金融危机背景下中美欧股票市场联动性研究

发布时间：2018-03-22 17:50

  本文选题：金融危机　切入点：股票市场　出处：《上海社会科学院》2012年博士论文　论文类型：学位论文

【摘要】：随着世界经济一体化趋势越来越强，国际上主要股票市场经常呈现齐涨共跌的趋势，对股票市场的联动的研究不仅对投资者具有重要的意义，对政府当局避免由于外部股票市场联动给本国带来的股票市场的波动和金融市场的稳定性同样具有重要的政策意义，以往对股票市场的联动主要集中在发达国家股票市场的联动上，随着新兴国家的兴起以及新兴国家在世界经济中越来越重要的经济地位，对新兴国家股票市场联动的研究近年来越来越受到关注。 本文首先对境内外股票市场联动效应做了系统全面的论述，然后通过对相关文献的研究，结合理论背景和亚洲金融危机以及美国金融危机和欧债危机的现实情况，提出了本文的研究假设。接着主要是运用多种方法对中国股票市场与香港、日本、美国和欧洲股票市场之间的联动性进行实证研究，从四个不同的角度考察联动效应的变化，即分别使用门限协整考察非线性相关性，，格兰杰因果检验考察变动因果性，DCC-GARCH模型考察收益率波动率的溢出效应，Copula模型考察尾部相关性，以期对中美股票市场之间的联动有个全面和不同层次联动的了解。最后借鉴现有的研究成果，对金融危机背景下由于中外股票市场联动的产生所导致的对我国金融市场稳定的影响进行了研究。具体如下： 第一、本文使用最近几年发展起来的门限协整计量方法对中国股票市场（沪深300）与香港（恒生指数）、日本（日经指数）、欧洲（彭博欧洲500）和美国股票（标准普尔500）市场的收益率的联动性进行了实证分析，结果发现：在亚洲金融危机期间，我国大陆股票市场与境外股票市场之间不存在联动效应，但是在美国金融危机和欧债危机却出现了显著的联动效应。 第二、中国股票市场（沪深300）与香港（恒生指数）、日本（日经指数）、欧洲（彭博欧洲500）和美国股票（标准普尔500）市场波动率联动的实证研究，本文使用双变量DCC-GARCH模型对股价收益率的波动率的联动性进行了实证研究。结果发现：与亚洲金融危机期间相比，我国大陆股票市场与境外股票市场之间的联动系数呈现了明显的上升趋势。 第三、利用Copula模型对中国股票市场（沪深300）与香港（恒生指数）、日本（日经指数）、欧洲（彭博欧洲500）和美国股票（标准普尔500）的尾部相关性进行实证研究。结果发现，与亚洲金融危机期间相比，峰值相关系数呈现了明显增大现象。 最后本文借鉴前人的研究成果，利用金融稳定性指数对美国金融危机和欧债危机对我国金融稳定性的影响进行了实证分析，结果发现，虽然我国大陆股票市场与境外股票市场在金融危机期间出现了联动，但是联动效应并没有大到对我国的金融稳定性产生影响，从金融稳定性指数时间序列可以看出，该序列为平稳时间序列，从脉冲响应可以看出，我国的股票市场具有较强的恢复平稳状态能力，表现出了较强的抗风险能力。最后结合本文的理论分析和实证研究，本文提出了政策建议。 本文创新之处主要有以下几点： 第一、在理论方面，把经济危机的历史变迁和金融危机传导理论相结合，在一定程度上弥补了现在国内相关研究的不足。并在文献综述和对中国大陆、香港、日本、美国和欧盟经济关系深入了解的基础上提出了本文的研究假设。 第二、本文对股票市场联动的实证提出了一个实证框架来验证本文的假设，即从三个层面分别对收益率、波动率和极值相关进行分析以求对股指之间的联动关系有多层次和深入的了解，避免目前只对收益率或者波动率关系进行研究或者只是对峰值相关进行研究来判断股票市场联动情况的研究缺陷。 第三、通过使用copula函数，可以比较清楚的对比分析各个时间段相关系数的变化，从而考察经济危机的短期冲击效应。 第四、以往的研究大多是针对中国大陆和单个境外股票市场的研究，本文采用中国A股市场（沪深300）与香港（恒生指数）、日本（日经指数）、欧洲（彭博欧洲500）和美国股票（标准普尔500）市场五个指数对我国大陆、香港、日本、美国和欧洲之间的关系进行了研究。 第五、本文不仅仅是对联动现象进行了研究，还利用DCC-GARCH模型的估计结果对美国金融危机和欧债危机对我国金融稳定性的影响进行了分析。
[Abstract]:With the trend of economic integration in the world is more and more strong, the main stock market often appear together with rose fell trend of linkage on the stock market not only has important significance for investors, the government authorities to avoid the stability of external stock market linkage to domestic brings the fluctuation of the stock market and the financial market also has policy significance the previous linkage linkage on the stock market is mainly concentrated in the developed stock market, with the rise of emerging countries and emerging countries in the world economy more and more important in the economic status, research on the linkage of stock market in emerging countries more and more attention in recent years.
Firstly, the domestic and foreign stock market linkage effects do a systematic and comprehensive analysis, and then through the study of literature, theoretical background and reality of the Asian financial crisis and the financial crisis in the United States and the European debt crisis, puts forward the research hypothesis. Then mainly by using a variety of methods of China stock market and Hongkong, Japan and makes an empirical study on the linkage between the United States and the European stock market, to study the change of the linkage effect from four different angles, which are used to study nonlinear threshold cointegration relationship, Grainger causality test to explore changes of causality, DCC-GARCH model to study the spillover effect of the volatility of return rate, Copula model to study the tail correlation, in order a comprehensive understanding of the different levels of linkage and linkage between Chinese and American stock market. Finally, based on the existing research achievement, on the background of financial crisis The impact of the linkage of Chinese and foreign stock markets on the stability of China's financial market has been studied.
