欧洲主权信用评级下调对国际股票市场冲击的动态分析

发布时间：2018-03-20 20:37

本文选题：主权信用评级　切入点：事件研究法　出处：《电子科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：2009年底,希腊政府的财政赤字和公共债务占国内生产总值的比例严重超出《马斯特里赫特条约》规定的上限,其财政状况恶化,世界三大评级机构标准普尔,穆迪和惠誉相继下调希腊的主权信用评级,希腊债务危机爆发。而后意大利,西班牙,葡萄牙和爱尔兰的评级也被下调,希腊债务演变成为了欧洲债务危机。在金融开放环境下和经济全球化进程中,各国经济之间的相关性和依存度逐渐上升,因而,爆发在一国一区域的债务危机能否撼动全球经济,引发全球性的金融海啸,以及如何防范金融危机,维护金融市场的稳定都成为学术界研究的焦点。本文从欧洲主权信用评级下调引发的债务危机的理论入手,阐述了危机的起源、扩散以及对全球经济的影响和冲击,然后通过对国内外相关文献的研究,结合理论背景和债务危机的现实情况,实证研究债务危机的跨国传染性。由于股票市场是金融危机传染的重要途径,本文的研究对象就选择了国际股票市场。首先运用事件研究法,选取2009年12月到2012年6月的样本数据,对欧盟区各国股票价格收益的变化进行实证分析,在得出主权信用评级下调对欧盟区各国股票价格收益有显著影响的基础上,进一步研究债务危机对美国和亚洲各国股价收益的冲击影响,并比较评级下调对各股市的不同冲击结果。发现,亚洲经济体对贸易的依赖是使其遭受风险的主要原因,欧盟是亚洲地区的不可替代的出口市场,若欧洲经济系统崩溃,国际贸易往来停滞,消费者信贷枯竭,股市下跌在所难免。因而,在此次危机中,出口依赖型的国家如新加坡、香港、韩国、日本、台湾及中国受到了欧洲经济疲软的冲击。美国股市也没能一枝独秀。之后,采用非对称GARCH模型实证分析了欧债危机背景下欧盟区代表性国家,美国和亚洲国家股票价格波动的趋势,发现,危机时期,欧洲的八个国家中,利空消息对希腊股票市场的冲击影响最大,其次为葡萄牙和爱尔兰的股票市场,最后为德国的股票市场,说明在危机时代,希腊,葡萄牙,爱尔兰等严重危机国家较德国等发达国家股票市场的波动性显著大。另外对欧洲以外市场的研究发现,利空消息对美国股票市场的冲击最大,其次为日本的股票市场,最后为中国的股票市场,这说明了在危机时代,市场自由度高的发达国家的股票市场比发展中国家的股票市场波动更大。最后通过对债务危机期间希腊股市与欧盟其他国家及美国,日本,中国股市动态相关系数的研究,发现风险更多地限于危机发生国。
[Abstract]:In end of 2009, the Greek government's fiscal deficit and public debt as a percentage of gross domestic product (GDP) seriously exceeded the Maastricht Treaty ceiling, and its fiscal position deteriorated, with the world's three largest rating agencies, Standard & Poor's, Moody's and Fitch have downgraded Greece's sovereign credit rating, and Greece's debt crisis has erupted. Italy, Spain, Portugal and Ireland have also been downgraded. Greece's debt has evolved into a European debt crisis. In the context of financial openness and the process of economic globalization, the correlation and dependence between the economies of various countries has gradually increased, thus, Can a debt crisis erupt in a country or region shake the global economy, trigger a global financial tsunami, and how to prevent a financial crisis? Maintaining the stability of financial markets has become the focus of academic research. This paper begins with the theory of debt crisis caused by European sovereign credit rating downgrade, and expounds the origin, diffusion, impact and impact on the global economy. Then through the domestic and foreign related literature research, unifies the theory background and the debt crisis reality situation, empirically studies the debt crisis transnational contagion, because the stock market is the financial crisis contagion important way, The research object of this paper is the international stock market. Firstly, using the method of event research, we choose the sample data from December 2009 to June 2012 to make an empirical analysis on the change of stock price returns in European countries. On the basis of the conclusion that the sovereign credit rating downgrade has a significant impact on the stock price returns of the countries in the EU region, the impact of the debt crisis on the stock price returns of the United States and Asian countries is further studied. Comparing the different impact of the downgrade on the stock markets, we find that the dependence of Asian economies on trade is the main reason for their exposure to risk. The European Union is the irreplaceable export market of the region, and if the European economic system collapses, International trade is stagnant, consumer credit is drying up, and stock markets are falling. Thus, in this crisis, export-dependent countries such as Singapore, Hong Kong, South Korea, Japan, Taiwan and China have been hit by the weak European economy, and the US stock market has not been able to outshine. Then, the asymmetric GARCH model is used to empirically analyze the representative countries of the EU region in the context of the European debt crisis. The trend of stock price fluctuations in the United States and Asian countries shows that during the crisis period, of the eight European countries, the negative news had the greatest impact on the Greek stock market, followed by the stock markets of Portugal and Ireland. Finally, the stock market in Germany, which shows that in the crisis era, the stock markets of Greece, Portugal, Ireland and other serious crisis countries are significantly more volatile than those of developed countries such as Germany. In addition, a study of markets outside Europe found that. The negative news had the greatest impact on the US stock market, followed by the Japanese stock market, and finally the Chinese stock market. This shows that in the crisis era, The stock markets of developed countries with high degree of market freedom are more volatile than those of developing countries. Finally, a study of the dynamic correlation coefficient between Greek stock markets and other European Union countries, the United States, Japan, and China during the debt crisis is carried out. The risk was found to be more limited to the countries in which the crisis occurred.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.51

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