamic correlation coefficient between China and the United States stock market, and from the real economic factors, financial factors. Macro and micro factors and extreme event factors are used to analyze the causes of dynamic correlation coefficient change. A vector autoregressive model is established between the economic variables and the dynamic correlation coefficient of the above factors, and the impulse response and variance decomposition analysis are carried out to study the influence of macro and micro economic factors on the dynamic correlation coefficient. The conclusions are as follows: as a new stock market, the volatility of Shanghai and Shenzhen stock market is similar to that of American stock market, showing the characteristics of cluster, persistence and asymmetry; During most of the sample period, the conditional volatility of CSI 300 index is higher than that of Dow Jones Index. Foreign direct investment factors have a negative impact on the correlation between Chinese and American stock markets. The dependence of foreign trade and the change of Chinese money supply have a positive effect on the correlation of stock market. The volatility of Chinese stock market is the main explanatory variable which has a great impact on the dynamic correlation coefficient of stock market. Among the American factors that influence the dynamic correlation of the Chinese and American stock markets, the changes of the US money supply and the federal funds rate have a positive impact on the stock market correlation in the long run. The change of money supply in the United States is the main explanatory variable that affects the correlation of stock market. The impact on the dynamic correlation coefficient of the stock market is strong. Finally, based on the empirical conclusions, this paper puts forward relevant policy recommendations to guard against internal and external risks.
【學位授予單位】：南京財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F837.12

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