次贷危机下沪深300指数与道琼斯指数的波动溢出效应研究

发布时间：2018-05-14 13:56

本文选题：波动溢出效应 + 沪深300指数　；参考：《复旦大学》2012年硕士论文

【摘要】：不同股市间存在波动性溢出效应,就意味着股票市场的监管、风险防范、投资组合构建等方面,要兼顾考虑本国和其他国家股市的波动性状况。而在全球股票市场中,美国和中国具有较为特殊的意义：一是二者不仅为全球最大的两个综合经济体,而且在股市总市值上也分居前两位,在世界经济和资本市场中的地位和影响不言而喻。二是通过考察中国股市与美国股市之间波动性的联动效应,可以对中国实体经济发展情况、资本市场的开放进程、投资者行为与市场的相互影响关系等多方面,进行较为全面和深入的了解、探讨和剖析。同时,金融危机等极端情形下的波动溢出效应往往具有自身的表现形式。本文以本次美国次贷危机为背景,在波动溢出效应形成机制分析基础上,针对沪深300指数与道琼斯工业指数间波动溢出效应,从中美两国宏观经济基本面和微观市场传导两个层面提出理论研究假说提出了相应的研究假说。在具体研究方法上,首先通过新闻事件法和MRS模型结合,确定了危机爆发的准确时间,然后通过构建DCC-MVGARCH模型,对沪深300指数和道琼斯指数在危机下的波动溢出效应进行实证分析。在得到实证结果后,从实证和理论上,进一步对具体的机制成因做深入的分析,验证本文的研究假说,最后给出结论和政策建议。本文的主要结论如下：研究区间内,道琼斯指数始终对沪深300指数具有单向的溢出效应,并且在危机过程中得到增强。其中,溢出效应上述特点的形成机制,目前仅与微观投资者的行为有关,尚不具有宏观经济基本面的传导机制。
[Abstract]:The existence of volatility spillover effect between different stock markets means that the regulation of stock market risk prevention and portfolio construction should take into account the volatility of domestic and other stock markets. In the global stock market, the United States and China have more special significance: first, they are not only the two largest comprehensive economies in the world, but also the top two in the total market value of the stock market. The position and influence in the world economy and capital market are self-evident. Second, by examining the linkage effect of volatility between the Chinese stock market and the US stock market, it can affect the development of China's real economy, the opening process of the capital market, the mutual influence of investor behavior and the market, and so on. More comprehensive and in-depth understanding, discussion and analysis. At the same time, volatility spillover effects in extreme situations such as financial crisis often have their own forms. Based on the analysis of the formation mechanism of volatility spillover effect, this paper aims at the volatility spillover effect between Shanghai and Shenzhen 300 Index and Dow Jones Industrial Index. This paper puts forward the theoretical research hypothesis from the two aspects of the macroeconomic fundamentals and the micro market conduction of China and the United States, and puts forward the corresponding research hypothesis. In the specific research methods, firstly, through the combination of the news event method and the MRS model, the accurate time of crisis outbreak is determined, and then the DCC-MVGARCH model is constructed. The volatility spillover effects of Shanghai and Shenzhen 300 Index and Dow Jones Index under the crisis are analyzed empirically. After obtaining the empirical results, the author makes a further analysis of the causes of the specific mechanism from the empirical and theoretical aspects, validates the research hypothesis of this paper, and finally gives the conclusions and policy recommendations. The main conclusions of this paper are as follows: the Dow Jones index has a one-way spillover effect on the CSI 300 index and has been strengthened in the course of the crisis. Among them, the formation mechanism of the above characteristics of spillover effect is only related to the behavior of micro investors, and does not have the transmission mechanism of macroeconomic fundamentals.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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