危机前后资产价格联动及其影响力的对比研究

发布时间：2018-02-28 20:49

本文关键词： 金融危机复杂网络联动性非线性协整关系影响力　出处：《南京信息工程大学》2014年硕士论文　论文类型：学位论文

【摘要】：在金融市场中,资产间的联动性主要是指相互关联的资产会表现出相似的波动趋势。那么在金融危机背景下,资产之间的关联关系如何变化?各类资产的影响力又是如何变化?这些问题一直以来都受到研究者的广泛关注。本文从系统科学角度出发,在金融危机背景下运用复杂网络理论对金融市场中的资产价格联动及其影响力进行了深入的对比研究,文章的主要工作和创新成果如下： (1)在2008年金融危机背景下,以沪市23个行业板块指数作为研究对象,利用互信息法度量各行业之间的非线性关系,从而构建了相应的行业关联网络并对各行业的影响力进行分析。实验结果表明：①金融危机对在中国经济中占主导地位的行业如制造业、批发和零售贸易、其他制造业等行业只有有限的影响。②金融危机对中国的出口型行业如纺织服装皮毛、电子和木材家具造成了严重影响;金融危机对出口型行业的冲击进而影响了与之联系紧密的行业,从而导致出口型行业的影响力变大。③金融危机对中国的进口行业如石油化工、金属非金属、医药生物等行业也造成了不利影响。然而,由于宏观经济政策的刺激,危机对这些行业的冲击有限。④由于相对严格的对外资本控制及宏观政策刺激国内需求,建筑业、房地产行业、金融保险行业受到金融危机的冲击较小。 (2)在次贷危机和欧债危机背景下,以全球26个国家和地区的股票市场指数作为研究对象,将协整理论与复杂网络理论相结合,研究了26个股市之间的长期均衡关系,并构建了相应的协整网络,从系统的角度研究了不同时期全球股市间的协整关系及其影响力。实验结果表明：①次贷危机和欧债危机确实改变了全球股市间的协整关系及协整关系程度。特别地,在美国雷曼公司倒闭后,全球股市间的协整关系数量明显增加。此外,全球股市间的协整关系程度则随时间变化逐步下降。②美国、日本及中国股市的影响力发生了明显改变。在欧债危机之前,美国股市在全球股市中占据绝对的领导力；然而,在欧债危机时期,美国股市的影响力明显减弱。对于日本股市,其总是对欧洲市场具有影响力,并且对亚洲市场也存在影响,然而在次贷危机以及美国萧条时期,日本股市对处于同一地域的亚洲市场却不具有影响力。对于中国股市,在次贷危机之前,由于中国对外参与程度较低,只有很少的市场与其存在协整关系。然而,在次贷危机及欧债危机时期,随着中国对外参与程度的不断加深以及经济实力的提升,越来越多的股市与中国股市存在长期均衡关系。③对于发达股市以及新兴股市,在欧债危机之前,发达市场在全球股市中占据绝对的领导力。然而,由于次贷危机以及欧债危机的冲击,它们的影响力明显下降。值得注意的是,美国及欧洲经济的萧条已经使得亚洲新兴市场逐步代替欧洲发达市场来引领全球经济走势。以上结论不仅有利于我们在金融危机背景下了解金融市场中资产价格联动及其影响力的变化,还能为投资者进行资产投资以及风险管理提供一定的指导意义,为政府制定相应的宏观经济政策以促进经济可持续健康稳定发展提供有力指导。
[Abstract]:In the financial market, the linkage between assets mainly refers to the related assets will exhibit similar fluctuation trend. So under the background of financial crisis, how the relationship between the assets and the influence of all kinds of assets change? How changes? These problems have attracted the attention of researchers.
From the perspective of system science, this paper makes a deep comparative study of asset price linkage and its influence in financial market under the background of financial crisis, using complex network theory. The main works and achievements of the article are as follows:
(1) in the background of the financial crisis in 2008, in Shanghai 23 industry sector index as the research object, the nonlinear relationship between the mutual information measure in various industries, so as to construct the corresponding industry association network and the industry's influence is analyzed. The experimental results show that the financial crisis on the industry occupies a leading position in the Chinese in the economy such as manufacturing, wholesale and retail trade, other manufacturing industries limited. The financial crisis of Chinese export-oriented industries such as textile and garment fur, electronic and wood furniture caused serious influence; the financial crisis impact on export-oriented industries and it affects and is closely linked to the industry, leading export industries influence bigger. The financial crisis of China imports such as petrochemical industry, non-ferrous metal, pharmaceutical and biotech industries also adversely affected. However, Due to the stimulation of macroeconomic policies, the impact of the crisis on these industries is limited. Fourth, due to relatively strict external capital control and macroeconomic policies to stimulate domestic demand, the construction industry, the real estate industry and the financial and insurance industry are less affected by the financial crisis.
(2) in the subprime mortgage crisis and the European debt crisis, with 26 countries and regions in the world stock market index as the research object, the cointegration theory and complex network theory, studies the long-term equilibrium relationship between the 26 markets, and construct the corresponding cointegration network, from the perspective of system research the relationship between the stock market and the influence of the global association of different periods. The experimental results show that: the subprime crisis and the European debt crisis has really changed the global stock market between the Cointegration and cointegration relationship. In particular, the number of Lehman Corp in the United States after the collapse of the whole relationship between the global stock market association increased significantly. In addition, the global stock market the cointegration relationship between the degree of change with time gradually decreased. The United States, Japan and China the influence of the stock market has changed obviously. The debt crisis in Europe before the U.S. stock market to occupy the absolute leadership in the global stock market ; however, in the European debt crisis, the United States significantly weakened the influence of the stock market. For the Japanese stock market, it always has influence on the European market, and also have an impact on the Asian market, but in the US subprime mortgage crisis and recession, the Japanese stock market in the same region of the Asian market is not influential. For China stock market and before the subprime crisis, the Chinese foreign participation degree is low, only a few of the market and there is a cointegration relationship. However, in the subprime mortgage crisis and the European debt crisis, with Chinese foreign participation in the deepening and improvement of economy, the stock market and the stock market Chinese there is a long-term equilibrium relationship for more and more. The developed stock market and emerging stock market, the debt crisis in Europe before the developed market occupy the absolute leadership in the global stock market. However, due to the subprime mortgage crisis and the European debt crisis impact Their influence declined significantly. It is worth noting that the economic depression in the US and Europe has made Asian emerging markets take the lead in the global economic trend instead of the developed markets in Europe.
The above conclusion is not only conducive to our understanding of changes in asset price linkage and its influence in the financial market in the context of the financial crisis, but also provide some guidance for the investor asset investment and risk management, for the government to formulate the corresponding macroeconomic policies to provide effective guidance in promoting sustainable healthy and stable development of the economy.

【学位授予单位】：南京信息工程大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5

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