我国股价指数与美元指数相关性研究

发布时间：2018-01-04 17:33

本文关键词：我国股价指数与美元指数相关性研究　出处：《山东财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：现有的对股价指数影响因素的研究多集中于利率水平、物价指数、货币供应量及汇率水平等。国内外学者对股价指数与美元指数相关性的研究还很少。本文以经济学、金融学和国际金融学的经典理论为依托，在对前人研究成果进行总结归纳的基础上，分别运用理论分析与实证分析相结合、定性分析和定量分析相结合、多层次综合分析、比较分析等研究方法对我国股价指数与美元指数的相关性进行了细致的研究。本文首先归纳了传统的股价指数影响因素理论，这些因素包括经济增长、经济周期、货币供给量、利率水平、物价指数、汇率水平和其他因素。而后，本文介绍了美元指数的概念、由来、计算和影响因素，揭示了其国际资本流动风向标的重要内涵，并从理论上探讨了美元指数影响我国股价综合指数的四条途径。此外，，本文还分析了美元指数对A、B股股指的不同影响以及它对板块指数的影响。在此基础上，本文以2005年7月21日人民币汇改为时间分界点，采用了ADF单位根检验、协整检验、VAR模型检验、VEC模型检验、格兰杰因果检验等多种方法对所选时间段内上证综指与美元指数的相关性做了严谨的实证研究，并得出结论——在汇改之前，上证综指与美元指数有着微弱的正相关关系；而在汇改后，二者之间存在显著的负相关关系。本文还就美元指数对我国A、B股股指和板块指数的影响进行了实证检验，得出了与理论分析相吻合的结论。最后，本文分别对我国证券市场投资者与监管者提出了关注美元指数波动以趋利避害的对策建议，并给出了降低美元指数异动对我国股价指数冲击的具体措施。
[Abstract]:The existing research on the influence factors of stock price index is mostly focused on the interest rate level, price index. There are few researches on the correlation between stock price index and dollar index at home and abroad. This paper is based on the classical theories of economics, finance and international finance. On the basis of summarizing and summarizing the previous research results, this paper respectively uses the combination of theoretical analysis and empirical analysis, qualitative analysis and quantitative analysis, multi-level comprehensive analysis. The correlation between stock price index and dollar index in China is studied in detail by comparative analysis and other research methods. This paper first summarizes the traditional theory of influencing factors of stock index, including economic growth, economic cycle, money supply, interest rate level, price index, exchange rate level and other factors. This paper introduces the concept, origin, calculation and influence factors of dollar index, and reveals the important connotation of its international capital flow weather vane. In addition, this paper also analyzes the impact of the dollar index on the stock price index of A, and discusses the four ways that the dollar index affects the composite index of stock price in China. On the basis of the different influence of B stock index and its influence on the plate index, this paper takes the RMB exchange rate change in July 21st 2005 as the time dividing point, adopts ADF unit root test and cointegration test. VAR model test, Granger causality test and other methods for the selected time period of the Shanghai Composite Index and the correlation between the dollar index to do a rigorous empirical study. And draw a conclusion-before the exchange rate reform, the Shanghai Composite Index and the dollar index have the weak positive correlation; After the exchange rate reform, there is a significant negative correlation between the two. This paper also makes an empirical test on the impact of US dollar index on the A-, B-share and plate indices in China. Finally, this paper puts forward some countermeasures and suggestions to investors and regulators of China's securities market to pay attention to the fluctuation of dollar index in order to get the advantage and avoid the harm. The specific measures to reduce the impact of the dollar index on China's stock index are also given.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F827.12;F224

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