中、美、欧股指波动的关联性及股指波动冲击因素的国际比较

发布时间：2018-03-29 09:24

本文选题：关联性　切入点：冲击因素　出处：《天津财经大学》2013年硕士论文

【摘要】：本文运用Granger检验、脉冲分析以及协整检验,研究中、美、欧股指之间短期、长期的关系,研究发现：中、美、欧股指间存在关联性,并且关联性越来越大；全球主要股指受外部冲击后,经市场传导给上证指数,给上证指数一个正方向的冲击,并且持续时间长,影响程度大。反过来,上证指数受到外部冲击后,给全球主要股指产生的影响微弱。中国股市与对发达市场股市的影响力度较小,受外界的影响较多,并且存在大量的非理性投资者,股市上“羊群效应”较为突出；为了进一步具体研究股指波动的冲击因素,建立包含多种冲击因素的面板回归模型,将美元流动性作为各国股市的系统性风险因素引入模型,并且根据各国资本市场开放程度的差异,从全球股市、发达市场股市、新兴市场股市3个角度,对股指波动冲击因素进行横向比较,并得出相应结论：第一,影响股指的主要因素是股指滞后期因素和美元流动性因素,股指滞后变量对新兴市场的影响较发达市场有所增加,从而股指滞后变量对于新兴市场的投资者具有更大的投资参考价值；第二,美元流动性因素对发达市场与新兴市场股指的影响显著,对于新兴市场的影响系数更大；第三,货币供应量因素对于发达市场股指影响不显著,对新兴市场股指的影响显著而且系数较大；第四,整体上看,利率因素与股指负相关,对股指的影响微弱；汇率对股指几乎没有显著的影响；GDP增长率因素对股指的影响是比较小的。
[Abstract]:This paper uses Granger test, pulse analysis and cointegration test to study the short-term and long-term relationship between American, European and Chinese stock indexes. It is found that: there is a correlation between Chinese, American and European stock indexes, and the correlation between them is more and more important; After the major global stock indexes are subjected to external shocks, they pass through the market to the Shanghai Stock Exchange Index and give the Shanghai Stock Exchange Index a positive impact, which lasts for a long time and has a great impact. In turn, after the Shanghai Stock Exchange Index is subjected to an external shock, The influence of Chinese stock market and developed market on stock market is weak, and there are a lot of irrational investors, so the herding effect in stock market is more prominent. In order to further study the impact factors of stock index volatility, a panel regression model with multiple impact factors is established, and the US dollar liquidity is introduced into the model as a systemic risk factor of stock market in various countries. And according to the difference of the opening degree of capital market in different countries, this paper compares the impact factors of stock index fluctuation from three angles of global stock market, developed market stock market and emerging market stock market, and draws the corresponding conclusion: first, The main factors influencing the stock index are the lag factor and the dollar liquidity factor. The influence of the lagging stock index variable on the emerging market is more than that of the developed market. As a result, the lagging stock index has greater reference value for investors in emerging markets; second, the dollar liquidity factor has a significant impact on developed and emerging market stock indexes, and the impact coefficient on emerging markets is greater; third, The influence of money supply factor on developed market stock index is not significant, but on emerging market stock index is significant and coefficient is larger. Fourth, overall, interest rate factor is negatively correlated with stock index, and the influence on stock index is weak. Exchange rate has little effect on stock index.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51;F832.51;F224

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