本文選題：上證綜合指　切入點：數(shù)美國國債市場　出處：《山東財經(jīng)大學》2014年碩士論文　論文類型：學位論文

【摘要】：經(jīng)濟全球化和金融自由化大大提高了資源的配置效率，，促進了全球經(jīng)濟的發(fā)展。與此同時，金融自由化讓信息在金融市場間的傳遞也越來越迅速，國際資本流動更加便利。由于國際資本流動的不穩(wěn)定性和投機性，各國經(jīng)濟和金融更容易受到國際資本流動的影響和沖擊。1998年的亞洲金融危機和2008年的全球金融危機表明了國際資本的流動促使風險在不同金融市場間傳遞。隨著我國加入WTO以及資本市場的對外開放，我國金融市場尤其股票市場受國際金融市場的影響越來越大。美國國債市場作為最重要的國際金融市場，它影響著避險資金等金融資本的流向，進而對其他金融市場產(chǎn)生影響。研究我國A股市場和美國國債市場的溢出效應不僅可為監(jiān)管當局制定政策維護A股市場穩(wěn)定和健康發(fā)展提供參考，還找到了影響A股市場走勢的又一重要因素，提高交易決策的科學性。因此，研究我國A股市場和美國國債市場間的溢出效應有著重要的現(xiàn)實意義。 本文運用VAR-MGARCH（1，1）-BEKK模型對我國A股市場和美國國債市場間的均值溢出效應和波動溢出效應進行研究，研究是否存在均值溢出效應和波動溢出效應以及均值溢出效應和波動溢出效應的方向，對實證研究結(jié)果做了相應的分析，探究其形成原因，最后給監(jiān)管當局和投資者提出相關(guān)的政策建議。本文得出了以下結(jié)論： （1）上證綜合指數(shù)和美國十年期國債收益率之間存在協(xié)整關(guān)系即長期穩(wěn)定的均衡關(guān)系以及上證綜合指數(shù)變動不能Granger引起美國十年期國債收益率的變動，而美國十年期國債收益率變動能Granger引起上證指數(shù)的變動。 （2）由VAR模型可知上證綜合指數(shù)對美國十年期國債收益率沒有顯著影響，即A股市場對美國國債市場不存在均值溢出效應；美國十年期國債收益率對上證綜合指數(shù)有顯著影響，即美國國債市場對A股市場存在均值溢出效應。 （3）由GARCH（1，1）-BEKK模型和Wald檢驗得出美國十年期國債收益率和上證綜合指數(shù)間存在雙向的波動溢出效應，即美國國債市場和A股市場間存在雙向的波動溢出效應。
[Abstract]:Economic globalization and financial liberalization have greatly improved the efficiency of resource allocation and the development of the global economy. At the same time, financial liberalization has allowed information to be transmitted more and more rapidly among financial markets. International capital flows are more convenient. Because of the instability and speculative nature of international capital flows, The Asian financial crisis in 1998 and the global financial crisis in 2008 have shown that international capital flows facilitate the transmission of risk among different financial markets. China's entry into WTO and the opening of the capital market to the outside world, China's financial market, especially the stock market, is increasingly affected by the international financial market. As the most important international financial market, the US Treasury bond market affects the flow of financial capital such as safe haven funds. The study of spillover effects of A-share market and Treasury bond market in China can not only provide a reference for the regulatory authorities to formulate policies to maintain the stability and healthy development of A-share market. It also finds another important factor that affects the trend of A share market and improves the scientificalness of transaction decision. Therefore, it is of great practical significance to study the spillover effect between the A share market and the US Treasury bond market in China. In this paper, the mean and volatility spillover effects between the A-share market and the Treasury bond market in China are studied by using VAR-MGARCHKK model. This paper studies the existence of mean spillover effect and volatility spillover effect and the direction of mean spillover effect and volatility spillover effect. Finally, the relevant policy recommendations are given to the regulatory authorities and investors. The following conclusions are drawn:. (1) there is a cointegration relationship between the Shanghai Composite Index and the 10-year Treasury bond yield, that is, the long-term stable equilibrium relationship and the fact that the Shanghai Composite Index cannot cause the change of the 10-year Treasury yield of the United States due to the change of the Shanghai Composite Index. And the 10-year Treasury yield changes can Granger cause changes in the Shanghai index. (2) the VAR model shows that the Shanghai Composite Index has no significant effect on the 10-year Treasury yield, that is, the A-share market has no mean spillover effect on the Treasury bond market, and the 10-year Treasury yield has a significant impact on the Shanghai Composite Index. That is, the US Treasury bond market has a mean spillover effect on the A-share market. (3) based on the model of GARCHN 1 / 1 / BEKK and Wald test, it is concluded that there is a two-way volatility spillover effect between the yield of 10-year U.S. Treasury bonds and the Shanghai Composite Index, that is, there is a two-way volatility spillover effect between the US Treasury bond market and the A-share market.
【學位授予單位】：山東財經(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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