基于ICA-GJR-GARCH-M模型的多个对单个证券市场波动溢出研究

发布时间：2018-03-20 10:16

本文选题：证券市场　切入点：波动溢出　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着世界经济一体化和金融全球化进程的加快,各国在经济和金融领域的往来越来越密切,中国证券市场与世界各地证券市场的联系也日益紧密,这在很大程度上促进了中国证券市场的发展与完善。与此同时,风险在各证券市场之间不断动态演化,且呈现出影响范围不断扩大的新特征。在这种背景下,中国证券市场时常受到世界各地证券市场波动的冲击,国际证券市场对中国证券市场的波动溢出愈来愈显著。本文将通过建立ICA-GJR-GARCH-M模型来研究多个证券市场对单个证券市场的波动溢出。首先,就多个证券市场对单个证券市场波动溢出进行定义,并从溢出的原因和途径方面探讨多个证券市场对单个证券市场波动溢出的机理。然后,结合多元统计分析中的独立成分分析和时域分析方法中的GJR-GARCH-M模型,构建多个证券市场对单个证券市场波动溢出的ICA-GJR-GARCH-M模型。接着,在度量各证券市场收益率波动的基础上,利用所构建的ICA-GJR-GARCH-M模型实证研究中国香港、日本、美国、韩国和英国证券市场对中国大陆证券市场的波动溢出。最后,根据实证结果提出相应的政策建议。研究结果表明,中国香港、日本、美国和韩国证券市场对中国大陆证券市场均存在较大程度的波动溢出,而英国证券市场对中国大陆证券市场的波动溢出非常小。因此,中国大陆证券市场在融入国际证券市场的过程中,不仅应注意证券市场本身存在的风险,还应该对风险传染保持高度警惕,特别是对来自中国香港、美国、日本和韩国等与中国经济往来密切的国家或地区证券市场的风险传染,做好风险防范措施。
[Abstract]:With the acceleration of the process of world economic integration and financial globalization, the contacts between various countries in the economic and financial fields have become closer and closer, and the links between China's securities market and the securities markets around the world have become increasingly close. This has greatly promoted the development and perfection of China's securities market. At the same time, risks have evolved dynamically among the various securities markets, and have shown new characteristics of continuous expansion of the scope of influence. China's securities market is often affected by the volatility of securities markets all over the world, and the volatility spillover of international securities markets to China's securities markets is becoming more and more significant. In this paper, ICA-GJR-GARCH-M model is established to study the volatility spillover of multiple securities markets on a single securities market. Firstly, the volatility spillover of multiple securities markets is defined. The mechanism of volatility spillover from multiple securities markets to a single securities market is discussed from the causes and ways of spillover. Then, the independent component analysis in multivariate statistical analysis and the GJR-GARCH-M model in time domain analysis are combined. The ICA-GJR-GARCH-M model of volatility spillover from multiple stock markets to a single securities market is constructed. Then, based on the measurement of the volatility of return in each stock market, the empirical study is made on Hong Kong, Japan, the United States, China, China, Hong Kong, Japan, and the United States by using the ICA-GJR-GARCH-M model constructed. The volatility spillover of Korean and British stock markets to mainland China. Finally, according to the empirical results, the corresponding policy recommendations are put forward. The results show that the securities markets of Hong Kong, Japan, the United States and South Korea all have volatility spillovers to the mainland of China to a large extent, while the volatility spillovers of the British securities markets to the securities markets in mainland China are very small. In the process of integrating into the international securities market, the securities market in mainland China should not only pay attention to the risks existing in the securities market itself, but also remain highly vigilant against risk contagion, especially for those from Hong Kong, China, the United States. Japan and South Korea and other countries with close economic ties with China or regional securities markets risk contagion, do a good job of risk prevention measures.
【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】：F224;F832.51

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