本文關(guān)鍵詞：中國股市與國際股市一體化進(jìn)程中的尾部相依性　出處：《山東大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 中國股市 國際股市 尾部相依性 Copula

【摘要】：隨著中國金融市場對外開放程度的逐步深化,中國的股票市場加入到全球金融市場一體化的行列當(dāng)中,在這種大的背景下,對中國股市與國際股市之間的相依性,特別是尾部相依性的研究,對金融市場的各直接或間接參與者顯得尤為重要。本文主要研究2005年到2011年中國滬市A、B股和H股分別與美國、日本、香港、巴西、俄羅斯、印度六個國家(地區(qū))股市之間尾部相依性的變化趨勢,并從七個方面進(jìn)行討論：選用什么樣的指標(biāo)或什么樣的模型來刻畫股市間的尾部相依性?隨著時間的推移,這種尾部相依性的結(jié)構(gòu)是否會發(fā)生變化?如果發(fā)生變化,它是什么時候發(fā)生的?變化的程度有多大?上尾相依性與下尾相依性的結(jié)構(gòu)是否是對稱的?哪個尾部的相依性對股市的影響更大一些?這些尾部相依性是否具有一定的穩(wěn)定性? 在研究方法上,本文使用各市場股指日收盤數(shù)據(jù),通過構(gòu)建多機制平滑轉(zhuǎn)換Copula模型,運用基于Copula理論的上尾相關(guān)系數(shù)、下尾相關(guān)系數(shù)和整體相關(guān)系數(shù)從三個方面分別對相依性進(jìn)行分析研究,通過圖象描繪出上、下尾部相依性的動態(tài)變化曲線,給出了上、下尾部相依的程度、相依性結(jié)構(gòu)變化的主要時間段,同時考慮了上、下尾相依性的非對稱性。之后,利用各市場股指周數(shù)據(jù),剔除時差等因索的影響,對尾部相依性結(jié)構(gòu)的穩(wěn)定性進(jìn)行檢驗。 在實證結(jié)果上,本文發(fā)現(xiàn)隨著時間的推移,各尾部相依性發(fā)生了結(jié)構(gòu)性變化。而在所研究的時間段當(dāng)中,中國股市與國際股市的上、下尾部相依性既存在逐漸上升的趨勢,又存在下降的趨勢,也存在不變的情形。并且,上尾與下尾相依性的變化是非對稱的,有些股市間的上尾相依性更大一些,有些股市間的下尾相依性更大一些,還有一些股市間的上、下尾相依性大小在不同的時間段發(fā)生交替變換。另外,在使用日數(shù)據(jù)和周數(shù)據(jù)進(jìn)行分析對比之后發(fā)現(xiàn),中國股市與國際股市之間的相依性是不穩(wěn)定的,這與中國股市發(fā)展的不平衡有關(guān)。具體到各個股市,雖然A股和B股與國際股市的尾部相依性整體呈上升趨勢,但依然處在較低水平,而且尾部相依性的結(jié)構(gòu)不穩(wěn)定。相比而言,H股與國際股市的尾部相依性要強一些,穩(wěn)定性也要好一些。也就是說,在一系列政策措施的推動下,雖然中國股市的對外開放程度在逐步增大,與國際股市的相依性有所上升,但其與國際股市仍存在一定的差距。 基于本文的分析結(jié)果,金融市場的投資者可以準(zhǔn)確估計各股票收益率之間的協(xié)同變化程度,構(gòu)建一個相對分散化的證券投資組合。金融機構(gòu)風(fēng)險管理者可以充分考慮股票市場之間的相互依存關(guān)系,更加準(zhǔn)確地度量風(fēng)險。政府的政策制定者在進(jìn)一步深化改革金融市場,加快對外開放步伐的同時,應(yīng)充分考慮國外金融市場的波動對本國的影響,并及時采取措施,進(jìn)行有效規(guī)避。
[Abstract]:With the deepening of China's financial market opening to the outside world, China's stock market has joined the ranks of the global financial market integration, in this context. The research on the dependence of Chinese stock market and international stock market, especially the tail dependence. It is particularly important to the direct or indirect participants in the financial market. From 2005 to 2011, this paper mainly studies the A-share, B-share and H-share of Shanghai Stock Exchange in China and the United States, Japan, Hong Kong, Brazil, Russia, respectively. The change trend of tail dependence in six countries (regions) of India, and discuss from seven aspects: what index or what model to describe the tail dependence of stock market? Will the structure of the tail dependence change over time? If it changes, when did it happen? What is the extent of the change? Is the structure of upper tail dependency and lower tail dependency symmetrical? Which tail dependency has a greater impact on the stock market? Do these tail dependencies have some stability? In terms of research methods, this paper uses the daily closing data of stock indexes in various markets, constructs a multi-mechanism smooth conversion Copula model, and applies the up-and-tail correlation coefficient based on Copula theory. The correlation coefficient of the lower tail and the whole correlation coefficient are analyzed and studied from three aspects respectively. The dynamic curve of the dependency of the upper and lower tail is depicted by the image, and the degree of the dependency of the upper and lower tail is given. At the same time, the asymmetry of upper and lower tail dependence is taken into account. After that, the influence of time difference and other factors are eliminated by using the weekly data of stock index of each market. The stability of the tail dependent structure is tested. In the empirical results, this paper found that over time, the tail dependence changes. In the period of study, the Chinese stock market and the international stock market are on the top. The dependence of the lower tail has the tendency of rising and decreasing, and the change of the dependency of the upper tail and the lower tail is asymmetrical. Some stock markets have greater upper and end dependencies, some stock markets have greater lower end dependencies, and some stock markets have alternating dependencies in different periods of time. After analyzing and comparing the daily data and weekly data, we find that the dependence between Chinese stock market and international stock market is unstable, which is related to the imbalance of the development of Chinese stock market. Although the tail dependence of A-shares and B-shares is on the rise with the international stock market as a whole, it is still at a low level, and the structure of tail dependence is unstable. The tail dependence of H shares and international stock markets is stronger and the stability is better. That is to say, driven by a series of policies and measures, China's stock market is gradually opening up to the outside world. The dependence of international stock market has increased, but there is still a certain gap between it and international stock market. Based on the analysis results of this paper, investors in the financial market can accurately estimate the degree of synergy between the stock returns. Build a relatively decentralized portfolio of securities. Financial institutions risk managers can fully consider the interdependence between the stock market. Government policy makers should take full account of the impact of foreign financial market fluctuations on their own while further deepening the reform of financial markets and speeding up the pace of opening to the outside world. And timely take measures to effectively circumvent.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51;F831.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前3條

1 吳吉林;張二華;;次貸危機、市場風(fēng)險與股市間相依性[J];世界經(jīng)濟;2010年03期

2 谷耀;陸麗娜;;滬、深、港股市信息溢出效應(yīng)與動態(tài)相關(guān)性——基于DCC-(BV)EGARCH-VAR的檢驗[J];數(shù)量經(jīng)濟技術(shù)經(jīng)濟研究;2006年08期

3 游家興;鄭挺國;;中國與世界金融市場從分割走向整合——基于DCC-MGARCH模型的檢驗[J];數(shù)量經(jīng)濟技術(shù)經(jīng)濟研究;2009年12期

，

本文編號：1401320