亚太地区股市联动性研究

发布时间：2018-05-13 11:18

本文选题：亚太股票市场 + 联动性　；参考：《西南财经大学》2013年博士论文

【摘要】：当今世界是金融全球化高速发展的时代,金融全球化加强了各国资本市场之间的联系,国际资本流动跨境活跃。随着各国(地区)金融自由化改革步伐的加快,股票市场自由化程度的提高,各国(地区)股市之间的联动性在不断增强,各国(地区)股票市场的价格走势往往会相互影响。2007年由美国次贷危机引发的全球金融危机是继1929年大萧条之后世界所发生的最严重的一次危机,这次金融危机使许多国家(地区)金融系统遭受重创,金融危机导致股票市场规模迅速下滑,GDP增长放缓,经济发展低迷。全球金融危机的发生不仅影响一国(地区)股票市场的收益,而且也会对一国(地区)股票市场的波动产生影响。同时,随着金融全球化趋势的增强,各国股市间的联动程度也在不断加深,金融危机的发生势必会给各国(地区)股票市场间联动性造成影响,影响着股市间在收益和波动上的传播过程,本文的研究正是在这样的背景下确立的。本文主要研究的是亚太22个国家(地区)股票市场的联动性是否由于金融危机的发生而变化?变化程度如何? 本文的研究分为理论和实证两个方面,在理论上,分别从资本流动和贸易流动两个方面对亚太股市联动性产生的路径进行分析,旨在为亚太股市联动性的变化提供理论支撑。在实证方面分别采用Granger因果检验、Johansen协整检验、脉冲响应和方差分解以及VAR(3)-GARCH(1,1)-BEKK模型对亚太股市间的联动性进行分析。全文的主要研究内容如下： (一)Granger因果检验。通过该检验来分析金融危机前后亚太股市间的因果联系(双向、单向)是否发生改变,一国(地区)股市收益的变化是否会受到别国(地区)股市收益的影响。 (二)Johansen协整检验。该方法试图分析金融危机的发生是否使亚太股市间的长期均衡状态发生变化,为了确保协整分析的准确定性,我们分别.采用亚太股指收益率序列不包含确定趋势,协整方程含有截距项；收益率序列含线性确定性趋势,协整方程仅含有截距项；收益率序列含有二次确定性趋势,协整方程有截距和线性确定性趋势这三种模型进行迹检验和最大特征根检验。 (三)脉冲响应和方差分解。随着金融全球化趋势的加深,亚太股市间的联动强度也会不断深化,一国(地区)股市的波动除了受到自身的影响之外,还会更多地受到其他国家(地区)股市波动的影响(取决于股票市场的自由化程度)。通过脉冲响应和方差分解则能够很好的描述这种影响。 (四)溢出效应。文中将溢出效应分为收益均值溢出效应和波动溢出效应进行分析。是前面关于股市联动性的进一步研究。Granger因果检验只能说明股市间是否存在双向因果联系和单向因果联系,但不能说明一国(地区)股市收益对别国(地区)股市收益的影响程度,只是说明一种状况,而不能进行微观解读。收益均值溢出效应则能够从微观角度对各股市间在收益上的影响程度进行深入分析,通过分析,能够更清晰的发现亚太股市间在收益上的溢出程度。通过波动溢出效应则能发现亚太股市彼此间是否存在单向和双向波动溢出效应,以及该效应的影响程度。本文通过上面介绍的计量方法对亚太地区股市间联动性在危机前后的变化情况进行分析,得出的主要结论如下： (一)通过对亚太各国(地区)股市间的相关程度分析后发现,从整体来看,无论是收益间的相关性,还是波动间的相关性,都由于金融危机的发生而提高。 (二)Granger因果检验表明,金融危机的发生使得亚太股市间的影响关系发生明显变化,打破了危机之前各股市之间关系的原有格局,同时,每个国家(地区)对其他国家(地区)的影响范围也发生了很大程度的变化。美国在全球经济、金融中所具有的特殊地位,无论是在危机前,还是在危机后,其股票市场的变化都对其他各国(地区)股票市场有着显著的影响。 (三)方差分解表明,金融危机前后期不同国家(地区)股市波动对其他国家(地区)股市波动的贡献度各有不同,危机后,有的贡献度增加,有的贡献度减少。有两个国家比较例外,一个是中国大陆、另一个是斯里兰卡。中国大陆和斯里兰卡无论是在危机前还是在危机后,股市波动绝大部分来自于自身冲击的影响,受到外部的干扰较少。脉冲响应也从不同程度反映了危机前后各国(地区)股市冲击对其他各国(地区)股市产生的影响,总体来看,危机后,一国(地区)股市对他国(地区)股市所造成的冲击幅度和持续期要强于危机前。 (四)采用VAR(3)-GARCH(1,1)-BEKK模型对亚太各国(地区)股市间的收益均值溢出效应和波动溢出效应进行危机前后的比较研究。