金融危机前后亚太地区主要股指间的联动效应分析

发布时间：2018-04-22 00:11

本文选题：金融危机 + 联动效应　；参考：《浙江工商大学》2012年硕士论文

【摘要】：2007年美国爆发了次贷危机,进而引起了金融市场的剧烈动荡,并迅速波及到亚太地区的金融市场,亚太各国股市受到剧烈震荡,均出现了大幅的下滑。本文从2005年7月22日至2011年3月18日亚太地区最具代表性的21个股指的日交易数据入手,采用具有准确拓扑序列的亚超度量空间方法和最小生成树算法,以2008年9月15日为金融危机前后分界点对亚太地区主要股票市场之间的联动程度加以研究,继而运用VAR模型、Granger因果检验和脉冲响应函数对我国沪深300指数和亚太地区中心节点指数之间的联动性进行检验和实证分析。研究结果表明,自从金融危机大规模爆发后,亚太地区主要股指间的地理区域聚集效应变得更加明显,各股指间的相关程度得到显著提高；亚太地区股指整体上的动态稳定性是相对稳定的；金融危机进一步增强了香港作为亚太地区金融中心的地位。我国沪深300指数与香港恒生指数之间存在着长期的协整关系,金融危机发生以后,香港恒生指数对我国沪深300有较强的引导作用。为了避免亚太各国股指过度剧烈波动,应该在整个亚太地区协调金融监管措施,保持各国股票市场的多元化投资。
[Abstract]:In 2007, the subprime mortgage crisis broke out in the United States, which caused severe turbulence in the financial markets, and quickly affected the financial markets in the Asia-Pacific region. From July 22, 2005 to March 18, 2011, this paper starts with the daily trading data of the most representative 21 stock indexes in the Asia-Pacific region, and adopts the subhypermetric space method with accurate topological sequences and the minimum spanning tree algorithm. Taking September 15, 2008 as the demarcation point before and after the financial crisis, to study the degree of linkage between major stock markets in the Asia-Pacific region, Then using VAR model Granger causality test and impulse response function to test and analyze the linkage between CSI 300 index and Asia Pacific center node index. The results show that since the outbreak of the financial crisis, the geographical clustering effect among the major indexes in the Asia-Pacific region has become more obvious, and the correlation between the indexes has been improved significantly. The overall dynamic stability of the Asia-Pacific stock index is relatively stable, and the financial crisis has further strengthened Hong Kong's position as a financial center in the Asia-Pacific region. There is a long-term cointegration relationship between Shanghai and Shenzhen 300 index and Hong Kong Hang Seng Index. After the financial crisis, Hong Kong Hang Seng Index has a strong guiding role to China's Shanghai and Shenzhen 300. In order to avoid excessive volatility of stock indexes in Asia-Pacific countries, financial supervision measures should be coordinated throughout the Asia-Pacific region to maintain diversified investment in the stock markets of various countries.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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