基于提升小波的中美港股票市场波动溢出多分辨率研究

发布时间：2018-03-25 20:38

本文选题：提升小波　切入点：溢出效应　出处：《江西财经大学》2012年硕士论文

【摘要】：本文利用提升小波技术、GARCH模型和Granger因果关系检验模型从不同角度、不同层次分析了中美港股票市场间的波动溢出效应。首先,利用GARCH模型对中美港各股票市场指数收益率进行处理,提取各自GARCH模型均值方程的残差序列,利用Granger因果关系检验分析残差序列之间的相互影响。其次,利用提升小波多分辨率技术分别对三个市场的残差序列进行二级分解,分别得到一级低频序列L1和一级高频序列D1,二级低频序列L2和二级高频序列D2,高频D1序列往往反映股票市场的投机动作,高频D2序列反映长期投资操作,低频L2序列往往反映股票指数长期走势。利用Granger因果关系检验分析对各个股票市场D1序列之间的相互影响和D2序列之间的相互影响,分析高频数据之间的波动溢出效应。再次,为了分析中美港股票市场间的股票走势长期趋势之间的相互影响,分析了中美港三个股票市场股指低频序列L2之间的Granger因果关系,检验低频序列是否存在相互之间的影响。最后,为了研究中美港股票市场间波动溢出随时间的变化趋势,分别分析2008年金融危机前后波动序列的相互影响,分析中美港股票市场间金融危机前后相互影响的发展趋势。本文实证分析采用的数据为中美港股票市场的上证综指、香港恒生指数和道琼斯指数2005年9月7日到2011年8月31日日收盘数据,剔除由于节假日不对等的数据,并对原始数据进行归一化处理最终得到1370个有效数据。以2008年9月1日金融危机爆发前后为分界点,把原始数据分成两个时间段。详细分析了中美港三个市场间波动溢出机制,从多尺度、长期趋势、时问轴方面进行仔细阐述,为深入研究中美港三个市场问的相互影响具有重要的参考价值。
[Abstract]:In this paper, GARCH model and Granger causality test model are used to analyze the volatility spillover effect between Chinese and American stock markets from different angles and different levels. The GARCH model is used to deal with the returns of stock market indices in China and Hong Kong, and the residuals of the mean equation of their GARCH models are extracted, and the Granger causality test is used to analyze the interaction between the residual sequences. Secondly, The residual sequence of three markets is decomposed by lifting wavelet multi-resolution technique. The first low frequency sequence L1 and the first high frequency sequence D1, the second low frequency sequence L2 and the second high frequency sequence D2 are obtained respectively. The high frequency D1 sequence often reflects the speculative action of the stock market, and the high frequency D2 sequence reflects the long-term investment operation. Low frequency L2 series often reflect the long term trend of stock index. The Granger causality test is used to analyze the interaction between D1 sequence and D2 sequence in each stock market, and the volatility spillover effect between high frequency data is analyzed. Thirdly, in order to analyze the mutual influence of the long-term trend of stock market between China and Hong Kong, this paper analyzes the Granger causality between the low frequency series L2 of the stock index in the three stock markets of China and the United States and Hong Kong. Finally, in order to study the trend of volatility spillover between Chinese and Hong Kong stock markets with time, we analyze the interaction of volatility series before and after the 2008 financial crisis. This paper analyzes the development trend of the interaction between China and Hong Kong stock markets before and after the financial crisis. The data used in this empirical analysis are the Shanghai Composite Index of the Hong Kong stock market, the Hong Kong Hang Seng Index and the Dow Jones Index closing data from September 7, 2005 to August 31, 2011, excluding the unequal data due to holidays. Finally, 1370 valid data are obtained by normalizing the original data. Taking the financial crisis on September 1, 2008 as the dividing point, the original data is divided into two time periods. The volatility spillover mechanism between the three markets of China, the United States and Hong Kong is analyzed in detail. From the aspects of multi-scale, long-term trend and time-axis, it has important reference value to study the interaction of the three markets in China, America and Hong Kong.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51;F837.12

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