基于指令流信息传递的我国外汇市场与股票市场联动关系研究

发布时间：2018-02-11 19:14

本文关键词： 市场微观结构理论指令流非参数方法市场联动关系　出处：《哈尔滨工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着金融一体化进程加深，必然会使全球的金融市场产生密切联系，单独研究某个市场已不足以全面客观地研究整个市场结构的内在本质。而在以往的研究中，对于金融市场之间联动关系问题的研究一般都是从宏观角度着手，考虑宏观基本面因素对汇率及股票价格的影响。但忽视市场微观因素和交易过程的影响必然会使研究结论与现实世界的情况产生偏差。本文则从指令流信息传递的视角，结合外汇市场微观结构理论研究跨市场的信息传递产生的汇市与股市动态的联动关系。把市场结构和交易机制等微观因素作为考虑因素不仅更加有效的对市场联动关系做出评价，同时，也可以从微观层面探寻市场间深层次的联动机理，此外，还能把很多宏观信息捕捉不到的信息考虑在内。这种全新视角的研究对揭示金融市场间的真实联系有重要的理论与现实意义。本文首先全面介绍现有的外汇市场与股票市场的联动关系的相关理论基础，其次，借鉴Francis（2006）的模型，结合我国外汇市场、股票市场的结构提出假设，并进行了我国两市场间联动关系的模型构建。第三，对本文所构建的模型进行了实证检验。在检验过程中分别采用参数与非参数方法。一是通过对2008年2月-2009年3月的外汇市场和股票市场的统计数据利用参数方法进行实证检验，得出指令流的基本特性和其在外汇市场和股票市场联动性中发挥的作用。二是利用非参数进行更深层次的研究。实证结果分析得出指令流在外汇市场和股票市场传递过程中确实有一定解释能力，但是外汇指令流比股票指令流的解释能力强，，并且在两个市场传递过程中出现了非对称性；在对变量序列突变时点识别方面可以看出，突变时点的发生往往伴随着重要的政策信息从而导致指令流的突变进而带动外汇市场和股票市场的变动。本文的研究结论有助于从微观角度对外汇市场和股票市场投资操作提供理论依据，同时也可以在宏观上对政策制定提供参考。
[Abstract]:As the process of financial integration deepens, it is inevitable that the global financial markets will be closely linked. It is no longer sufficient to study a single market in a comprehensive and objective way to study the intrinsic nature of the entire market structure. The research on the linkage between financial markets is generally carried out from a macro perspective. Considering the influence of macro fundamental factors on exchange rate and stock price, but ignoring the influence of market micro factors and trading process will inevitably cause the research conclusion to deviate from the real world situation. In this paper, from the perspective of instruction flow information transmission, Based on the microstructural theory of foreign exchange market, this paper studies the linkage relationship between foreign exchange market and stock market dynamics caused by information transmission across markets. Taking market structure and trading mechanism as the consideration factors is not only more effective to market linkage. The dynamic relationship is evaluated, At the same time, we can also explore the mechanism of deep interaction between markets at the micro level. This new perspective is of great theoretical and practical significance in revealing the true relationship between financial markets. This paper first introduces the theoretical basis of the linkage relationship between the foreign exchange market and the stock market, and secondly, draws lessons from Francisco 2006) model, and puts forward the hypothesis of the structure of the stock market in combination with the foreign exchange market of our country. The model of the linkage relationship between the two markets in China is constructed. Third, This paper makes an empirical test on the model constructed in this paper. In the process of the test, the parametric and non-parametric methods are adopted respectively. The first is the empirical test on the use of the statistical data of the foreign exchange market and the stock market from February 2008 to March 2009. The basic characteristics of instruction flow and its role in the linkage between foreign exchange market and stock market are obtained. It is true that there is a certain amount of explanatory power in the process of transmission. However, the foreign exchange instruction flow is more powerful than the stock instruction stream, and there is asymmetry in the transmission process of the two markets. The occurrence of sudden change is often accompanied by important policy information, which leads to the sudden change of instruction flow, which leads to the change of foreign exchange market and stock market. The conclusion of this paper is helpful to the microcosmic analysis of foreign exchange market and stock market. The field investment operation provides the theoretical basis, At the same time, it can also provide a reference for policy making on the macro level.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.9

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