本文選題：傳導(dǎo)機(jī)制　切入點(diǎn)：主成分分析　出處：《上海外國(guó)語(yǔ)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：在全球經(jīng)濟(jì)一體化的時(shí)代背景下,各國(guó)經(jīng)濟(jì)發(fā)展就像一個(gè)命運(yùn)共同體,而中國(guó)作為新興國(guó)家代表和世界第一貿(mào)易大國(guó),無(wú)疑與其他國(guó)家的聯(lián)系日益密切。一方面,國(guó)際因素對(duì)中國(guó)資本市場(chǎng)的影響逐步深化。另一方面,國(guó)內(nèi)股市、債市、匯市的三市聯(lián)動(dòng)機(jī)制也進(jìn)一步加強(qiáng)�；诖�,本文主要運(yùn)用ADL模型和主成分分析法研究了匯率、國(guó)內(nèi)外債券收益率對(duì)我國(guó)上證綜指的影響。理論上,分別探討了匯率與股價(jià)之間的流量導(dǎo)向型理論和IS-LM-IA理論;利率與股價(jià)之間的現(xiàn)金流貼現(xiàn)理論和資本資產(chǎn)定價(jià)理論,并研究分析了匯率、利率對(duì)股價(jià)的傳導(dǎo)機(jī)制。實(shí)證上,以2013年1月1日-2016年11月30日的日度數(shù)據(jù)為樣本區(qū)間,借助MATLAB和EVIEWS計(jì)量軟件進(jìn)行模型的構(gòu)建和檢驗(yàn)。其中,因變量為上證綜指收益率,主要自變量分別為人民幣兌美元的即期匯率;中國(guó)、美國(guó)的10年期國(guó)債收益率及其滯后變量,同時(shí)加入了時(shí)間因素的影響。為了消除原始自變量之間的多重共線性,選擇了主成分回歸的方法,最終選擇了兩個(gè)主成分,根據(jù)其構(gòu)成形式分別表示為匯率、中美國(guó)債收益率的股市綜合外在影響因素代理變量F1及收益率自身滯后一期的內(nèi)在影響因素代理變量F2。在以主成分為自變量的回歸模型中,雖然消除了多重共線性,但是顯著性檢驗(yàn)不能通過(guò),最終的模型顯示,主成分F1、F2均與因變量股指收益率呈負(fù)相關(guān)關(guān)系。而F1又分別與匯率負(fù)相關(guān),與中美國(guó)債收益率正相關(guān),進(jìn)而說(shuō)明了我國(guó)股市與人民幣匯率之間呈正相關(guān)關(guān)系,與中美國(guó)債收益率之間呈負(fù)相關(guān)關(guān)系。其中,匯率與股指收益率的正相關(guān)關(guān)系可能是由于研究樣本期間內(nèi)股市出現(xiàn)了大漲大跌的異常劇烈波動(dòng)現(xiàn)象所致。而我國(guó)國(guó)債收益率對(duì)股市的影響遵循社會(huì)總供求效應(yīng)和資產(chǎn)組合替代效應(yīng)。匯率對(duì)股市的影響遵循競(jìng)爭(zhēng)力效應(yīng)。另外,股指自身滯后一期的代理變量F2與因變量之間呈負(fù)相關(guān)關(guān)系,也與我國(guó)A股市場(chǎng)漲跌震蕩交替的市場(chǎng)常態(tài)相吻合。最后,匯率、中美國(guó)債收益率對(duì)應(yīng)的最佳滯后期均為1期,而股指自身的最佳滯后期則分別為2期和3期。與此同時(shí),股指表現(xiàn)還受時(shí)間因素的影響�？傊�,匯率,中美國(guó)債收益率確實(shí)能對(duì)我國(guó)A股市場(chǎng)產(chǎn)生較顯著的影響,且具有時(shí)滯效應(yīng)。為了保持學(xué)術(shù)的嚴(yán)謹(jǐn)性,最終的模型還通過(guò)了ADF單位根檢驗(yàn)來(lái)保證變量序列的平穩(wěn)性、通過(guò)了協(xié)整檢驗(yàn)來(lái)說(shuō)明研究變量之間存在長(zhǎng)期均衡關(guān)系、通過(guò)了白噪聲檢驗(yàn)和異方差檢驗(yàn)以進(jìn)一步排除偽回歸的可能,并進(jìn)行了格蘭杰因果分析。最后,筆者分別提出了提升我國(guó)股票市場(chǎng)穩(wěn)定性和收益率的三點(diǎn)建議�？傊�,希望通過(guò)本文得出的合理經(jīng)濟(jì)模型,能更全面地揭示影響我國(guó)上證綜指走勢(shì)的國(guó)內(nèi)外因素,進(jìn)而促進(jìn)投資者做出更合理投資決策。
[Abstract]:In the context of the era of global economic integration, the economic development of all countries is like a community of destiny, while China, as the representative of the emerging countries and the world's largest trading country, is undoubtedly increasingly closely linked with other countries. On the one hand, The influence of international factors on China's capital market is gradually deepening. On the other hand, the linkage mechanism of domestic stock market, bond market and foreign exchange market is further strengthened. Based on this, this paper mainly uses ADL model and principal component analysis method to study the exchange rate. The influence of bond yield at home and abroad on the Shanghai Composite Index. Theoretically, the paper discusses the flow oriented theory and IS-LM-IA theory between exchange rate and stock price, the discounted cash flow theory between interest rate and stock price, and the capital asset pricing theory. The paper also analyzes the transmission mechanism of exchange rate and interest rate to stock price. Empirically, taking the daily data from January 1st 2013 to November 30th 2016 as sample interval, the model is