中、港、美证券市场间的交叉相关研究

发布时间：2019-06-04 17:36

【摘要】：在金融实证研究中，股票收益率自相关的问题一直广受关注，，Cutler et al（.1990）强调了“反馈交易”行为与股票市场自相关性的关系，开创了股票收益率自相关问题研究的新视角。随着2007年美国次贷危机的发生，全球的经济都受到了或大或小的冲击。因此，从“反馈交易”行为的角度探讨金融危机对中国股市的影响以及对投资者行为特征的影响具有重要的理论和现实意义。本文以中、港、美三个地区代表性股票指数收益率为研究对象，通过理论与实证分析相结合的方式，基于正反馈交易行为，对各个地区股票指数收益率的自相关性、不同地区之间股票指数收益率的交叉相关性进行了研究。通过GARCH-M模型，得到单个市场股票收益率的条件方差、当期股票收益率与滞后一期股票收益率之间的条件自相关系数，以及两个市场之间的股票收益率条件交叉相关系数以及相应的条件方差，探究各个地区股市的波动溢出效应、收益溢出效应特征和正反馈交易行为。为了探究2007年美国次贷危机对我国股市交易者行为的影响，特别地，本文把中、港、美三个市场指数数据分为2007年金融危机前及危机后两个阶段，分别对其相关性和正反馈交易行为进行了研究。主要结论如下：（1）中国股市的波动性比美国、香港地区股市的波动性要大。三个市场指数存在显著的ARCH效应，因此可通过ARCH族模型来刻画收益率波动的时变性和聚类性。（2）双变量GARCH-M模型较好地模拟了中国、美国、香港地区股市自相关性、交叉相关性的特征。相对而言，美国股市与香港股市的联动性较强，中国内地市场与香港股市之间也具有一定的相关性，中国股市在一定程度上受美国股市的影响。（3）波动性与自相关系数之间不仅有“微笑曲线”的特征，也具有不对称性特征。2007年金融危机对中国、美国、香港市场的反馈交易效应产生了一定的影响。
[Abstract]:In the empirical research of finance, the autocorrelation of stock return has been paid more and more attention to, Cutler et al (. 1990), which emphasizes the relationship between "feedback trading" behavior and the autocorrelation of stock market. It creates a new perspective on the autocorrelation of stock return. With the occurrence of the subprime mortgage crisis in the United States in 2007, the global economy has been hit either big or small. Therefore, it is of great theoretical and practical significance to explore the influence of the financial crisis on the Chinese stock market and the characteristics of investors' behavior from the perspective of "feedback trading" behavior. This paper takes the three regional representative stock index returns of China, Hong Kong and the United States as the research object, through the combination of theoretical and empirical analysis, based on the positive feedback trading behavior, the autocorrelation of the stock index returns in each region. The cross-correlation of stock index return among different regions is studied. Through the GARCH-M model, the conditional variance of the stock return in a single market is obtained, and the conditional autocorrelation coefficient between the current stock return and the lag first stock return is obtained. As well as the conditional cross-correlation coefficient and the corresponding conditional variance between the two markets, this paper explores the volatility spillover effect, return spillover effect characteristics and positive feedback trading behavior of the stock market in each region. In order to explore the influence of the 2007 subprime mortgage crisis on the behavior of Chinese stock market traders, especially, this paper divides the three market index data of China, Hong Kong and the United States into two stages before and after the 2007 financial crisis. The correlation and positive feedback trading behavior are studied respectively. The main conclusions are as follows: (1) the volatility of the Chinese stock market is greater than that of the United States and Hong Kong. There is a significant ARCH effect in the three market indices, so the time-varying and clustering of yield fluctuations can be characterized by arch family model. (2) the bivariate GARCH-M model simulates the autocorrelation and cross-correlation of stock markets in China, the United States and Hong Kong. Relatively speaking, the interaction between the US stock market and the Hong Kong stock market is strong, and there is also a certain correlation between the mainland Chinese market and the Hong Kong stock market. The Chinese stock market is affected by the US stock market to a certain extent. (3) the relationship between volatility and autocorrelation coefficient not only has the characteristics of "smile curve", but also has the characteristics of asymmetry. The 2007 financial crisis has had a certain impact on the feedback trading effect in China, the United States and Hong Kong.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F837.12

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