標(biāo)準(zhǔn)宏觀經(jīng)濟(jì)理論認(rèn)為,不確定性的激增可能導(dǎo)致經(jīng)濟(jì)活動(dòng)的暫時(shí)崩潰,進(jìn)而導(dǎo)致股市崩盤。由于不確定性不能被直接觀察到,研究人員和經(jīng)濟(jì)學(xué)家的主要目的找不確定性的測(cè)度方法,以便利用經(jīng)驗(yàn)工具來(lái)描述一個(gè)經(jīng)濟(jì)體、產(chǎn)業(yè)或股票市場(chǎng)所面臨的不確定性�，F(xiàn)存的文獻(xiàn)提出了許多不同類型的不確定性測(cè)度方法。其中,S.R.Baker et al.(2016)構(gòu)建的EPU指數(shù)是最具影響力的不確定性測(cè)度,可以作為與財(cái)政政策、貨幣政策相關(guān)的不確定性測(cè)度。許多研究使用EPU作為衡量經(jīng)濟(jì)政策不確定性的代理變量,如,(Arouri et al.,2016;Brogaard&Detzel,2015;Dakhlaoui&Aloui,2016).這類研究普遍認(rèn)為,EPU對(duì)金融市場(chǎng)的影響是巨大的,尤其是對(duì)歐美股市的影響。因此,本文選取S.R.Baker et al.(2016)構(gòu)建的中國(guó)EPU指數(shù)進(jìn)行研究.本文通過(guò)對(duì)三個(gè)方面的實(shí)證研究,驗(yàn)證了中國(guó)經(jīng)濟(jì)政策不確定性與東南亞經(jīng)濟(jì)體股市波動(dòng)的關(guān)系,為現(xiàn)存的政策不確定性和金融市場(chǎng)文獻(xiàn)做出了貢獻(xiàn)。據(jù)此,本文的研究旨在回答如下幾個(gè)問(wèn)題:(1)中國(guó)的EPU能否解釋AH股票溢價(jià)收益的異質(zhì)性...

【文章頁(yè)數(shù)】：153 頁(yè)

【學(xué)位級(jí)別】：博士

【文章目錄】：
Abstract 摘要 List of Abbrevations Chapter 1:Introduction,Motivation and Objectives
1.1 Background and Summary
1.2 Needs and the importance of the research topic
1.3 The Research Objectives
1.4 Problem Statement
    1.4.1 Problem identification
1.5 Rationality of the Study
1.6 Thesis Structure Chapter 2:Theoretical Analysis and Research Background
2.1 Introduction
2.2 Concept of Uncertainty
2.3 Origins of the distinction between Uncertainty and Risk
2.4 Why uncertainty matters:Theoretical Background
    2.4.1 Uncertainty and economic activity
    
2.4.1.1 Policy Uncertainty and Real-option Effect
    
2.4.1.2 Policy Uncertainty and Financing cost
    
2.4.1.3 Policy Uncertainty and Precautionary savings
    
2.4.1.4 Policy Uncertainty and Growth option effect
    2.4.2 Uncertainty and financial markets
2.5 Measuring uncertainty and the index of EPU Chapter 3:Literature Reviews and Contribution
3.1 Introduction
3.2 Overview of AH-shares
    3.2.1 Background
    3.2.2 The literature on AH-shares discrepancy
3.3 The literature on the linkages of global EPU
3.4 The literature on the linkages of Chinese EPU
3.5 The literature about predicting and forecasting EPU
3.6 Literature gap and contributions
3.7 Hypothesis Development Chapter 4:Chinese EPU and its effects on AH-shares price discrepancy and returns
4.1 Introduction
4.2 Data Description
4.3 Methodology
    4.3.1 Counterfactual Distribution of EPU
4.4 Empirical Results
    4.4.1 Descriptive statistics
    4.4.2 Distribution of AH premium values(Periods0 and1)
    4.4.3 Counterfactual Distribution of EPU
4.5 Discussion and Conclusion
    4.5.1 Discussion
    4.5.2 Conclusion
    4.5.3 Limitations Chapter 5:Chinese EPU and its effects on the returns and/or volatility distribution of ASEAN5 stock markets
5.1 Introduction
5.2 Data Description
5.3 Methodology
    5.3.1 Kernel density function
5.4 Empirical Results
    5.4.1 Descriptive Statistics
    5.4.2 Conditional distribution of Chinese EPU
    
5.4.2.1 Conditional distribution of Chinese EPU for the Indonesian stock market returns and volatility
    
5.4.2.2 Conditional distribution of Chinese EPU for Malaysian stock market returns and volatility
    
5.4.2.3 Conditional distribution of Chinese EPU for Philippine stock market returns and volatility
    
5.4.2.4 Conditional distribution of Chinese EPU for Singapore stock market returns and volatility
    
5.4.2.5 Conditional distribution of Chinese EPU for Thailand stock market returns and volatility
    5.4.3 Discussions
5.5 Conclusion and policy implications
    5.5.1 Conclusion
    5.5.2 Policy implications Chapter 6:Forecasting Chinese EPU based on financial uncertainty in East Asian Economies
6.1 Introduction
6.2 Data and their relevant Sources
6.3 Methodology
    6.3.1 Forecasting models
    
6.3.1.1 Logistic Regression(LR)Model
    
6.3.1.2 Decision Tree Model(DTM)
6.4 Empirical Analysis and Discussions
    6.4.1 Calculation of EPU Outliers/outstanding points
    6.4.2 Logistic Regression Results to predict Chinese EPU Outliers
    6.4.3 Decision Tree Results to predict Chinese EPU Outliers
    6.4.4 Comparison using the Classification Accuracy
6.5 Conclusion and Policy implications
    6.5.1 Conclusion
    6.5.2 Policy implications Chapter 7:Summary and Conclusions
7.1 Summary of key findings and implications
7.2 Suggestions for future research References Appendix 1:The description of variables and data source Research Publications during PhD Acknowledgement



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