中美股市的长记忆性及联动性研究

发布时间：2018-04-09 23:15

本文选题：长记忆性　切入点：修正R/S分析　出处：《华南理工大学》2012年硕士论文

【摘要】：股票市场对于一个国家的经济发展具有很大的影响，因而研究者和管理者十分关注关于股票市场方面的研究。掌握股票市场的基本特征，不仅能为投资者决策及风险防范提供参考，而且能够为判断经济形势和制定经济政策提供较为重要的参照依据。为了更好地研究中国股票市场，结合美国股票市场进行对比分析。本文选取的数据是中国股票市场具有代表性的上证综合指数和深圳成分指数，以及美国股票市场具有代表性的道琼斯工业平均指数和纳斯达克指数。本文针对中美股票市场的收益率序列及其波动率序列是否具有长记忆性特征的问题，运用修正R/S分析方法进行分析。在收益波动率方面，主要运用平方收益和绝对收益，以及已实现波动率和分数低阶矩来度量。结果表明，中美股票市场的收益率序列都不存在长记忆性，而其波动率序列都存在较为明显的长记忆性。然后,建立VAR模型，运用脉冲响应函数和方差分解，进一步研究中国股市收益率及其波动性的相互关系，，实证结果表明中国股市其收益率与波动性之间相互影响。最后，针对各股票指数，建立VAR模型，运用脉冲响应函数和方差分解进行分析，结果表明，上证综合指数的价格波动对深圳成分指数的价格影响较大，道琼斯工业平均指数的价格波动对纳斯达克指数的价格影响较大。因而选取上证综合指数和道琼斯工业平均指数来研究中美股市之间的关系，研究结果表明，美国股市波动对中国股市有一定的影响，但中国股市波动对美国股市的影响较小，中美股市存在一定的联动性。
[Abstract]:Stock market has great influence on the economic development of a country, so researchers and managers pay close attention to the research of stock market.Mastering the basic characteristics of the stock market can not only provide a reference for investors to make decisions and prevent risks, but also provide a more important reference basis for judging the economic situation and formulating economic policies.In order to better study the Chinese stock market, combined with the U. S. stock market to carry out a comparative analysis.The data selected in this paper are the representative Shanghai Composite Index and Shenzhen component Index in Chinese stock market, and the typical Dow Jones Industrial average and Nasdaq Index in American stock market.In this paper, the problem of whether the return series and volatility series of Chinese and American stock markets have long memory characteristics is analyzed by using the modified R / S analysis method.In terms of return volatility, square and absolute returns, realized volatility and fractional low moments are used to measure the volatility.The results show that there is no long memory in the return series of Chinese and American stock markets, while the volatility series has obvious long memory.Then, the VAR model is established, and the relationship between the return and volatility of Chinese stock market is further studied by using impulse response function and variance decomposition. The empirical results show that the return and volatility of Chinese stock market interact with each other.Finally, the VAR model is established for each stock index, and the impulse response function and variance decomposition are used to analyze it. The results show that the price fluctuation of Shanghai Composite Index has a great influence on the price of Shenzhen component Index.The price fluctuation of the Dow Jones Industrial average has a great influence on the price of the NASDAQ.Therefore, the Shanghai Composite Index and the Dow Jones Industrial average are selected to study the relationship between Chinese and American stock markets. The results show that the volatility of the American stock market has a certain impact on the Chinese stock market, but the volatility of the Chinese stock market has little effect on the American stock market.There is a certain linkage between Chinese and American stock markets.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51;F831.51

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