中国资本市场开放进程中中美两国股市的相关性研究

发布时间：2017-12-31 00:35

本文关键词：中国资本市场开放进程中中美两国股市的相关性研究　出处：《南京航空航天大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着全球经济一体化和金融一体化的不断加深，全球股市间的相关性不断增强，一国股市的收益率和波动可能会对其他股市产生影响，，同时也受到其他国家股市收益率和波动变化的影响。在中国资本市场逐步开放的进程中，中国股市与外围股市间的联系越来越紧密，股市国际化必将成为中国资本市场发展的必然趋势。为了规避国际市场波动所带来的投资风险，促进中国股市的稳健发展，研究中国股市与成熟资本市场间收益率与波动的相关性，尤其是与美国股市间的相关性显得尤为重要。本文选取2001年12月11日到2011年12月30日期间上证综指、恒生指数及标准普尔500指数的日收益率作为研究对象，以中国资本市场开放进程中一些关键事件为分界点，将研究期间划分为六个阶段进行研究。在理论分析与股市运行状况分析的基础上，通过建立VAR模型、DCC-MVGARCH模型，运用Granger因果检验、脉冲响应函数、方差分解和动态条件相关系数方法对不同阶段的中国大陆、中国香港和美国股市的收益率及收益率波动的相关性进行研究。结果发现，在中国资本市场开放进程中，中国大陆、中国香港与美国股市间的相关性在不同阶段强弱并不相同。从总体上看，随着中国资本市场体制的改革和完善，以及资本项目的逐步开放，中国大陆、中国香港和美国股市间的相关性逐渐提高，但三地股市的变动并不完全一致，中国股市的国际化进程仍面临诸多考验。最后本文对股市间相关性存在差异的原因即中国资本市场逐步开放后股市间相关性增强的原因、做空机制引入后股市走势逐渐不一致的原因以及整个研究区间内股市间相关性总体较弱的原因进行了分析，并对如何在促进中国股市健康发展、防止股市过度波动的基础上，加快推进中国资本市场国际化进程、促进中国股市与国际股市接轨提出相关对策建议。
[Abstract]:With the deepening of global economic integration and financial integration , the correlation between stock market and stock market is constantly strengthened , and the return and fluctuation of stock market in one country may have an impact on other stock markets . In the process of the gradual opening of China ' s capital market , China ' s stock market and peripheral stock market are becoming more and more closely . In order to avoid the investment risk caused by the fluctuation of international market and to promote the sound development of China ' s stock market , it is especially important to study the correlation between Chinese stock market and mature capital market , especially the correlation between Chinese stock market and mature capital market . On the basis of theoretical analysis and stock market operation analysis , the correlation between yield and yield fluctuation of mainland China , Hong Kong and U.S . stock market in China , China , Hong Kong and U.S . stock market is studied . At last , this paper analyzes the reasons for the correlation between stock market and the reasons why the correlation between the stock market is strengthened after the opening of China ' s capital market , the reason why the stock market moves gradually after the introduction of the space mechanism and the weak correlation between the stock markets in the whole study interval , and on the basis of promoting the healthy development of the Chinese stock market , preventing the excessive fluctuation of the stock market , speeding up the internationalization of China ' s capital market , and promoting the relevant countermeasures and suggestions of the Chinese stock market and the international stock market .

【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F837.12

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