基于美国次贷危机G20成员国股市联动性分析

发布时间：2018-01-03 10:37

本文关键词：基于美国次贷危机G20成员国股市联动性分析　出处：《电子科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着互联网通信领域的进步，，电子化金融交易系统给金融市场的投资全球化提供了较好的发展平台。基于经济全球化和金融全球化的发展趋势背景前提下，国际金融市场之间的相互联系日益加剧，进一步促进了美国等发达国家与发展中国家或新兴工业型国家之间的市场联动性。尤其在2008年以美国为首的次贷危机引起的金融海啸的爆发，可谓是百年不遇的金融危机，给大多数发达国家和发展中国家的经济及金融带来了严重的冲击、破坏和损失。这样使得业界与学界研究人员一方面不断探究此次金融危机爆发的深度原因，另一方面又从经济、贸易以及金融各个角度展开分析危机带来的影响。此外，在全球经济一体化背景下国际金融体系得到了不断改革，以及科学技术的快速发展加快了互联网技术的发展，金融产品多样性与投资多样化并存的经济金融市场再也按捺不住与国际接轨的发展趋势。这必然使得证券市场同样面临全球化发展的进程，全球股市市场的关系或动态已经深受经济学家和金融专家等相关学者的关注。因此，投资者们通过研究各国股票之间的联动性有可能在一定程度上来分散股票投资风险。目前，随着经济全球化趋势的发展国际各股市之间的活跃程度也不断加剧，国内外投资者为了分散投资风险获得更大的利润，因此国内外金融学专家及经济学家展开了对国际股市之间的联动性研究。本文与以往的研究联动性学者相比，在研究对象和实证方法上都一定的突破性探索，主要运用CCF（Cross-Correlation Function）方法以及VAR模型中格兰杰因果检验方法（Granger Causality）方法对G20国集团的代表性股票时间序列进行实证分析，并给出了清晰的统计因果网络图，在得到合理的实证性结果之后结合当今金融市场领域的实时动态给予合理的政策性建议。
[Abstract]:With the progress of the field of Internet communication, the electronic financial transaction system provides a better development platform for the investment globalization of the financial market, based on the background of economic globalization and financial globalization. International financial markets are increasingly interconnected. It has further promoted the market linkage between the developed countries such as the United States and developing countries or emerging industrial countries, especially in 2008, when the financial tsunami caused by the US-led subprime mortgage crisis broke out. It can be said that the financial crisis is once in a century, which has brought serious impact to the economy and finance of most developed and developing countries. Damage and loss. This makes industry and academic researchers on the one hand to explore the depth of the financial crisis, on the other hand, from the economy. The impact of the crisis was analyzed from all angles of trade and finance. In addition, in the context of global economic integration, the international financial system has been constantly reformed, and the rapid development of science and technology has accelerated the development of Internet technology. The diversification of financial products and investment diversification of the economic and financial markets can no longer restrain the development trend of international integration, which will inevitably make the securities market also face the process of globalization development. The relationship or dynamic of the global stock market has been concerned by economists and financial experts and other related scholars. Investors may diversify the risk of stock investment to a certain extent by studying the linkage between stocks in various countries. At present, with the development of economic globalization, the degree of activity among international stock markets is also increasing. In order to diversify the investment risk, domestic and foreign investors make more profits, so domestic and foreign financial experts and economists have carried out the research on the linkage between the international stock market. This paper compared with the previous research on the linkage of scholars, in the object of study and empirical methods are certain breakthrough exploration. CCF(Cross-Correlation function method and Granger causality test in VAR model are mainly used (. The representative stock time series of G20 group is empirically analyzed by Granger Caus. A clear statistical causal network diagram is given and reasonable policy suggestions are given after obtaining reasonable empirical results and combining with the real time dynamics in the field of financial markets.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.51;F224

【引证文献】