中国股市与世界主要股市的联动关系研究

发布时间：2018-03-06 16:54

本文选题：股市联动　切入点：VAR-BEKK-GARCH　出处：《中国农业大学》2014年博士论文　论文类型：学位论文

【摘要】：随着世界资本市场的不断发展,资本在本国市场与国外市场之间自由流动,全球股市呈现出共同上涨或下跌的趋势,这种股市联动在世界资本市场中表现的越来越普遍。股市联动也成为国内外学术界研究的焦点问题。随着QFII和QDII制度的实施,汇率制度改革的稳步推进,国内外投资者已经能够利用中国股市和境外股市进行分散投资,这使得中国股市与世界资本市场产生了一定程度的联动性。中国股市已经由封闭性市场转变为有限开放的市场,其正逐步融入世界资本市场,这种转变,一方面使得投资者可以利用世界资本市场去丰富投资组合,分散投资风险,提高投资收益；另一方面要求中国股市管理者制定相应的政策,保证中国股市的健康发展。正是出于这一目的,本文对中国股市与世界主要股市的联动关系进行研究。本文通过理论分析和实证研究中国股市与世界主要股市联动性,介绍了中国股市与世界主要股市间联动的现状,得出了中国股市与世界主要股市的相关关系、长期关系和波动性溢出。本文结构及研究内容如下：第一章是导言。本章探讨了本文研究背景,提出了本文的研究目标,分析了学者关于股市联动的研究,并指出本文的研究思路、研究内容以及本文的主要创新。第二章是股市联动的相关理论。本章首先介绍了基于现代投资理论的证券投资组合理论、资产定价模型和套利定价模型,然后探讨了金融(危机)传染理论,并且分析了金融传染的条件与渠道；最后介绍了研究股市联动的计量经济学方法。第三章是中国股市与世界股市联动的影响因素。本章介绍了世界股市与中国股市的概况；分析了股市开放、对外贸易、资金利用和经济政策等几个方面对联动的影响。第四章是中国股市与世界主要股市的因子分析,主要运用相关系数法、因子分析模型区检验影响样本股市的公因子,确定某个因子对那些股市的解释能力,进而确定这些股市的联动关系。第五章是中国股市与世界主要股市的长期均衡与短期冲击研究,通过VAR模型、格兰杰因果关系检验、脉冲响应分析和方差分解,确定样本股市的长期均衡结果,并分析股市的短期冲击对相关国家或地区股市波动的影响,以及某个国家股市对其他国家股市波动的贡献程度。第六章是中国股市与世界主要股市的波动性溢出效应研究,通过VAR-BEKK-GARCH模型研究样本之间的波动性溢出,确定股市波动溢出的方向。第七章是结论与展望,主要是对全文的总结,对政策制定者和投资者的建议,以及对未来股市联动研究的发展方向的介绍。
[Abstract]:With the continuous development of the world capital market and the free flow of capital between the domestic market and the foreign market, the global stock market shows a common upward or downward trend. This kind of stock market linkage is becoming more and more common in the world capital market. Stock market linkage has also become the focus of academic research at home and abroad. With the implementation of QFII and QDII system, the reform of exchange rate system is advancing steadily. Domestic and foreign investors have been able to diversify their investments by using the Chinese stock market and the foreign stock market, which has created a certain degree of linkage between the Chinese stock market and the world capital market. The Chinese stock market has changed from a closed market to a limited open market. On the one hand, investors can make use of the world capital market to enrich investment portfolio, diversify investment risk and improve investment returns; On the other hand, the managers of Chinese stock market are required to make corresponding policies to ensure the healthy development of Chinese stock market. For this purpose, this paper studies the relationship between Chinese stock market and major stock markets in the world. Through theoretical analysis and empirical research on the linkage between Chinese stock market and the world's main stock market, this paper introduces the current situation of the linkage between the Chinese stock market and the world's main stock market, and concludes the correlation between the Chinese stock market and the world's main stock market. Long-term relationship and volatility spillover. The first chapter is the introduction. This chapter discusses the research background of this paper, puts forward the research objectives of this paper, analyzes the scholars' research on the stock market linkage, and points out the research ideas, research contents and the main innovations of this paper. The second chapter is the related theory of stock market linkage. This chapter first introduces the portfolio theory, asset pricing model and arbitrage pricing model based on modern investment theory, and then discusses the financial (crisis) contagion theory. It also analyzes the conditions and channels of financial contagion, and finally introduces the econometrics method to study the linkage of stock market. The third chapter is the influence factors of the linkage between Chinese stock market and world stock market. This chapter introduces the general situation of the world stock market and Chinese stock market, and analyzes the impact of stock market opening, foreign trade, fund utilization and economic policy on the linkage. Chapter 4th is the factor analysis of the Chinese stock market and the world's major stock markets. It mainly uses the correlation coefficient method, the factor analysis model area to test the common factors that affect the sample stock market, and determines the interpretation ability of a certain factor to those stock markets. Then determine the linkage of these stock markets. Chapter 5th is a study on the long-term equilibrium and short-term impact of Chinese stock market and major world stock market. Through VAR model, Granger causality test, impulse response analysis and variance decomposition, the long-term equilibrium results of the sample stock market are determined. It also analyzes the impact of the short-term impact of the stock market on the volatility of the relevant countries or regions, as well as the contribution of one country's stock market to the volatility of other countries' stock market. Chapter 6th is a study of volatility spillover effect between Chinese stock market and major stock market in the world. The direction of volatility spillover in stock market is determined by using VAR-BEKK-GARCH model to study volatility spillover between samples. Chapter 7th is a conclusion and prospect, mainly a summary of the full text, suggestions to policy makers and investors, as well as an introduction to the development direction of the future stock market linkage research.
【学位授予单位】：中国农业大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F831.51;F224

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