First, this paper use the recently developed threshold cointegration measurement of Chinese stock market (Shanghai and Shenzhen 300) and Hongkong (HSI), Japan (Nikkei), Europe (Peng Bo, European and American stock (500) P 500) linkage yield market through empirical analysis, the results found during the Asian financial crisis, there is no interaction effect between China mainland stock market and overseas stock markets, but the financial crisis in the United States and the European debt crisis has appeared significant linkage effects.
Second, China stock market (Shanghai and Shenzhen 300) and Hongkong (HSI), Japan (Nikkei), Europe (Bloomberg Europe 500) and American stock (S & P 500) An Empirical Study on market volatility linkage, the linkage of the bivariate DCC-GARCH model of stock return volatility empirically the research results showed that: Compared with. During the Asian financial crisis, the linkage coefficient between China's stock market of mainland and overseas stock market showed a significant upward trend.
Third, the China stock market using Copula model (Shanghai 300) and Hongkong (HSI), Japan (Nikkei), Europe (Peng Bo, European and American stock (500) P 500) makes an empirical research on the tail correlation. The results showed that compared with during the Asian financial crisis, the peak correlation coefficient is obvious to increase the phenomenon.
At the end of this paper, drawing on previous research results, the influence of the financial crisis in the United States and the European debt crisis on China's financial stability through the empirical analysis, using the financial stability index results showed that although the Chinese mainland stock market and overseas stock market linkage during the financial crisis, but the linkage effects are not big enough to financial stability to me the impact from the time series of financial stability index can be seen, the sequence is stationary time series, from the impulse response can be seen, China's stock market has a strong recovery steady state capacity, showed a strong ability to resist risks. Finally, combining the theoretical and empirical research, this paper puts forward policy suggestions.
The main innovations of this paper are as follows:
First, in theory, the economic crisis of the historical changes and the financial crisis conduction theory, to a certain extent, compensate for the lack of domestic research. And now the literature review and the China mainland, Hongkong, Japan, in-depth understanding of the economic relationship between the United States and the European Union put forward the hypothesis of this research.
Second, this paper on the stock market linkage presents an empirical framework to validate the hypothesis, namely from three aspects respectively on the rate of return, volatility and extreme value analysis to multi-level and in-depth understanding of the relationship between the stock index linkage, to avoid the current only to return or volatility relationship study on peak related research or just to judge the defects of linkage in the stock market.
Third, by using the copula function, we can compare and analyze the changes in the correlation coefficient of each time relatively clearly, so as to investigate the short-term impact effect of the economic crisis.
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