【摘要】：全球化的加快,金融市場(chǎng)風(fēng)險(xiǎn)日益的復(fù)雜化,市場(chǎng)效率的不斷提高,流動(dòng)資本帶給金融市場(chǎng)的持續(xù)動(dòng)蕩,基于傳統(tǒng)假設(shè)的分析方法已不再適用當(dāng)今復(fù)雜變化的金融市場(chǎng),Copula函數(shù)作為工具對(duì)金融風(fēng)險(xiǎn)刻畫相關(guān)性有其特有的優(yōu)點(diǎn)。為研究匯率相依性背景下對(duì)股票市場(chǎng)影響,本文應(yīng)用Copula理論對(duì)外匯市場(chǎng)間的尾部相關(guān)性進(jìn)行分析,先用核密度估計(jì)變量間邊緣分布,在此基礎(chǔ)上構(gòu)建混合Copula模型并將EM算法應(yīng)用到該模型的參數(shù)估計(jì)上,得出了匯率間具有明顯的上尾相關(guān)性,進(jìn)而討論匯率相依性對(duì)股票市場(chǎng)的影響。由于金融市場(chǎng)以及股票間相關(guān)關(guān)系不是某種特定變化形式。匯率上,香港盯住美元關(guān)聯(lián)性是比較大的,因此本文選用2014年7月22日至2015年8月26日美元匯率與港幣進(jìn)行尾部相依性研究。股票市場(chǎng)上,匯率相依性背景下利用GARCH類模型分別對(duì)同時(shí)期選取的恒生、道瓊、上證指數(shù)研究,分析出外匯市場(chǎng)對(duì)股票市場(chǎng)存在溢出效應(yīng)以及依據(jù)動(dòng)態(tài)相關(guān)系數(shù)反映與股市間聯(lián)動(dòng)狀況,并針對(duì)我國(guó)股票市場(chǎng),對(duì)上證綜合指數(shù)給出了不同置信水平下的動(dòng)態(tài)風(fēng)險(xiǎn)評(píng)估,最后得出美元匯率大幅度波動(dòng)確實(shí)影響股市間的震動(dòng)及傳遞效應(yīng)等結(jié)論。本文繼續(xù)對(duì)Copula理論在外匯市場(chǎng)相關(guān)性分析的應(yīng)用中進(jìn)行了總結(jié),及市場(chǎng)間動(dòng)態(tài)相關(guān)系數(shù)、股市動(dòng)態(tài)風(fēng)險(xiǎn)等運(yùn)用,進(jìn)一步提出問(wèn)題的研究和展望。
[Abstract]:With the acceleration of globalization, the risks of financial markets are becoming more and more complicated, the market efficiency has been continuously improved, and the current capital has brought continuous turbulence to the financial markets. The traditional hypothesis-based analysis method is no longer suitable for the complex financial market nowadays. The Copula function as a tool has its own advantages to depict the financial risk. In order to study the influence of exchange rate dependence on stock market, this paper applies Copula theory to analyze the tail dependence of foreign exchange market, and estimates the marginal distribution of variables by kernel density. On the basis of this, the mixed Copula model is constructed and the EM algorithm is applied to the parameter estimation of the model. The effect of exchange rate dependence on the stock market is discussed. Because the financial market and the stock correlation is not a particular form of change. Hong Kong's peg to the US dollar is highly correlated on the exchange rate, so this paper selects the US dollar exchange rate from July 22, 2014 to August 26, 2015 to conduct a tail dependence study on the Hong Kong dollar. In the stock market, under the background of exchange rate dependence, the GARCH model is used to study the Hang Seng, Dow Jones and Shanghai Stock Exchange Index selected in the same period. This paper analyzes the spillover effect of foreign exchange market on stock market and the linkage between stock market and stock market according to the dynamic correlation coefficient, and gives the dynamic risk assessment of Shanghai Composite Index at different confidence levels according to the stock market of our country. Finally, the conclusion is drawn that the large fluctuation of the dollar exchange rate does affect the shock and transmission effect between stock markets. This paper continues to summarize the application of Copula theory in the correlation analysis of foreign exchange market, and the application of dynamic correlation coefficient between markets, dynamic risk of stock market and so on, and puts forward the further research and prospect of the problems.
【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F827.12

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本文編號(hào)：2281577