本文選題：波動溢出效應(yīng) + BEKK��； 參考：《暨南大學(xué)》2014年碩士論文

【摘要】：研究金融資產(chǎn)收益率二階矩之間的關(guān)系，有助于分析各個金融資產(chǎn)市場的信息吸收能力，以及各種金融資產(chǎn)收益率序列波動之間的關(guān)系，從而為投資者優(yōu)化資產(chǎn)配置與金融當局制定合理政策以減輕金融風(fēng)險帶來的沖擊等方面提供理論支持。本文運用多變量的GARCH模型——BEKK，探討了中國股市收益率與銀行間七天同業(yè)拆借利率之間的波動溢出效應(yīng)，然后分析其條件方差、條件協(xié)方差和條件相關(guān)系數(shù)的時變性特征。 首先要考察各個指標的一階矩和二階矩的性質(zhì)，，考慮是否要分別對各個時間序列添加VAR濾波。然后對BEKK方差模型的系數(shù)進行估計，并利用LM檢驗分別考察上證綜指和深證成指的收益率與銀行間七天同業(yè)拆借利率的波動溢出效應(yīng)。研究結(jié)果顯示，中國股市收益率與利率之間存在波動溢出效應(yīng)，方向主要是由利率向股市收益率溢出。最后，分析各個指標的條件方差、條件協(xié)方差和條件相關(guān)系數(shù)的時變性。結(jié)果發(fā)現(xiàn)上證綜指收益率與利率的條件相關(guān)系數(shù)波動程度較為激烈，多次正負號的轉(zhuǎn)換說明了條件相關(guān)系數(shù)存在不穩(wěn)定的特性；而深證成指收益率與利率的條件相關(guān)系數(shù)始終保持為負值，并且具有時變性特征。 最后，本文總結(jié)了股市收益率與利率之間波動溢出的關(guān)系；并且從股市波動的群集效應(yīng)、時變性以及投資者的心理等因素出發(fā)，提出了一系列的政策性建議。
[Abstract]:The study of the relationship between the second moment of return on financial assets is helpful to analyze the information absorption ability of each financial asset market and the relationship between the volatility of the return on financial assets. It provides theoretical support for investors to optimize asset allocation and financial authorities to formulate reasonable policies to mitigate the impact of financial risks. In this paper, the volatility spillover effect between the return rate of Chinese stock market and the seven-day interbank offered rate is discussed by using the multivariable GARCH model, and then the time-varying characteristics of the conditional variance, conditional covariance and conditional correlation coefficient are analyzed. First, the properties of first and second moments of each index should be investigated, and whether VAR filter should be added to each time series is considered. Then the coefficient of BEKK variance model is estimated and the volatility spillover effect between the yield of Shanghai Composite Index and Shenzhen Composite Index and the seven-day interbank offered rate is investigated by LM test. The results show that there is volatility spillover effect between Chinese stock market yield and interest rate, and the direction is mainly from interest rate to stock market yield spillover. Finally, the conditional variance, conditional covariance and conditional correlation coefficient of each index are analyzed. The results show that the conditional correlation coefficient between the yield of Shanghai Composite Index and the interest rate fluctuates more intensely, and the conversion of multiple positive and negative sign shows that the conditional correlation coefficient is unstable. However, the conditional correlation coefficient between the yield and interest rate of Shenzhen Composite Index is always negative and has the characteristics of time-varying. Finally, this paper summarizes the relationship between stock market return and interest rate volatility spillover, and puts forward a series of policy suggestions based on the cluster effect of stock market volatility, time variability and investor psychology.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

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