欧洲股票市场与中国股票市场之间的波动溢出效应研究

发布时间：2017-12-31 03:15

本文关键词：欧洲股票市场与中国股票市场之间的波动溢出效应研究　出处：《江西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文的研究目的，是探究在中国股票市场和欧洲股票市场之间是否存在波动溢出效应。其实质是通过研究德国股票市场、法国股票市场、英国股票市场与中国股票市场之间是否存在波动溢出效应，，来判断欧洲股票市场与中国股票市场之间是否存在波动溢出效应。本文运用的统计模型是BEKK-MGARCH(1,1)模型。通过沪深300指数、德国DAX指数、法国CAC40指数与英国富时100指数的日价格指数的收盘价，构建了各个指数的日对数收益率序列。分牛市、熊市、反弹、震荡四个行情，分别运用BEKK-MGARCH(1,1)模型，来研究德国股票市场、法国股票市场、英国股票市场与中国股票市场之间的波动溢出效应。研究结果表明：中国股票市场、德国股票市场、法国股票市场及英国股票市场均具有显著的ARCH效应。运用计量经济学方法，对所选择的样本数据进行估计，结果显示：在中国股票市场是牛市的情况下，波动溢出效应在中国股票市场与德国股票市场之间是有的，而且还是双向的；在中国股票市场是熊市的情况下，波动溢出效应在中国股票市场与德国股票市场之间是没有的；在中国股票市场是反弹的情况下，波动溢出效应在中国股票市场与德国股票市场之间也是没有的；在中国股票市场是震荡的情况下，波动溢出效应在中国股票市场与德国股票市场之间是有的，但是仅仅是从中国股票市场到德国股票市场，从德国股票市场到中国股票市场则没有该现象。在中国股票市场是牛市的情况下，波动溢出效应在中国股票市场与法国股票市场之间是有的，但是仅仅是从中国股票市场到法国股票市场，从法国股票市场到中国股票市场则没有该现象；在中国股票市场是熊市的情况下，波动溢出效应在中国股票市场与法国股票市场之间是没有的；在中国股票市场是反弹的情况下，波动溢出效应在中国股票市场与法国股票市场之间是有的，但是仅仅是从中国股票市场到法国股票市场，从法国股票市场到中国股票市场则没有该现象；在中国股票市场是震荡的情况下，波动溢出效应在中国股票市场与法国股票市场之间是有的，但是仅仅是从中国股票市场到法国股票市场，从法国股票市场到中国股票市场则没有该现象。在中国股票市场是牛市的情况下，波动溢出效应在中国股票市场与英国股票市场之间是没有的；在中国股票市场是熊市的情况下，波动溢出效应在中国股票市场与英国股票市场之间也是没有的；在中国股票市场是反弹的情况下，波动溢出效应在中国股票市场与英国股票市场之间是有的，而且还是双向的；在中国股票市场是震荡的情况下，波动溢出效应在中国股票市场与英国股票市场之间是有的，但是仅仅是从中国股票市场到英国股票市场，从英国股票市场到中国股票市场则没有该现象。
[Abstract]:The purpose of this paper is to explore whether there is volatility spillover effect between Chinese stock market and European stock market. The essence of this study is to study the German stock market and the French stock market. Whether there is volatility spillover effect between UK stock market and Chinese stock market. To determine whether there is volatility spillover effect between European stock market and Chinese stock market. The statistical model used in this paper is BEKK-MGARCH1) model. The closing price of the DAX index in Germany, the CAC40 index in France, and the daily price index in the FTSE index in the UK, constructed a series of daily logarithmic yields for each index. It was divided into bull markets, bear markets, and rebounded. Four market shocks, respectively using the BEKK-MGARCHG 1) model, to study the German stock market, the French stock market. Volatility spillover effect between UK stock market and Chinese stock market. The results show that the Chinese stock market, the German stock market, the French stock market and the British stock market have significant ARCH effects. The results show that the volatility spillover effect exists between the Chinese stock market and the German stock market when the Chinese stock market is a bull market. Under the condition that the Chinese stock market is a bear market, there is no volatility spillover effect between the Chinese stock market and the German stock market. When the Chinese stock market is rebounding, the volatility spillover effect is not found between the Chinese stock market and the German stock market. In the case that the Chinese stock market is volatile, the volatility spillover effect exists between the Chinese stock market and the German stock market, but only from the Chinese stock market to the German stock market. There is no such phenomenon from the German stock market to the Chinese stock market. In the case of a bull market in the Chinese stock market, volatility spillover effects exist between the Chinese stock market and the French stock market. But only from the Chinese stock market to the French stock market, from the French stock market to the Chinese stock market, there is no such phenomenon; Under the condition that the Chinese stock market is a bear market, there is no volatility spillover effect between the Chinese stock market and the French stock market. In the case of a rebound in the Chinese stock market, volatility spillover effects exist between the Chinese stock market and the French stock market, but only from the Chinese stock market to the French stock market. From the French stock market to the Chinese stock market, there is no such phenomenon; In the case that the Chinese stock market is volatile, the volatility spillover effect exists between the Chinese stock market and the French stock market, but only from the Chinese stock market to the French stock market. There is no such phenomenon from the French stock market to the Chinese stock market. When the Chinese stock market is a bull market, there is no volatility spillover effect between the Chinese stock market and the British stock market; Under the condition that the Chinese stock market is a bear market, the volatility spillover effect is not between the Chinese stock market and the British stock market. In the case that the Chinese stock market is rebounding, the volatility spillover effect between the Chinese stock market and the British stock market is still two-way; When the Chinese stock market is volatile, the volatility spillover effect exists between the Chinese stock market and the British stock market, but only from the Chinese stock market to the British stock market. From the British stock market to the Chinese stock market, there is no such phenomenon.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51;F224

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