资本账户开放进程中股票市场收益率溢出效应研究

发布时间：2018-03-13 10:01

本文选题：收益率溢出效应　切入点：中国股市　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：在全球经济一体化的大背景下，一些新兴国家诸如阿根廷和泰国等国家在其国内金融体制不完善，资本市场运作尚未成熟的情况下过早地开放了资本账户，导致外部资本冲击脆弱的国内资本市场，引发本国货币大幅贬值，引发金融动荡，最终导致资本账户开放难以为继。中国吸取了这些教训和发达国家资本账户开放成功的经验，循序渐进地进行资本市场自由化的改革，中国资本市场的开放进程对于我国市场经济体制特别是资本市场的发展与完善有着非常重要的意义。为了考察资本账户自由化对中国股市的影响，提升我国股票市场的效率，以避免与国际市场间的收益率溢出所导致的投资风险，推动我国股票市场制度的完善和稳健发展，非常有必要研究在不同资本账户开放时期我国股市与世界股市间的收益率溢出效应。本文选取1992年3月1日到2012年3月1日期间中国上证指数，美国道琼斯工业指数、英国富时指数、日经指数、泰国SET指数、台湾加权指数作为研究对象。在测度中国资本市场开放程度的基础上，将样本分为三个阶段，利用Johansen协整检验、Granger因果检验、脉冲响应函数、方差分解等模型来研究中国与其他五大市场之间的收益率溢出效应。通过实证分析得到以下结论：（1）在第一阶段，中国资本账户处于管制阶段，，中国股市与其他五大市场间基本无收益率溢出效应，中国股市独立于其他五大市场。（2）在第二阶段，虽然中国对资本账户进行了大刀阔斧的改革，这个阶段中国股市开始受外部市场的收益率溢出，但是由于在资本流量和存量上没有一定的积累，其影响比较小并且中国股市对外部市场不存在收益率溢出。（3）在第三阶段，随着资本的流动障碍逐渐减小，中国对外部市场尤其是亚太市场产生了较为明显的收益率溢出。通过以上的实证分析，本文提出了在保证国内金融稳定的前提下稳步开放资本账户的政策建议。
[Abstract]:In the context of global economic integration, some emerging countries, such as Argentina and Thailand, have opened their capital accounts prematurely in the absence of sound domestic financial systems and the functioning of capital markets, This has led to external capital shocks to fragile domestic capital markets, a sharp devaluation of the domestic currency, financial turmoil and, ultimately, the unsustainability of capital account opening. China has learned these lessons and the experience of successful capital account opening in developed countries. Progressive reform of capital market liberalization, The opening process of China's capital market is of great significance to the development and perfection of China's market economic system, especially the capital market. In order to investigate the impact of capital account liberalization on China's stock market, and to enhance the efficiency of China's stock market, In order to avoid the investment risk caused by the rate of return spillover with the international market, and promote the perfection and steady development of the stock market system of our country, It is necessary to study the yield spillover effect between Chinese stock market and world stock market in different capital account opening period. This paper selects the Shanghai Stock Index of China, the Dow Jones Industrial Index of the United States, the FTSE Index, the Nikkei Index and the SET Index of Thailand from March 1st 1992 to March 1st 2012. Based on the measurement of the openness of China's capital market, the samples are divided into three stages. The Johansen cointegration test is used to test Granger causality and impulse response function. The variance decomposition model is used to study the yield spillover effect between China and the other five major markets. By empirical analysis, the following conclusions are drawn: 1) in the first stage, China's capital account is in the regulatory stage. China's stock market has basically no yield spillover effect from the other five markets, and the Chinese stock market is independent of the other five markets.) in the second stage, although China has made drastic reforms to its capital account, At this stage, the Chinese stock market is beginning to be overrun by the return rate of the external market, but since there is no accumulation of capital flows and stocks, the impact is relatively small and there is no yield spillover in the Chinese stock market to the external market.) in the third stage, As the barriers to capital flow have gradually decreased, China has produced more significant yield spillovers to external markets, especially in the Asia-Pacific region. Based on the above empirical analysis, this paper puts forward some policy suggestions on the steady opening of the capital account under the premise of ensuring the domestic financial stability.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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