次贷危机之后中美股市联动性研究

发布时间：2018-01-15 11:07

本文关键词：次贷危机之后中美股市联动性研究　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着国际金融一体化，主要国际股票市场呈现一起上涨或者一起下跌趋势，尤其在次贷危机以及后来发生的全球性金融危机中，美国的经济政策以及次贷危机中的风险转移，使得整个世界的经济联动性明显增强。股票市场的联动性不仅在美国、日本、德国、英国、等发达国家，而且在中国、新加坡、墨西哥等发展中国家也呈现出来了。本文针对金融危机前后的联动性展开研究，探讨这一波金融危机对世界经济联动性的影响。本文运用多种方法对中国股市与美国股市之间联动性问题进行研究，从不同的角度去分析发现和论证中国股市与美国股市之间联动性，主要结论如下：第一，本文选取2005年至2012年的股市数据，首先检验了中国股票市场和美国股票市场之间收益率联动性。先利用格兰杰因果检验分析并发现，存在美国股市到中国B股市的因果关系，美国股市的冲击力和波动会体现在中国B股市上，但是不存在反方向的这种影响。另外，美国股市与我国的A股市之间不存在格兰杰因果关系。这个结果比较吻合之前其他学者的研究结果。第二，本文利用ARCH和GARCH模型对中美两国股市的收益率联动性进行了实证研究，发现美国股市收益率的变化会影响中国股市收益率的变化，，而反之却不能成立，也即中国股市的影响力无法波及到美国。这给我们的投资者以及政策制定者提供了一些参考。使得我们在增强投资收益的同时能有效规避国际金融市场所转移过来的风险。
[Abstract]:With the international financial integration, the main international stock markets show a trend of rising or falling together, especially in the subprime crisis and the subsequent global financial crisis. The economic policy of the United States and the risk transfer in the subprime mortgage crisis make the economic linkage of the whole world strengthen obviously. The linkage of the stock market is not only in the United States, Japan, Germany, Britain, and other developed countries. In addition, some developing countries, such as China, Singapore and Mexico, are also emerging. This paper studies the linkage before and after the financial crisis, and discusses the impact of the financial crisis on the global economic interaction. This paper uses various methods to study the linkage between Chinese stock market and American stock market, and finds and demonstrates the linkage between Chinese stock market and American stock market from different angles. The main conclusions are as follows: First, this paper selects the stock market data from 2005 to 2012 to test the relationship between the Chinese stock market and the American stock market. Firstly, the Granger causality test is used to analyze and find out. There is a causal relationship between American stock market and Chinese B stock market. The impact and fluctuation of American stock market will be reflected in Chinese B stock market, but there is no such influence in the opposite direction. There is no Granger causality between the U.S. stock market and China's A-share market. Secondly, using ARCH and GARCH models, this paper makes an empirical study on the interaction of Chinese and American stock market returns, and finds that the change of American stock market yield will affect the change of Chinese stock market yield. The opposite does not hold, that is, the impact of the Chinese stock market can not spread to the United States. This provides some reference for our investors and policy makers. We can effectively avoid the risks transferred by the international financial markets while enhancing investment returns.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F837.12;F224

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