欧债危机背景下我国A股与欧股的极端风险溢出效应研究

发布时间：2018-01-02 09:38

本文关键词：欧债危机背景下我国A股与欧股的极端风险溢出效应研究　出处：《广东财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：21世纪以来，次债危机和欧债危机的先后爆发严重影响了世界经济的正常发展，国际金融市场急剧动荡，而危机期间各国股市表现出的联动性和传染性也日益成为政府监管机构和投资者关注的焦点。本文采用理论归纳和实证检验相结合的方法，重点探讨欧债危机背景下，我国A股市场和欧洲股市之间极端风险的溢出机理和具体溢出内容。本文首先系统性地回顾了金融市场极端风险测度和极端风险溢出领域的现有成果。在此基础上，详尽探讨了股票市场极端风险的溢出机理。在实证建模部分，，笔者引入Hong et al.（2009）提出的检验统计量，构建基于E-VaR和CCF的Granger检验方法，分阶段考察了欧债危机背景下，我国A股与欧股极端风险溢出的具体内容，包括方向、方式、相对强度、是否存在时滞、时变性等通过本文的研究，笔者得出以下结论：（1）机构投资者调整跨国资产配置策略和银行业由于“共同贷款者”效应及同业资本关联形成的流动性冲击传染，以及信息不对称条件下，基于市场行为主体理性预期决策而产生的示范效应及羊群效应是股票市场极端风险溢出的主要动因。（2）欧债危机背景下，我国A股与欧洲股市存在明显的极端风险溢出效应，危机的爆发显著改变了两地股市的极端风险溢出信息。危机爆发前的主要特点是极端风险溢出的单向滞后效应和非对称性，危机爆发后极端风险溢出信息的核心内容是显著的瞬时溢出效应，并且随着危机的演进不断加强。（3）A股市场是新兴市场，但已非独立市场。一方面，A股市场表现出了对于外围股市极端风险信息的选择性吸收和市场波动的非稳定性；另一方面，其国际影响力也有了很大提升，市场有效性显著增强，初步反映出我国A股市场在股权制度改革和市场制度建设等方面所取得的成绩。
[Abstract]:Since twenty-first Century, after another outbreak of subprime crisis and the European debt crisis has seriously affected the normal development of the world economy, the international financial market turbulence, and stock markets during the crisis showed the linkage and infectious has become government regulators and investors attention focal point. This method theory and empirical analysis focus on the background, the European debt crisis, the spillover mechanism of A stock market in China and Europe between the stock market and the specific content of extreme risk spillover.
This paper systematically reviews the existing achievements of financial market risk measurement and extreme extreme risk spillover field. On this basis, a detailed discussion of the mechanism of stock market extreme risk spillover. In the empirical modeling part, the author introduces the Hong et al. (2009) test statistics is proposed, constructed Granger test method based on CCF and E-VaR that part of the European debt crisis, the specific content of China's A shares and European stocks including the Extreme Risk Spillover direction, relative intensity, the existence of time-delay, time-varying etc.
Through the study of this paper, the author draws the following conclusions:
(1) institutional investors to adjust the asset allocation strategy and transnational banks due to the liquidity shock common borrowers "effect and the formation of Capital Association interbank contagion, and under the condition of asymmetric information, demonstration effect and herding effect arising from the behavior of the market participants based on rational expectations decision is the main reason for the stock market extreme risk spillover.
(2) under the background of European debt crisis, the extreme risk spillover effect is obvious in China A shares and European stock markets, the crisis has a significant change in both markets. The main characteristics of Extreme Risk Spillover information before the crisis is a one-way lag effect of Extreme Risk Spillover and the asymmetry of the core content of Extreme Risk Spillover information after the outbreak of the crisis is the instantaneous spillover effect significantly, and with the evolution of the crisis intensified.
(3) A stock market is an emerging market, but has a non independent market. On the one hand, A stock market showed stability for non selective absorption and extreme market volatility outside the stock market risk information; on the other hand, its international influence has also been greatly improved, market efficiency significantly enhanced, preliminary reflect A stock market in China has made in the equity system reform and market system construction achievements.

【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F831.51

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