研究结果表明,金融危机的发生使亚太股市间联动的格局发生明显的变化。从收益均值溢出效应分析结果来看,危机前后亚太股市间相互影响的国家在数量上发生明显变化,危机前,一国(地区)股市收益受到多个国家(地区)股市收益变动的影响,但危机后,受到影响的国家(地区)数量减少；有的国家(地区)则发生完全相反的情况,危机前受到影响的国家(地区)数量少,但危机后,数量却明显增多。同时,金融危机的发生,使得亚太股市彼此间在收益上的双向溢出效应明显增加,VAR(3)模型详细的说明了危机前后亚太各国(地区)在均值溢出效应方面的影响程度。GARCH (1,1)-BEKK模型则详细的分析了亚太股市间的波动溢出效应情况,分析发现,危机前后,亚太股市间的单向和双向波动溢出效应明显不同。受金融危机的影响,危机后,亚太股市间的波动溢出效应无论是在单向溢出效应还是在双向溢出效应上都明显增加。在本文的分析中,较为特殊的是美国和斯里兰卡。由于美国在全球经济、金融中所具有的特殊地位,无论是在危机前,还是在危机后,其股票市场的变化都对其他各国(地区)股票市场有着显著的影响。同时还发现,斯里兰卡股票市场与各国(地区)股票市场之间存在严重分割性,股票市场的国际化程度极低,股票市场几乎处于完全自我的发展状态。本文在研究角度、研究方法、数据材料和实证结论等方面具有一定的创新性：在研究视角上,本文以全球金融危机的爆发为切入点,站在国际投资者的视角上对亚太22个国家(地区)股市联动性状况进行深入分析,全面、细致地了解危机前后亚太股市彼此间的影响和依赖程度。为投资者根据自己的偏好合理配置资产投资组合,分散风险,最大化收益提供科学依据。在研究方法上,本文采取Granger因果检验、Johansen协整检验、脉冲响应、方差分解和VAR(3)-GARCH(1,1)-BEKK模型相结合的方法对亚太22个国家(地区)股市联动性进行分析,弥补之前学者只使用其中某些计量方法分析的缺陷,使得对问题的分析更加的透彻。在研究数据上,与国内学者研究股票市场国际联动性所使用的股票市场指数相比,本文以摩根斯坦利国际资本公司(MSCI)编制的跟踪各国或地区股票表现的日指数作为分析22个国家(地区)股票市场联动性的初始数据。该指数统一以美元计价,不仅有代表意义、便于比较,而且避免了处理数据的误差。而且该指数所具有的客观性、公正性、实用性、参考性等特点更确定了它的独特优势。在实证结论上,本文统一采用以美元表示的MSCI指数对亚太股市间的联动性进行实证研究,实证研究结果表明,危机前后亚太股市间的影响格局发生了明显的改变。一些国家(地区)股票市场在危机前存在着不同程度的联系,但危机后,原有的联系消失,重新建立新的联系。收益均值溢出效应和波动溢出效应危机前后变化明显。综上所述,本文是在对之前学者研究的基础上,采用新的数据,运用多种国际流行的计量方法,对亚太22个国家(地区)股市间的联动性进行深入的研究,得出一些有意义的结果。对于市场投资者而言,当各国(地区)股市联动性很强时,投资者可以通过一国(地区)股票市场价格指数的走势对其他国家(地区)股票市场的价格指数走势进行判断,从而根据自己的偏好合理配置资产投资组合,分散风险,最大化收益；对于政策制定者和监管层而言,通过股市间的联动性状况分析,加强金融监管,制定有效措施防范金融危机的传染效应进一步扩大,从而保护本国(地区)投资者的利益和维持本国(地区)金融市场的稳定。
[Abstract]:The global financial crisis triggered by the U.S . subprime crisis is the most serious crisis in the world after the Great Depression of 1929 . The global financial crisis triggered by the U.S . subprime crisis is the most serious crisis in the stock market after the Great Depression of 1929 . The global financial crisis has influenced not only the stock market of a country ( region ) , but also the fluctuation of the stock market .

