我国沪市与国际股市的联动性研究

发布时间：2018-01-10 14:18

本文关键词：我国沪市与国际股市的联动性研究　出处：《南京财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：在金融开放形势下，伴随经济的全球化和信息传播速度的加快，全球证券市场的一体化趋势日益明显，各国或地区间的股市联动性成为国内外学者热议的话题。那么随着我国加入WTO，股改、汇改的进行，沪市与世界主要金融中心股市收益率之间的联动效应如何？国内机构投资者还能否从全球分散化投资中获得益处呢？本文首先阐述了研究国内外股市联动性的背景和现实意义，对国内外的相关文献进行了梳理和总结，并对论文的结构框架和可能创新之处进行了介绍。第二部分主要对股市间联动性的原因进行了概述，，分析了几个理论对股市间联动性影响机制。第三部分是对样本数据选取情况的说明，进行了数据描述性统计，为实证分析奠定了基础。在实证分析方面，本文分阶段进行了协整、脉冲响应、方差分解等计量分析，发现沪市与世界主要股市之间不存在长期关系。然而，从短期看，2005年下半年以来国内外股市的联动关系有所增强，上海股市开始对其他股市产生不同程度影响。另外，论文利用BEKK-GARCH模型，动态地分析了沪市与国际股市的波动溢出效应及传导方向，得出的结论与前面分析总体上具有一致性。在2005年6月之前，沪市与其他市场之间不存在任何方向的波动溢出效应；2005年6月之后，在股市上涨阶段甚至出现了沪市与美国、德国、香港股市的双向波动溢出效应；但自2007年10月以来，主要是沪市对国际股市产生了单向波动溢出效应。文章的最后一部分是研究结论与启示，此部分进一步分析了实证结果的原因，并根据结论得出了完善国内资本市场的有益启示。
[Abstract]:Under the situation of financial opening, with the globalization of economy and the acceleration of information dissemination, the integration trend of global securities market is becoming more and more obvious. Stock market linkage between countries or regions has become a hot topic for scholars at home and abroad. So with China's accession to the WTO, share reform, exchange rate reform. What is the linkage effect between Shanghai stock market and the stock market yield of the world's major financial center? Can domestic institutional investors also benefit from global diversification? This paper first elaborated the domestic and foreign stock market linkage research background and the realistic significance, has carried on the comb and the summary to the domestic and foreign related literature. And the structural framework of the paper and possible innovations are introduced. The second part mainly summarizes the reasons of stock market interaction. The third part is the description of sample data selection, data descriptive statistics, for empirical analysis laid a foundation for empirical analysis. In this paper, the econometric analysis of cointegration, impulse response and variance decomposition is carried out in stages, and it is found that there is no long-term relationship between Shanghai stock market and major stock markets in the world. However, in the short run. Since the second half of 2005, the linkage relationship between domestic and foreign stock markets has been strengthened, and Shanghai stock market has begun to affect other stock markets to varying degrees. In addition, the paper uses BEKK-GARCH model. The volatility spillover effect and conduction direction of Shanghai stock market and international stock market are analyzed dynamically. The conclusion is consistent with the previous analysis. Before June 2005. There is no volatility spillover effect in any direction between Shanghai stock market and other markets; After June 2005, in the stock market rising stage, there even appeared the two-way volatility spillover effect between Shanghai stock market and the US, Germany and Hong Kong stock markets; But since October 2007, Shanghai stock market has produced one-way volatility spillover effect on the international stock market. The last part of the article is the conclusion and inspiration, this part further analyzes the reasons of the empirical results. According to the conclusion, the beneficial enlightenment of perfecting the domestic capital market is obtained.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F831.51

【参考文献】