美国和金砖四国股市联动性研究

发布时间：2018-04-11 15:45

本文选题：金砖四国 + 股市联动性　；参考：《东华大学》2012年硕士论文

【摘要】：随着世界经济一体化的推进,国与国之间相互影响的广度、深度和影响时间都相比以前有了明显的提高。这种相互影响既有正面积极的效果,例如互利互惠、协调发展和资源优化配置等,同时也存在着诸多负面效应。自美国次贷危机以来,除了美国本土企业受到巨大损失、不少企业破产以外,其他国家受到的冲击也不容小觑。美国股市受到经济不景气的拖累,出现了严重下滑,金砖四国的股市也出现了不同程度的下跌。本文首先对于股市联动性的文献综述进行了梳理和总结。按研究对象可以分为：发达国家间股市联动性、发达国家和发展中国家间股市联动性、发展中国家间股市联动性。按研究方法可以分为：协整模型和VAR模型、ARCH族模型和其他方法。研究股市联动性的理论可以分为：经济基础说、行为金融学和其他理论。并对文献综述进行了评述,归纳总结了文献综述的特点,评价文献综述的不足之处和发展方向。其次,本文对股市联动性的传导渠道进行分析。以股市上涨为例,资本传导渠道基本原理为：一国资本流入另一国,最终引起另一国的货币供应量增加,使得股市引起变动。国际贸易渠道基本原理为：国际贸易影响总需求、价格和产量的变动,然后影响宏观经济,从而引起股市价格波动。在研究股市传导途径和文献综述的基础上,本文介绍了股市联动性研究的方法,包括VAR模型、协整分析、方差分析和脉冲响应函数等方法。然后对股市联动性进行实证研究,通过实证分析发现,美国标普500指数和巴西Bovespa指数的联动性最强,其次是俄罗斯RTSI指数,而美国标普500指数同印度BSE30指数和中国沪深300指数的联动性最弱。最后,本文对金砖四国缓解美国股市不利冲击提出了政策建议。在监管热钱流动方面,可以严格控制非法资金的流入、构建更为有效的监控机制国际热钱流动、促进国际合作、加强对外资流入股票市场的管理、在必要的时候开征托宾税。在改革国际货币体系方面,一要促进国际货币基金组织的决策机制更加透明化,避免暗箱操作；二要进行多方协调,增强金砖四国在国际货币体系改革中的话语权。在规范股市信息披露方面,可以建立和完善证券市场监督的组织体系、建立健全有关法律法规体系、制定证券市场信息监管制度、完善证券发行、上市审核制度。
[Abstract]:With the development of world economic integration, the breadth, depth and influence time of the interaction between countries have been obviously improved.This kind of interaction has both positive and positive effects, such as mutual benefit, coordinated development and optimal allocation of resources, as well as many negative effects.Since the subprime mortgage crisis in the United States, in addition to the huge losses suffered by domestic companies, many companies have gone bankrupt, other countries are also not to be underestimated.U.S. stocks, dragged down by the recession, have fallen sharply, and BRIC stocks have fallen to varying degrees.Firstly, this paper summarizes the literature review of stock market linkage.According to the research object, it can be divided into three parts: stock market linkage among developed countries, stock market linkage between developed and developing countries, and stock market linkage between developing countries.According to the research methods, it can be divided into: cointegration model and VAR model, arch family model and other methods.The theory of stock market linkage can be divided into economic base theory, behavioral finance and other theories.This paper also reviews the literature review, summarizes the characteristics of the literature review, and evaluates the shortcomings and development direction of the literature review.Secondly, this paper analyzes the transmission channel of stock market linkage.Taking the stock market rise as an example, the basic principle of the capital transmission channel is that capital flows into another country, which eventually leads to the increase of money supply in another country, which causes the stock market to change.The basic principle of international trade channel is that international trade affects the change of aggregate demand, price and output, and then affects the macro economy, thus causing the fluctuation of stock market price.Based on the study of stock market conduction and literature review, this paper introduces the methods of stock market linkage research, including VAR model, cointegration analysis, variance analysis and impulse response function.Through empirical analysis, it is found that the S & P 500 index and the Brazilian Bovespa index are the strongest, followed by the Russian RTSI index.The S & P 500 index has the weakest interaction with India's BSE30 index and China's CSI 300 index.Finally, the paper puts forward some policy suggestions for the BRICs to mitigate the adverse impact of American stock market.In regulating the flow of hot money, we can strictly control the inflow of illegal funds, construct a more effective monitoring mechanism for international hot money flows, promote international cooperation, strengthen the management of the inflow of foreign capital into the stock market, and levy a Tobin tax when necessary.In the reform of the international monetary system, first, the decision-making mechanism of the International Monetary Fund should be made more transparent so as to avoid dark manipulation; second, the BRICs' voice in the reform of the international monetary system should be strengthened through multi-party coordination.In regulating the disclosure of information in the stock market, we can establish and perfect the organizational system of securities market supervision, establish and perfect the relevant laws and regulations system, formulate the information supervision system of the securities market, and perfect the securities issuance and listing examination system.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.51;F224

【参考文献】