發(fā)布時(shí)間：2018-01-23 14:44

  本文關(guān)鍵詞： 國(guó)際證券市場(chǎng) 動(dòng)態(tài)相依 驅(qū)動(dòng)因素 改進(jìn)的AG-DCC模型 金融傳染　出處：《湖南大學(xué)》2016年博士論文　論文類(lèi)型：學(xué)位論文

【摘要】：準(zhǔn)確估計(jì)國(guó)際證券市場(chǎng)的相依特征,量化剖析并深層次理解證券市場(chǎng)相依的驅(qū)動(dòng)因素,對(duì)于投資者制定分散投資策略以及政策當(dāng)局有效監(jiān)管市場(chǎng)和防范金融風(fēng)險(xiǎn)具有重要的意義。本文以動(dòng)態(tài)視角對(duì)全球證券市場(chǎng)動(dòng)態(tài)相依的整體特征及普遍性驅(qū)動(dòng)因素進(jìn)行系統(tǒng)地量化分析,并在此基礎(chǔ)上分別針對(duì)金融危機(jī)這一特殊時(shí)期的市場(chǎng)聯(lián)動(dòng)效應(yīng)和市場(chǎng)傳染機(jī)制,以及中國(guó)這一特定市場(chǎng)與境外市場(chǎng)的動(dòng)態(tài)相依特征和驅(qū)動(dòng)因素進(jìn)行深入研究,以求全面發(fā)掘證券市場(chǎng)相依關(guān)系及影響機(jī)理。首先從多層面檢驗(yàn)全球證券市場(chǎng)的整體動(dòng)態(tài)相依特征�？紤]到不同地區(qū)可能呈現(xiàn)不同的市場(chǎng)相依特征,將全球36個(gè)證券市場(chǎng)分為美洲、亞太、歐洲三大區(qū)域,多維度實(shí)證檢驗(yàn)各區(qū)域的市場(chǎng)動(dòng)態(tài)相依特征,包括運(yùn)用VECM模型檢驗(yàn)長(zhǎng)短期因果性,運(yùn)用變系數(shù)狀態(tài)空間模型檢驗(yàn)動(dòng)態(tài)價(jià)格引導(dǎo)關(guān)系,運(yùn)用AG-DCC模型與滾動(dòng)歷史相關(guān)模型檢驗(yàn)動(dòng)態(tài)條件相關(guān)性。美洲區(qū)域的市場(chǎng)相依特征檢驗(yàn)表明,美洲各國(guó)市場(chǎng)之間存在金融傳染效應(yīng),在遭遇負(fù)面沖擊時(shí)市場(chǎng)間相關(guān)性會(huì)顯著提高。其中美國(guó)和加拿大市場(chǎng)的相依性最高;新興市場(chǎng)中墨西哥和巴西股市與美加股市的相依性整體較高;委內(nèi)瑞拉市場(chǎng)的獨(dú)立性較強(qiáng)。亞太區(qū)域的市場(chǎng)相依特征檢驗(yàn)表明:亞洲金融危機(jī)的沖擊提高了亞太地區(qū)各市場(chǎng)的長(zhǎng)期聯(lián)動(dòng)機(jī)制,而次貸危機(jī)的沖擊又導(dǎo)致這種聯(lián)動(dòng)機(jī)制有所弱化。其中東南亞新興國(guó)家市場(chǎng)之間的關(guān)聯(lián)性最顯著;新加坡市場(chǎng)與新興市場(chǎng)的關(guān)聯(lián)性表現(xiàn)最顯著;俄羅斯市場(chǎng)在亞太區(qū)域中表現(xiàn)出較明顯的獨(dú)立特征。歐洲區(qū)域的市場(chǎng)相依特征檢驗(yàn)表明,主權(quán)債務(wù)風(fēng)險(xiǎn)較高的希臘、葡萄牙、愛(ài)爾蘭等國(guó)市場(chǎng)在債務(wù)危機(jī)深化后與其他國(guó)家關(guān)聯(lián)性呈下降趨勢(shì),表現(xiàn)出一定的獨(dú)立性。其中歐洲各市場(chǎng)間的動(dòng)態(tài)相關(guān)性平均水平普遍高于美洲和亞洲市場(chǎng)間的相關(guān)性;西歐和南歐市場(chǎng)具有明顯的區(qū)域聯(lián)動(dòng)特征,中東歐、北歐國(guó)家市場(chǎng)則相對(duì)獨(dú)立性較強(qiáng)。然后對(duì)全球證券市場(chǎng)相依的普遍性驅(qū)動(dòng)因素進(jìn)行量化分析。建立了涵蓋經(jīng)濟(jì)貿(mào)易基礎(chǔ)、金融市場(chǎng)特征、地域性和區(qū)域經(jīng)濟(jì)合作三個(gè)維度的市場(chǎng)相依驅(qū)動(dòng)因素分析體系。在剖析各因素對(duì)市場(chǎng)相依理論影響路徑的基礎(chǔ)上,以所測(cè)算出的全球證券市場(chǎng)動(dòng)態(tài)相依為樣本,構(gòu)建面板數(shù)據(jù)模型進(jìn)行實(shí)證檢驗(yàn),發(fā)掘顯著影響市場(chǎng)相依的普遍性驅(qū)動(dòng)因素�；谫Q(mào)易與金融因素的檢驗(yàn)結(jié)果表明,GDP差異、實(shí)際利率差異對(duì)證券市場(chǎng)相依存在負(fù)向影響,相對(duì)出口依賴(lài)度和相對(duì)進(jìn)口依賴(lài)度存在正向影響,通貨膨脹差異和雙邊匯率變化的影響不顯著�；谑袌�(chǎng)特征因素的檢驗(yàn)結(jié)果表明:證券市場(chǎng)市值占比差異、金融化程度差異、證券市場(chǎng)波動(dòng)率差異對(duì)市場(chǎng)相依存在負(fù)向影響,證券市場(chǎng)上市公司數(shù)量占比差異、資本項(xiàng)目開(kāi)放度差異的影響不顯著。此外發(fā)達(dá)市場(chǎng)之間的相關(guān)性顯著高于新興市場(chǎng)之間的相關(guān)性�；诘赜蛐耘c區(qū)域經(jīng)濟(jì)合作因素的檢驗(yàn)結(jié)果表明:地理距離對(duì)證券市場(chǎng)相依存在負(fù)向影響,加入北美自由貿(mào)易區(qū)和東盟有助于提高證券市場(chǎng)的相依性,而加入歐盟對(duì)證券市場(chǎng)相依性沒(méi)有顯著影響�？紤]到金融危機(jī)爆發(fā)可能導(dǎo)致證券市場(chǎng)相依性迅速上升或偏離長(zhǎng)期均衡,進(jìn)一步針對(duì)金融危機(jī)這一特殊時(shí)期的獨(dú)特市場(chǎng)相依特征及影響機(jī)制進(jìn)行細(xì)致研究。首先梳理并剖析亞洲金融危機(jī)、次貸危機(jī)和歐債危機(jī)的發(fā)展過(guò)程、相關(guān)股市表現(xiàn)及風(fēng)險(xiǎn)傳染特征。其次從多維度實(shí)證檢驗(yàn)三次危機(jī)的市場(chǎng)聯(lián)動(dòng)效應(yīng),包括運(yùn)用格蘭杰模型檢驗(yàn)因果關(guān)系,運(yùn)用固定系數(shù)、滾動(dòng)歷史相關(guān)、AG-DCC模型檢驗(yàn)相關(guān)性,運(yùn)用時(shí)變t-Copula模型檢驗(yàn)尾部相依性,運(yùn)用面板數(shù)據(jù)回歸檢驗(yàn)危機(jī)凈傳染性。結(jié)論顯示,三次危機(jī)均對(duì)市場(chǎng)相關(guān)性產(chǎn)生顯著的正向直接影響,影響程度由大到小依次為次貸危機(jī)、亞洲金融危機(jī)和歐債危機(jī)。然后構(gòu)建基于動(dòng)態(tài)博弈的金融風(fēng)險(xiǎn)跨國(guó)傳染模型,從市場(chǎng)參與者的分散投資策略和信息不對(duì)稱(chēng)等行為金融學(xué)角度解釋金融危機(jī)下的市場(chǎng)聯(lián)動(dòng)機(jī)理。