我国股市、债市及黄金市场间的收益和波动联动性研究

发布时间：2018-03-04 10:19

本文选题：金融市场　切入点：收益联动　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：经济和金融的全球化加剧了国际金融市场间的互动关系,我国市场在受到世界经济感染的同时,金融市场间的溢出影响也似乎不断加深。由于政治、经济及社会发展等诸多原因,我国现阶段的投资开放程度,还不能实现资本在国际金融市场的自由进出,这使得国内金融市场的重要性日益提高,并获得投资者和学术界的关注。股票和债券市场在金融市场中,起到了配置资源与引导资本的核心作用,我国的黄金市场虽建立较晚,但其在经济金融系统中的角色必要性是不可置否的,因此,研究我国金融市场间的联动特征,无论对于投资者的资产配置和风险管理、监管者的政策制定,还是金融传染理论的发展,均具有十分重要的意义。通过总结前人关于资产或市场间联动性的研究成果,本文以溢出效应和替代效应为理论基础,来研究我国股票市场、债券市场和黄金市场之间的互动关系。在研究方法上,本文遵循收益联动和波动联动两条研究思路,采用VAR模型对市场指数与价格间跨期的收益联动性进行研究,以SVAR模型对同期收益联动特征进行补充,使用修正的EGARCH模型,对市场间的波动联动情况进行检验;进一步,本文采用参数变结构模型将总体样本划分为7个子阶段,来捕捉收益和波动联动的时变性特点,最后结合研究成果对跨市场投资及金融监管提出建议。收益的联动性研究表明,2007年至2009年的金融危机前后,股票市场与黄金市场间的双向收益溢出效应明显,且呈同向的增强或削弱关系;股票市场对黄金市场的替代效应从无到有逐渐增强,而在金融危机时期,黄金市场对股票市场的替代效应更强更显著;2008年后,债券市场对股票市场的替代效应一直非常强,且强度有增大的趋势,体现了投资避风港作用;债券市场与黄金市场由于避风港效应的竞争性,表现出双向的收益替代和彼此削弱的收益溢出影响。在波动性方面,金融市场间普遍存在着联动关系,并且,股票市场对其他市场的波动溢出影响有逐渐增强的趋势。
[Abstract]:The globalization of economy and finance has intensified the interaction among the international financial markets. While our market is infected by the world economy, the spillover effect between the financial markets seems to be deepening. For many reasons, such as economic and social development, the degree of investment opening up in our country at the present stage cannot realize the free flow of capital in and out of the international financial market, which makes the domestic financial market increasingly important. The stock and bond markets have played a central role in allocating resources and guiding capital in the financial market. Although the gold market in China was established relatively late, However, the necessity of its role in the economic and financial system can not be denied. Therefore, the study of the linkage between financial markets in China, whether for the allocation of investors' assets and risk management, the policy formulation of regulators, It is also of great significance to the development of financial contagion theory. By summing up the previous research results on asset or market interaction, this paper takes spillover effect and substitution effect as the theoretical basis to study the stock market of our country. In the research method, this paper follows two research ideas: the linkage of return and the linkage of volatility, and adopts VAR model to study the intertemporal relationship between market index and price. The SVAR model is used to supplement the characteristics of simultaneous earnings linkage, and the modified EGARCH model is used to test the volatility linkage between markets. Further, the parametric variable structure model is used to divide the total sample into 7 sub-stages. To capture the time-varying characteristics of the linkage between earnings and volatility, and finally to make recommendations on cross-market investment and financial regulation combined with the results of the research. The study on the linkage of returns shows that, before and after the financial crisis from 2007 to 2009, The two-way income spillover effect between the stock market and gold market is obvious, and the relationship of strengthening or weakening in the same direction; the substitution effect of the stock market to the gold market has gradually strengthened from scratch, but in the financial crisis, After 2008, the substitution effect of bond market to stock market has been very strong, and the intensity has been increasing, which reflects the role of investment as a safe haven. Due to the competitiveness of the havens effect, the bond market and the gold market exhibit two-way income substitution and mutually weakened spillover effects. In terms of volatility, there is a general linkage between the financial markets, and, The stock market has a trend of increasing volatility spillover effects on other markets.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F832.54

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