constructed and tested by MATLAB and EVIEWS. The dependent variable is the yield of the Shanghai Composite Index, the main independent variable is the spot exchange rate of RMB against the US dollar. At the same time, the influence of time factor is added. In order to eliminate the multiple collinearity between the original independent variables, the principal component regression method is chosen, and finally two principal components are selected, which are expressed as exchange rate according to their constituent form. The stock market of the yield of Chinese and American Treasuries synthesizes the agent variable F1 of external influencing factors and the agent variable F2 of internal influencing factor of the lag period of yield itself. In the regression model with principal component as independent variable, although the multiple collinearity is eliminated, But the significance test can not pass. The final model shows that the principal component F1F _ 2 has a negative correlation with the yield of the dependent variable stock index, while F1 has a negative correlation with the exchange rate, and a positive correlation with the yield of Chinese and American Treasuries. It shows that there is a positive correlation between China's stock market and RMB exchange rate, and a negative correlation with the yield of Chinese Treasury bonds. The positive correlation between the exchange rate and the stock index yield may be due to the dramatic fluctuation of the stock market during the study period. However, the effect of the bond yield on the stock market follows the total social supply and demand effect. And portfolio substitution effects. Exchange rate effects on the stock market follow the competitiveness effect. In addition, There is a negative correlation between the proxy variable F2 and the dependent variable in the stock index itself, and it is also consistent with the normal state of the A-share market in China. Finally, the best lag between the exchange rate and the yield of Chinese and American Treasury bonds is 1 period. At the same time, the performance of the stock index is also affected by time factors. In short, the exchange rate and the yield rate of the Chinese Treasury bonds do have a more significant impact on China's A-share market. In order to maintain academic rigor, the final model also adopts ADF unit root test to ensure the stability of variable sequence, and cointegration test is used to show that there is a long-term equilibrium relationship between variables. White noise test and heteroscedasticity test are adopted to further eliminate the possibility of pseudo regression, and Granger causality analysis is carried out. Finally, the author puts forward three suggestions to improve the stability and yield of stock market in China. It is hoped that the reasonable economic model can fully reveal the domestic and foreign factors that affect the trend of the Shanghai Composite Index and promote investors to make more reasonable investment decisions.
【學(xué)位授予單位】：上海外國(guó)語(yǔ)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F832.6

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