本文選題：歐債危機(jī)　切入點：波動溢出效應(yīng)　出處：《江西財經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：本文針對歐債危機(jī)前后全球11個國家股票市場間波動溢出效應(yīng)的關(guān)系變化進(jìn)行了深入研究,選取了英國、德國、法國、美國、中國、日本、意大利、西班牙、葡萄牙、希臘、愛爾蘭、歐洲大盤的股票指數(shù)為研究對象。首先對各國股市的原始收益率數(shù)據(jù)進(jìn)行BEKK-GARCH模型分析,但僅僅得到了各國溢出關(guān)系變化的粗略結(jié)論,不能看到不同時間尺度下的波動溢出效應(yīng),如高頻數(shù)據(jù)間的波動溢出效應(yīng)關(guān)系,長期趨勢間的波動溢出關(guān)系變化。為了研究歐債危機(jī)背景下,各國股票市場間不同時間尺度下的波動溢出效應(yīng),本文對原始數(shù)據(jù)進(jìn)行了多分辨率分解,得到各國股票指數(shù)的高頻數(shù)據(jù)與長期趨勢數(shù)據(jù),然后對高頻數(shù)據(jù)、長期趨勢數(shù)據(jù)分別進(jìn)行BEKK-GARCH模型溢出效應(yīng)分析,從而得到不同時間尺度下各國股市間的波動溢出關(guān)系變化情況,并分析各國股市不同時間尺度下波動溢出效應(yīng)的特點。 目前常用的多分辨率分解方法是小波分解,但由于EMD方法具有比小波變換更強(qiáng)的局部表現(xiàn)能力,所以在處理非線性、非平穩(wěn)信號時,是一種更為有效的方法。為了說明EMD分解對數(shù)據(jù)具有更強(qiáng)的表現(xiàn)能力,本文對EMD分解后的高頻數(shù)據(jù)與小波分解后的高頻數(shù)據(jù)進(jìn)行對比,結(jié)果發(fā)現(xiàn)EMD分解后對數(shù)據(jù)的局部表現(xiàn)能力更強(qiáng),而小波分解后局部表現(xiàn)能力不強(qiáng)且樣本數(shù)量會減少一半,EMD分解后的長期趨勢具有單調(diào)性,可以更清楚地刻畫數(shù)據(jù)序列的長期走勢,而小波分解后的低頻序列仍無明顯的規(guī)律。 將原始收益率數(shù)據(jù)的波動溢出效應(yīng)分析簡稱為第一層次分析,將不同時間尺度下的波動溢出效應(yīng)分析簡稱為第二層次分析。通過兩個層次的對比分析發(fā)現(xiàn),兩個層次的研究均得到了希臘是危機(jī)的主要輸出國,葡萄牙是危機(jī)的主要傳遞國,美國與其他國家間的溢出效應(yīng)最強(qiáng)。但僅通過第一層次的分析得出的結(jié)論較為粗糙,如通過第一層次得到的結(jié)論是“歐豬五國”與美國、中國、日本間的溢出效應(yīng)整體上減弱了,但通過第二層次的分析得到的結(jié)果是“歐豬五國”高頻序列與美國、中國、日本股市的高頻序列溢出效應(yīng)間呈現(xiàn)出不規(guī)律變化,而長期趨勢間的溢出效應(yīng)則呈現(xiàn)規(guī)律變化：希臘、意大利、西班牙與美國、中國、日本股市間的聯(lián)動性較強(qiáng),危機(jī)后仍呈現(xiàn)相互間的波動溢出效應(yīng),愛爾蘭、葡萄牙向美國、中國、日本股市的溢出程度較弱,而更大程度地受美國、中國、日本股市向本國的波動溢出效應(yīng)影響。 另外,通過第二層次的多尺度溢出效應(yīng)分析后發(fā)現(xiàn),有一部分結(jié)論通過對原始收益率數(shù)據(jù)進(jìn)行溢出效應(yīng)分析并未得到,而因EMD分解對數(shù)據(jù)具有更強(qiáng)的表現(xiàn)能力,得出的結(jié)論更為細(xì)致,如中國股市的“脆弱性”,美國與英國、中國與德國、日本與英國、英國與德國股市間存在著長期趨勢間的相互溢出效應(yīng)。 從11個國家間的溢出效應(yīng)結(jié)果分析發(fā)現(xiàn),一個國家的經(jīng)濟(jì)越發(fā)達(dá),金融市場越穩(wěn)定,在危機(jī)發(fā)生后,該國股票市場則更多地向其他國家產(chǎn)生溢出效應(yīng),而不是受其他國家單向溢出效應(yīng)的影響。但由于我國仍處于發(fā)展中階段,金融市場較為“脆弱”,在危機(jī)發(fā)生后,向其他國家的溢出效應(yīng)由危機(jī)前的顯著變?yōu)椴伙@著,而受其他國家股市的溢出效應(yīng)在危機(jī)后增強(qiáng)了。最后,論文針對我國金融市場的“脆弱性”提出了金融市場發(fā)展的相關(guān)建議。
[Abstract]:The paper further study the change before and after the debt crisis in 11 countries in the world stock market volatility spillover effect were selected, the UK, Germany, France, the United States, Japan, Italy, China, Spain, Portugal, Greece, Ireland, the European stock market index as the research object. Firstly, the original income from stock market rate data were analyzed by BEKK-GARCH regression model, but only a rough conclusion change of every spillover relationship, can not see the volatility spillover effect under different time scales, such as the volatility spillover effect between the high frequency data, change the long-term trend between the volatility spillover relations. In order to study the European debt crisis, the volatility spillover effect between the stock markets of all countries under different time scales, the multi-resolution decomposition of the original data, get high frequency data for different stock index and long-term trend data, then Based on the analysis of BEKK-GARCH model spillover effect of high-frequency data and long-term trend data, we get the volatility spillover relationship of stock markets in different time scales, and analyze the characteristics of volatility spillover effects of different stock markets in different time scales.
