外围股市、能源、黄金和汇率对上证指数的影响

发布时间：2018-06-19 17:17

本文选题：股票市场 + 联动　；参考：《首都经济贸易大学学报》2011年06期

【摘要】：随着中国加入WTO、QDII和QFII实施以及人民币汇率机制形成,中国资本市场与国际资本市场之间的联系日益紧密。文章选取2005～2011年上证综指、道琼斯工业指教、美国原油期货价格、美国黄金期货价格和美元与人民币汇率的日收盘价作为研究对象,运用GJR-GARCH模型,研究外围股市、能源、黄金期货和汇率对上证综指日收益率的影响。结果表明,上证综合指数收益股价收益率存在不对称现象,但不存在杠杆效应。美国股市和美国原油价格对上海股市存在正向影响,黄金期货收益序列的波动性与上证综指的均值收益负相关,美元/人民币汇率收益与上证综指波动率负相关。
[Abstract]:With China's entry into WTO, QDII and QFII and the formation of RMB exchange rate mechanism, China's capital market and international capital market are increasingly closely linked. In this paper, the Shanghai Composite Index from 2005 to 2011, Dow Jones Industrial Index, US crude oil futures price, US gold futures price and the daily closing price of US dollar and RMB exchange rate are selected as the research objects. The GJR-GARCH model is used to study the peripheral stock market and energy. The impact of gold futures and exchange rates on the daily yield of the Shanghai Composite Index. The results show that the yield of Shanghai Composite Index is asymmetric, but there is no leverage effect. U.S. stock market and U.S. crude oil price have positive influence on Shanghai stock market. The volatility of gold futures return sequence is negatively correlated with the average return of Shanghai Composite Index, and the return of US dollar / RMB exchange rate is negatively correlated with Shanghai Composite Index volatility.
【作者单位】：中央财经大学中国经济与管理研究院;
【基金】：教育部科技创新工程重大项日培育资金项目《信息在金融市场中传导机制的仿真和建模分析》(项目编号708015)
【分类号】：F831.5;F416.2;F832.51;F224

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