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国际金融危机背景下国内外股市波动溢出效应的实证研究

发布时间:2018-05-14 19:05

  本文选题:股票市场 + 波动溢出效应 ; 参考:《江西财经大学》2011年硕士论文


【摘要】:随着金融一体化、金融自由化趋势越来越明显,世界资本市场联系趋于紧密,一个金融市场的价格和波动不仅受到自身前期的影响,而且受到其他市场前期波动的影响,这就存在着溢出效应,包括均值溢出效应和波动溢出效应。溢出效应一直是学术界关注的一个热点问题。2007年美国次贷危机爆发,并演变成一场席卷全球的金融危机,对世界金融市场产生深远影响,世界各国股票市场一路狂跌,整个世界风声鹤唳。不仅发达国家如此,作为最大发展中国家的中国,其股票市值更是在甚短的时间内蒸发了70%。美国次贷危机为何会演变成全球大规模的金融危机,为何给全球带来了如此沉重的影响,又是通过怎样的渠道扩散至全球并产生影响,这需要全面而又深入的对其进行研究。由此可以看出,全面完整地研究各个市场间的相互联系,相互影响,对于维护金融体系稳定,保持经济持续增长有重要的意义和作用。 本文以国际金融危机爆发为着手点,将时间分为国际金融危机爆发前(2005年4月29日——2007年7月31日)和国际金融危机爆发后(2007年8月1日——2010年8月31日)两个时间段,并分别运用VAR方法、单变量GARCH模型和多变量向量GARCH模型来分别研究上海股市、香港股市、美国股市和日本股市之间的一阶矩联系和波动溢出效应,并对一阶矩联系和二阶矩波动溢出效应进行了对比分析,发现: 第一,在国际金融危机爆发前后,四个股票市场的价格收益率序列都是平稳序列,具有很强的自相关性,且都不服从正态分布。而且市场都存在很强的波动聚集性和持续性,且都具有ARCH效应。 第二,运用VAR方法来研究一阶矩之间的相关关系,在国际金融危机爆发前,在5%的显著性水平下,不存在任何市场的均值溢出效应;而在国际金融危机爆发后,存在着其他三个市场对美国市场的均值溢出效应,但不存在其他的均值溢出效应。随后的Granger因果检验和脉冲响应函数进一步证实了这些结论。 第三,运用单变量GARCH方程分析波动溢出效应时。在国际金融危机爆发前,只存在着香港市场对上海市场的直接波动溢出效应,但是美国市场和日本市场可以通过香港市场间接影响上海市场;而在国际金融危机爆发后,存在着香港市场和美国市场对上海市场的直接波动溢出效应,日本市场对沪市波动溢出则不明显,但是它可以通过香港市场间接作用于上海市场。 第四,运用多变量GARCH模型对波动溢出效应进行研究时,发现在国际金融危机爆发前,存在着香港市场和上海市场的双向波动溢出,而美国市场只能通过影响香港市场来间接影响,但是日本市场却只能通过美国市场作用于香港市场对沪市产生作用,影响波动传染效应较弱。而在国际金融危机爆发后,只存在着香港市场对上海市场的波动溢出效应,美国市场可以通过作用于香港市场和日本市场对上海股市产生作用,我国沪市的对外影响力有所减弱,但是西方发达国家股市之间的联系有所加强,本文从贸易渠道和金融渠道对此做出了解释。 通过时变的动态相关系数来分析股市间的关联程度时发现,国际金融危机爆发前,上海市场与其他市场的联系程度较低,和联系最为紧密的香港市场的相关系数也只有0.28左右。但是在国际金融危机爆发后,联系明显加强了,上海市场与香港市场、美国市场和日本市场的动态相关系数增加为0.55、0.3和0.35。 据此,本文认为政府在制定政策时,应该具有前瞻性和统筹性,充分考虑股市之间的信息传导机制;政府应采取全面、有效的监管框架,监管市场参与者,减少金融市场的动荡。
[Abstract]:With the financial integration , the trend of financial liberalization has become more and more obvious , the world capital market is becoming more and more obvious , and the price and fluctuation of a financial market is not only influenced by the earlier stage , but also affected by the fluctuation of other markets .

Taking the international financial crisis as the starting point , this paper divides the time into two periods before the outbreak of the international financial crisis ( April 29 , 2005 , July 31 , 2007 ) and the international financial crisis ( August 1 , 2007 ) .

First , before and after the outbreak of the international financial crisis , the prices and yield sequences of the four stock markets are stable sequences , have strong self - correlation and do not obey the normal distribution , and the market has strong volatility clustering and persistence , and has the ARCH effect .

Secondly , using VAR method to study the correlation between the first order moment and the first order moment , before the outbreak of the international financial crisis , there is no mean overflow effect of any market under the significance level of 5 % ;
However , after the outbreak of the international financial crisis , there are three other markets for the mean overflow effect of the United States market , but there is no other mean overflow effect .

Thirdly , when the volatility spillover effect is analyzed by using the single - variable ARCH model , there are only the direct volatility spillover effects of the Hong Kong market on the Shanghai market before the outbreak of the international financial crisis , but the U.S . market and the Japanese market can indirectly influence the Shanghai market through the Hong Kong market ;
However , after the outbreak of the international financial crisis , there are the direct volatility spillover effects of the Hong Kong market and the United States market on the Shanghai market . The Japanese market is not obvious to the fluctuation of the Shanghai market , but it can indirectly act on the Shanghai market through the Hong Kong market .

Fourth , when the volatility spillover effect is studied by using the multi - variable ARCH model , it is found that there are two - way fluctuation of the Hong Kong market and the Shanghai market before the outbreak of the international financial crisis . However , after the outbreak of the international financial crisis , there is only the fluctuation spillover effect of the Hong Kong market on the Shanghai market . However , after the outbreak of the international financial crisis , there is only the fluctuation spillover effect of the Hong Kong market on the Shanghai market . However , the relationship between the stock markets in the developed countries has been strengthened . This paper explains the trade channel and financial channel .

On the basis of time - varying dynamic correlation coefficient , it is found that the correlation between Shanghai market and other markets is relatively low before the outbreak of the international financial crisis , and the correlation coefficient between Shanghai market and other markets is only 0.28 . However , after the outbreak of the international financial crisis , the link between Shanghai market and the Hong Kong market , the United States market and the Japanese market is increased to 0.55 , 0.3 and 0.35 .

Therefore , this paper holds that the government should have a proactive and integrated nature in the formulation of policies and take full account of the information transmission mechanism between the stock markets ;
The government should adopt a comprehensive and effective regulatory framework to regulate market participants and reduce the volatility of financial markets .

【学位授予单位】:江西财经大学
【学位级别】:硕士
【学位授予年份】:2011
【分类号】:F832.51;F831.51;F224

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2 人行张家口市中支课题组;赵连飞;赵,

本文编号:1889105


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