全球化下金融市场空间溢出效应研究

发布时间：2018-04-11 13:19

本文选题：全球化 + 均值溢出效应　；参考：《广东商学院》2013年硕士论文

【摘要】：全球化条件下，货币金融系统是一个开放的复杂巨系统，，市场间的资本流动及信息传递机制不断加强，金融市场之间广泛存在空间溢出效应。本文在群体行为视角下，探讨全球化金融系统中政府、市场、投资者三种集群的群体行为及其相互影响关系，以研究金融市场空间溢出效应的群体动力机制及其溢出渠道。研究表明，溢出机制主要包括政府的适应性博弈、市场的局部交互作用以及投资者跨市场羊群行为机制，溢出渠道主要有流动性溢出、信息溢出、预期溢出和汇率溢出。实证中以中国内地、美国、香港三地货币供应量（M2）为样本，建立VAR模型，分析三地货币冲击的相互影响关系；以美国货币市场利率和股票市场收益率为样本建立VAR模型和GARCH-BEKK模型，分别检验美国货币市场与股票市场间的均值溢出效应和波动溢出效应；以标准普尔指数（S_P）、恒生指数（HSI）、上证指数（SSE）收益为样本建立VAR和GARCH-BEKK模型，分别检验三地股票市场间的均值溢出效应和波动溢出效应。实证结果表明，来自美国的货币冲击会引起其他国家和地区货币当局的适应性学习和博弈，进而影响其货币供应；美国的货币市场与股票市场间以及三地股票市场间在均值和方差层面均存在有空间溢出效应。其中，中国内地与香港股市有明显的风险共生特性，溢出效应的动态时变性体现出，美国作为货币中心国，其货币政策宽松-收紧-宽松的过程伴随着其金融市场泡沫积累-泡沫破裂-风险向外蔓延的过程，基于此提出了相应的风险防范建议。
[Abstract]:Under the condition of globalization, the monetary and financial system is an open and complicated giant system, the capital flow and information transmission mechanism between markets are strengthened constantly, and there are widespread spatial spillover effects between financial markets.From the perspective of group behavior, this paper probes into the group behavior of the three clusters of government, market and investor in the global financial system and their relationship with each other, in order to study the group dynamic mechanism and its spillover channels of spatial spillover effect in financial market.The research shows that the spillover mechanism mainly includes the adaptive game of the government, the local interaction of the market and the mechanism of investors' herd behavior across the market. The overflow channels mainly include liquidity spillover, information spillover, expected spillover and exchange rate spillover.Taking the money supply of the mainland of China, the United States and Hong Kong as samples, VAR model is established to analyze the mutual influence of monetary shocks in the three places.VAR model and GARCH-BEKK model are established with interest rate and stock market yield as samples to test the mean and volatility spillover effects between American money market and stock market respectively.The VAR and GARCH-BEKK models of S & P index, Hang Seng Index and Shanghai Stock Exchange are established to test the average and volatility spillover effects of the three stock markets, respectively.The empirical results show that the currency shock from the United States will cause adaptive learning and game of monetary authorities in other countries and regions, and then affect their money supply.There is a spatial spillover effect between the money market and stock market in the United States and between the three stock markets at the level of mean value and variance.Among them, the stock markets of mainland China and Hong Kong have obvious characteristics of risk symbiosis, and the dynamic temporal variability of spillover effects shows that the United States is the central currency country.The process of monetary policy loosening, tightening and easing is accompanied by the process of bubble accumulation, bubble burst and risk spreading in its financial market. Based on this, the corresponding risk prevention suggestions are put forward.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.5;F224

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