The current commonly used multiresolution decomposition method is wavelet decomposition, but because the EMD method is better than the wavelet transform local performance, so in dealing with nonlinear, non-stationary signal, is a more effective method. In order to illustrate the decomposition of EMD has stronger the ability of data, this paper compares the high frequency data of EMD the high-frequency data and after wavelet decomposition, the results showed that local expression ability of data after the decomposition of EMD, and the wavelet decomposition of local performance ability and the sample number will be reduced by half, the long-term trend after the decomposition of EMD is monotone, the long-term trend can clearly describe the data sequence, and the low frequency sequence after wavelet decomposition is still no obvious regularity.
The analysis will be referred to as the first level analysis of the volatility spillover effect of data rate of the original income, will the volatility spillover effect under different time scales analysis referred to as the second level. Through the comparative analysis of two levels of analysis, study two levels were obtained in Greece is a major exporter of crisis, Portugal is the main transfer in crisis the United States and other countries, the spillover effect is strongest. But only through the first level of analysis the conclusion is rough, such as the first level of the conclusion is "PIIGS" with the United States, Japan Chinese, spillover effect between the overall weakening, but the results obtained through the analysis of the second level is "Ou pig" high frequency sequence and high frequency sequence Chinese, America, Japan's stock market spillover effect between showing no regularity, and the spillover effect between the long-term trend has changed: Greek law La, Italy, Spain and the United States, Chinese, Japan stock market linkage is stronger, after the crisis is still showing volatility spillover effects between Ireland and Portugal to the United States, Chinese, Japan's stock market spillover is relatively weak, and to a greater extent by the United States, China, Japan stock market volatility spillover effect to its influence.
In addition, the multi-scale analysis of spillover effect of the second level after the discovery, some conclusions through the analysis of spillover effects has not been on the original return data, due to the decomposition of EMD has stronger data performance, the conclusion is more detailed, such as Chinese stock market's vulnerability, the United States and the United Kingdom, Chinese with Germany, Japan and Britain, the British and German stock market there are spillover effects between the long-term trend.
From the results of the spillover effect between the 11 countries of the analysis found that the more developed the economy of a country, the financial market is more stable, after the crisis, the stock market is more spillover to other countries, and is not affected by other countries. But the spillover effects in China is still in development stage, the financial market is "fragile", after the crisis, the backward spillover effects in other countries by significant change before the crisis was not significant, but by the spillover effects of the stock market in other countries increased after the crisis. Finally, according to China's financial market "vulnerability puts forward relevant suggestions on the development of financial market.".

【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F831.51

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本文編號：1622795