結(jié)論表明:新興市場(chǎng)自身爆發(fā)危機(jī)難以傳染至發(fā)達(dá)市場(chǎng),但新興市場(chǎng)爆發(fā)危機(jī)可以發(fā)達(dá)市場(chǎng)為中介傳染給另一低關(guān)聯(lián)的新興市場(chǎng);發(fā)達(dá)市場(chǎng)因?yàn)樽陨砦C(jī)受到?jīng)_擊時(shí),資本將傾向于流向基本面良好的新興市場(chǎng),從而可能促進(jìn)新興市場(chǎng)的繁榮;在面對(duì)如國(guó)際油價(jià)劇烈波動(dòng)等國(guó)際共享要素沖擊時(shí),具有相同風(fēng)險(xiǎn)敏感性的新興市場(chǎng)往往比發(fā)達(dá)市場(chǎng)更容易遭受損失。此外,考慮到作為處于經(jīng)濟(jì)一體化和金融自由化發(fā)展進(jìn)程中的典型新興市場(chǎng),中國(guó)可能與境外市場(chǎng)存在獨(dú)特的動(dòng)態(tài)相依特征,繼續(xù)針對(duì)中國(guó)這一特殊市場(chǎng)與境外市場(chǎng)的動(dòng)態(tài)相依特征及驅(qū)動(dòng)因素進(jìn)行細(xì)致研究。首先從均值溢出效應(yīng)、非對(duì)稱(chēng)波動(dòng)性和非對(duì)稱(chēng)動(dòng)態(tài)相關(guān)性方面對(duì)AG-DCC模型進(jìn)行了擴(kuò)展優(yōu)化。其次運(yùn)用改進(jìn)的AG-DCC模型檢驗(yàn)中國(guó)與周邊國(guó)家和世界主流證券市場(chǎng)動(dòng)態(tài)相依特征。結(jié)論顯示,從聯(lián)系緊密程度來(lái)看,中國(guó)內(nèi)地股市與香港股市的相關(guān)性整體水平最高,與亞洲周邊市場(chǎng)存在一定關(guān)聯(lián)性,而與歐美發(fā)達(dá)市場(chǎng)的相依性不高,跨地域聯(lián)系更多通過(guò)港股進(jìn)行間接傳導(dǎo)。從動(dòng)態(tài)變化趨勢(shì)看,中國(guó)內(nèi)地股市與境外市場(chǎng)的相關(guān)性在1997年至2010年間普遍呈現(xiàn)上升趨勢(shì),但2010年至2015年間中國(guó)內(nèi)地與香港除外的境外市場(chǎng)相關(guān)性有所下降。然后對(duì)中美證券市場(chǎng)相依的驅(qū)動(dòng)因素進(jìn)行計(jì)量分析發(fā)現(xiàn),除了中國(guó)對(duì)美國(guó)出口占比、兩國(guó)通貨膨脹差異、兩國(guó)實(shí)際利率差異以及兩國(guó)股市市值占比差異等普遍性驅(qū)動(dòng)因素外,中國(guó)企業(yè)海外上市以及中國(guó)金融自由化均是促成中國(guó)證券市場(chǎng)向世界整合的重要因素。最后,針對(duì)證券市場(chǎng)相依的現(xiàn)象和特征提出了推進(jìn)金融自由化與應(yīng)對(duì)市場(chǎng)聯(lián)動(dòng)的措施以及防范危機(jī)期間金融風(fēng)險(xiǎn)傳染的策略?xún)煞矫娴恼呓ㄗh。
[Abstract]:The accurate estimation of dependent features of international securities market, driving factors and quantitative analysis of deep understanding of securities market dependent, for investors to make investment diversification strategy and policy authorities to monitor market and prevent financial risks is of great significance. In this paper, the dynamic factors of overall characteristics of dynamic perspective on the global stock market dependence and universal drive analysis system to quantify, and on this basis respectively according to the mechanism of market linkage effect and market contagion in the special period of the financial crisis, as well as the dynamic China this particular market and overseas market dependent characteristics and driving factors of in-depth research, in order to fully explore the securities market mechanism dependent relationship and influence from many aspects. First inspection of the securities market the whole dynamic dependent characteristics. Considering the different areas may present different market dependent features, will be full of The ball 36 stock market is divided into America, Asia Pacific, Europe's three largest regional, multi dimension empirical test of market dynamics of the regional dependent features, including the use of VECM model to test the long-term causality, the use of variable coefficient of state space model to examine the dynamic price guide, using the AG-DCC model and the rolling history model checking dynamic conditional correlation. American regional market dependent characteristic test shows that the existence of financial contagion between American countries suffered a negative impact on the market, the market will be significantly improved. The correlation between the United States and Canada market dependence of the highest; emerging market and Brazil stock market in Mexico and the United States and Canada stock market dependence higher overall; Venezuela market strong independent Asia Pacific. Regional market dependent characteristics