This paper is divided into two aspects : theory and demonstration . In theory , we analyze the path of the joint initiative of the Asia - Pacific stock market from two aspects of capital flow and trade flows , which are aimed at providing theoretical support for the change of the joint initiative of the Asia - Pacific stock market . In the positive aspects , we analyze the joint initiative among the Asia - Pacific stock market by the causality test , Johansen co - integration test , impulse response and variance decomposition , and VAR ( 3 ) - ARCH ( 1,1 ) - BEKK model .

The test is to analyze whether the causal link between the Asia - Pacific stock market before and after the financial crisis ( two - way and one - way ) has changed , whether the change of the return of the stock market in one country ( region ) is affected by the return of the stock market in other countries ( region ) .

( 2 ) Johansen co - integration test . The method attempts to analyze whether the occurrence of the financial crisis has changed the long - term equilibrium state between the Asia - Pacific stock market , and in order to ensure the accuracy of the co - integration analysis , we have adopted the Asia - Pacific stock index yield sequence does not contain the determination trend , and the cointegration equation contains intercept terms ;
The yield sequence contains a linear deterministic trend , and the cointegration equation contains only intercept terms ;
The yield sequence contains quadratic deterministic trend , co - integration equation has intercept and linear deterministic trend .

( 3 ) impulse response and variance decomposition . Along with the deepening of the trend of financial globalization , the linkage strength between the Asia - Pacific stock market will be deepened , and the fluctuation of the stock market in one country ( region ) will be more affected by the fluctuation of the stock market in other countries ( region ) besides its own influence ( depending on the degree of liberalization of the stock market ) . This effect can be well described by impulse response and variance decomposition .

( 4 ) The spillover effect is divided into profit mean overflow effect and fluctuation spillover effect .

Through the measurement method introduced above , this paper analyzes the changes of the inter - market volatility in the Asia - Pacific region before and after the crisis . The main conclusions are as follows :

( 1 ) Through the analysis of the correlation degree between the Asia - Pacific countries ( region ) and the stock market , it is found that , from the whole , whether the correlation among the benefits or the correlation among the volatility is increased due to the occurrence of the financial crisis .

( 2 ) The causality test shows that the impact of the financial crisis has changed obviously , which broke the original pattern of the relationship between the stock markets before the crisis . At the same time , the influence scope of each country to other countries has changed greatly . The special status of the United States in the global economy and finance has a significant impact on the stock market of other countries , both before and after the crisis .

The variance decomposition shows that the volatility of the stock market in different countries ( regions ) before and after the financial crisis has different contribution to the volatility of the stock market in other countries ( region ) .

The results show that the impact of the financial crisis on the relationship between the Asia - Pacific stock market and the Asia - Pacific stock market has changed significantly . The results show that the number of countries affected by the crisis before and after the crisis has changed significantly .
At the same time , there is a marked increase in the number of countries ( regions ) affected by the crisis . At the same time , after the crisis , the number is obviously increased . At the same time , the financial crisis has increased significantly . At the same time , the volatility spillover effect between the Asia - Pacific stock market and the Asia - Pacific stock market is explained in detail after the crisis . The volatility spillover effect between the Asia - Pacific stock market and the Asia - Pacific stock market after the crisis is obviously different from the one - way overflow effect or the bi - directional overflow effect .

In the analysis of this paper , it is more specific that the United States and Sri Lanka have a special status in the global economy and finance , whether before the crisis or after the crisis , their stock market changes have a significant impact on the stock market of other countries . At the same time , it has been found that there is a serious segmentation between the stock market of Sri Lanka and the stock market in other countries . The internationalization degree of the stock market is very low , and the stock market is almost in the state of full self - development .

In this paper , the research angle , the research methods , the data materials and the empirical conclusions are innovative :

From the perspective of international investors , this paper analyzes comprehensively and carefully the volatility of stock market in 22 countries in the Asia - Pacific region from the perspective of international investors .

In this paper , we analyze the volatility of the stock market in 22 countries in the Asia - Pacific region ( region ) by using the method of causality test , Johansen co - integration test , impulse response , variance decomposition and VAR ( 3 ) - ARCH ( 1,1 ) - BEKK model .

On the basis of the research data , compared with the stock market index used by domestic scholars to study the volatility of stock market , this paper uses the date index for tracking the stock performance of countries or regions as the initial data of stock market volatility in 22 countries ( region ) . The index is denominated in United States dollars , which is not only representative , convenient to compare , but also avoids the error of processing data .

The empirical research shows that the influence pattern of the Asia - Pacific stock market is changed obviously before and after the crisis . The empirical research shows that the influence pattern of the Asia - Pacific stock market before and after the crisis has changed obviously . After the crisis , the original connection has disappeared , and the new connection has been established . The return mean overflow effect and the fluctuation spillover effect are obvious before and after the crisis .

In conclusion , on the basis of the previous research , this paper makes an in - depth study on the volatility of the stock market in 22 countries in the Asia - Pacific region based on the new data . In the case of market investors , investors can judge the price index of the stock market in other countries ( region ) through a country ( region ) stock market price index .
In the case of policy makers and regulatory layers , the financial supervision should be strengthened through the analysis of the volatility of the stock market , and the effective measures should be formulated to prevent the contagion effect of the financial crisis from further expanding , thereby protecting the interests of investors in the country ( region ) and maintaining the stability of the financial markets in the country ( region ) .

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F831.51

【参考文献】