基于改进的小波相关系数模型的国内外股票市场相关性实证研究

发布时间：2018-02-21 19:19

本文关键词： 股票市场相关性小波相关系数　出处：《东北大学》2014年硕士论文　论文类型：学位论文

【摘要】：改革开放以来,中国经济的全球化进程呈现逐年加快之势,尤其是自中国加入世界贸易组织之后,中国的全球化经济更是大跨步的发展,其中对外贸易总额更是在2013年一举超越美国,成为世界第一大贸易国,经济全球化进程的加快,使中国与世界其他国家的经济紧密联系在一起。而作为国民经济的一个重要组成部分,被誉为“经济晴雨表”的股票市场与全球股市之间的联系程度并非十分紧密。2007年末金融危机爆发之际,以美国为代表的国外股市一路下跌,此时中国股市也从高点一路下滑,此时中国股市与世界股市似乎出现了一定程度的相关。但是金融危机过后国外股市,尤其是发达国家和地区的股市几乎全部上涨,甚至超过金融危机前的高点。而中国股市在金融危机过后经历了一轮调整行情,然后连续几年在低位震荡。为了研究国内外股市的相关情况到底如何,本文选取了2005年4月8日到2014年5月31日包括中国股市在内的7个国家和地区的股票指数数据,并采用改进的小波相关系数模型去分析中国股市与国外主要经济体股市之间的相关关系(主要包括：美国、英国、德国香港、韩国、日本)。分析结果表明：中国股市与国外股市整体上相关性并不强。其中,中国与美国、英国、德国这三个西方国家的股市的相关性很一致,表现在长期上存在着一定程度的相关关系,而在中短期上,这种相关关系则并不明显；中国与日本、韩国的股市相关性则要稍强,但是仍然是长期上相关关系较强,而中短期上相关关系较弱；中国与香港股市的相关性最强,无论从长期、中期、短期来看都有着较强的相关性。从中外股市相关性随着时间的变化情况上来看,金融危机发生的这段时间相关性是最强的,而其他时间段相关性则相对较弱,并且在金融危机这段时间其他国家股市对中国股市有一定的引导作用。
[Abstract]:Since the reform and opening up, the globalization process of China's economy has been accelerating year by year, especially since China's accession to the World Trade Organization (WTO), China's globalized economy has developed with great strides. In 2013, the total volume of foreign trade surpassed the United States in one fell swoop, becoming the largest trading country in the world, and the process of economic globalization was accelerated. To make China closely linked to the economies of the rest of the world. And as an important part of the national economy, The link between the stock market, known as the "economic barometer," and the global stock market is not very close. When the financial crisis broke out in end of 2007, foreign stock markets, represented by the United States, fell all the way, while the Chinese stock market also fell from its high point. At this time, the Chinese stock market seems to be related to the world stock market to a certain extent. But after the financial crisis, foreign stock markets, especially those in developed countries and regions, almost all rose. Even above the pre-crisis peak. And the Chinese stock market experienced a round of adjustment after the financial crisis, and then fluctuated at low levels for several years in a row. In order to study the domestic and foreign stock market related situation in the end, This paper selects the stock index data of 7 countries and regions, including China stock market from April 8th 2005 to May 31st 2014. And using the improved wavelet correlation coefficient model to analyze the correlation between Chinese stock market and major foreign stock market (including: the United States, the United Kingdom, Germany and Hong Kong, South Korea, mainly: the United States, the United Kingdom, Germany, Hong Kong, South Korea), The results of the analysis in Japan show that the overall correlation between the Chinese stock market and the foreign stock market is not strong. Among them, the correlation between China and the three Western countries, the United States, the United Kingdom and Germany, is very consistent. In the long run, there is a certain degree of correlation, but in the short and medium term, this correlation is not obvious. The correlation between China and Japan, South Korea's stock market is slightly stronger, but it is still strong in the long run. The correlation between China and Hong Kong stock market is the strongest, both in the long, medium and short term. The correlation between Chinese and foreign stock markets changes with time. The correlation between the financial crisis and other periods of time is the strongest, and the other period is relatively weak, and other countries' stock markets have a guiding role to China's stock market during the financial crisis period.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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