test showed that the impact of the Asian financial crisis to improve long-term linkage mechanism across the Asia Pacific region market, and The impact of the subprime crisis and the linkage mechanism has been weakened. The relationship between Southeast Asian emerging markets the most significant; the most significant correlation of Singapore and emerging markets; the Russian market showed independent obvious characteristics in the Asia Pacific region. The European regional market dependent characteristics test showed that the high risk of sovereign debt Greece, Portugal, Ireland and other countries market showed a downward trend in conjunction with other countries in the debt crisis deepening, showing a certain degree of independence. The dynamic correlation between flat European markets were generally higher than the level of correlation between American and Asian markets; the western and southern Europe market has obvious characteristics of regional linkage, in Eastern Europe the Nordic countries, the market is relatively strong independence. Then the common factors of the global stock market dependent driving quantitative analysis. A culvert Cover economic and trade, financial market characteristics, the three dimensions of regional and regional economic cooperation in the market dependent driving factor analysis system. Based on the theory of the influence path dependence in the analysis of market factors, the global stock market dynamic estimates of the dependent samples, construct empirical panel data model, explore the influence common market dependent driving factors of trade and financial factors. Test results show that the GDP based on the difference, difference between the actual interest rate on the stock market dependent negative impact on relative export dependence and relative import dependence has a positive impact, the inflationary impact of bilateral exchange rate changes and differences are not significant. The results show that the test of market factors based on the market value of the stock market accounted for the differences in the degree of financial differences, stock market volatility difference to the market dependent negative impact on securities The number of listed companies accounted for the differences in effects of capital account openness difference is not significant. The correlation between the developed markets in addition significantly higher than the correlation between emerging markets between the test region and regional economic cooperation factors based on the results of the securities market: geographical distance dependent negative impact, entering the North American free trade area and ASEAN help to improve the dependence of the stock market, and joined the EU on the stock market dependence has no significant effect. Considering the outbreak of the financial crisis may lead to stock market dependence rise quickly or deviate from the long-term equilibrium, further according to the unique market this special period of financial crisis dependent features and influencing mechanism of meticulous research. Firstly, combing and analysis the Asian financial crisis, the development process of the subprime crisis and the European debt crisis, stock market performance and risk contagion followed by a number of features. The market linkage effect dimension empirical test of the three crises, including using Grainger model to test causal