美国股票、原油及外汇市场的信息传递研究

发布时间：2018-04-28 04:10

本文选题：美国股市 + 原油市场　；参考：《南京财经大学》2014年硕士论文

【摘要】：随着世界各国金融体制的不断深化改革和金融市场的不断创新发展,各金融市场之间的联动性正在逐渐加强。越来越多的投资者不再仅仅关注某一金融市场来确定投资决策,而是通过同时关注几个密切联系的金融市场来分析某一金融市场的行情,以做出合理的投资决策。本文通过对美国股票市场、原油市场及外汇市场之间的联动性分析,探究这三个市场走势的变化规律,并为利益相关者提供政策建议。目前,国内大多数学者的相关研究主要集中在我国股票市场、原油市场、外汇市场中的某两个市场,且大多采用日交易数据作为样本。本文从国际视角选取美国股票市场作为变量,以解决我国股票市场机制不完善,市场数据信息表现不足的问题,并将美国股票市场、原油市场及外汇市场三者作为变量同时纳入分析框架。本文样本数据仅选取美国金融市场和欧洲金融市场同时交易时段的标准普尔500指数、德克萨斯中质油价格及欧元兑美元汇率的5分钟高频数据。本文结构大致由三部分组成,第一,介绍本文选题背景、意义及文献综述；第二,介绍样本变量的内涵及其选择理由；第三,从宏观或微观的视角解读相关市场之间联动的理论基础；第四,对样本高频数据进行计量分析,并根据统计分析结果对利益相关者提出相应的政策建议。
[Abstract]:With the deepening reform of the financial system in the world and the continuous innovation and development of the financial market, the linkage between the financial markets is gradually strengthening. More and more investors are not only paying attention to a certain financial market to determine investment decisions, but by paying attention to some closely linked financial markets at the same time to analyze a certain gold. Through the analysis of the linkage between the American stock market, the crude oil market and the foreign exchange market, this paper explores the changing rules of the three market trends and provides policy suggestions for the stakeholders. At present, most of the domestic mathematics researchers mainly focus on the stock market in China, Oil market, one of the two markets in the foreign exchange market, and most of the daily transaction data are used as samples. This paper selects the American stock market as a variable from the international perspective, in order to solve the problem of imperfect stock market mechanism and the shortage of market data information, and the three parties of American stock market, crude oil market and foreign exchange market as variables. The sample data includes the standard & Poor's 500 index, Texas medium quality oil price and the 5 minute high frequency data of the euro / US dollar exchange rate in the United States financial market and European financial market. The structure of this paper is composed of three parts. First, the background, significance and literature review of this paper are introduced. Second, introduce the connotation of the sample variables and the reasons for their selection; third, analyze the theoretical basis of the linkage between the relevant markets from the macro or micro perspective; fourth, analyze the high frequency data of the samples, and give the relevant policy suggestions to the stakeholders according to the results of statistical analysis.

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.51;F416.22;F831.6

【参考文献】