relationship, using fixed coefficient, rolling history, AG-DCC model correlation test, using time-varying t-Copula model to test the tail dependence, using panel data regression test. The conclusion shows net crisis infectious, three crises have positive direct effect on the market correlation, the influence degree from high to low is the subprime crisis, the Asian financial crisis and the European debt crisis. Then construct the financial risk contagion model based on dynamic game, from the market linkage mechanism of market participants diversification strategy and information asymmetry of behavioral finance to explain the financial crisis. Conclusion: emerging markets the outbreak of the crisis to spread to the developed markets, but emerging markets crisis can be developed market as intermediary transmitted to another Emerging market low relevance; developed markets because of their impact on capital crisis, emerging markets will tend to flow to the good fundamentals, which may contribute to the emerging market boom; in the face of such as the international oil price volatility and other international factors sharing impact, emerging markets have the same risk sensitivity are often higher than the developed markets are more likely to suffer a loss. In addition, taking into account as a typical emerging market economy integration and financial liberalization in the process of development, there may Chinese and overseas market unique dynamic characteristics for the dynamic dependence, to China this special market and overseas market dependent characteristics and detailed study of driving factors. Firstly, from the mean spillover effect, extended optimization the AG-DCC model of asymmetric volatility and asymmetric dynamic correlation. By using AG-DCC model and improved Chinese The neighboring countries and the mainstream of the world stock market dynamic dependent characteristics. According to the conclusion, from the perspective of contacts, the overall level of China mainland stock market and Hongkong stock market of the highest correlation with the Asian market there is a certain relationship, but with the developed market dependence is not high, cross regional contact more indirect conduction through Hong Kong stocks from the dynamic. The change trend, the correlation China mainland stock market and overseas market generally showed an upward trend from 1997 to 2010, but from 2010 to 2015 China except Hongkong and the mainland overseas market correlation decreased. Then the driving factors of China stock market dependence analysis found that, in addition to China exports to the United States accounted for the inflation difference the two countries, the real interest rate difference between the two countries and the stock market capitalization accounted for universal difference factors, China enterprises overseas Chinese and financial liberalization are important factors contributing to the Chinese securities market to the world integration. Finally, aiming at the phenomenon and characteristics of the securities market. Put forward the financial liberalization and market linkage measures and coping strategies of financial crisis prevention of the risk of infection during the period of the two aspects of policy recommendations.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類(lèi)號(hào)】：F224;F831.51
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本文編號(hào)：1457783