越南股票市场与世界主要股票市场联动性实证研究

发布时间：2018-06-22 00:50

本文选题：越南股票市场 + 联动性　；参考：《天津大学》2014年硕士论文

【摘要】：随着国际金融一体化、资本流动自由化以及股票市场证券化的发展,国际金融市场联系日益紧密。同时计算机技术的提高和互联网普及使得一个国家的股票市场对世界市场新消息作出迅速反应。因此许多研究者对金融市场的联动性进行了相关研究,着重探讨了国际股票市场的价格变化相关性和不对称性波动机制。本文选择越南两个具有代表性的指数:越南指数和河内指数;世界主要股票市场的重要指数包括:美国股票市场-SP500指数,日本股票市场-NIKKEI225指数,香港股票市场-恒生指数,中国大陆股票市场-上海证券综合指数。本文选取从2006年1月3日到2014年7月1日的日、周、月收盘价作为研究数据。前言部分介绍了研究背景、意义、方法以及结构。本文对国内外相关文献进行综述和简单评价,并主要介绍了市场传染理论、信息溢出效应、投资者行为等相关理论。本文对联动性形成机制进一步说明,根据越南与三个国家的贸易进出口、国家直接投资、国际投资者等具体情况进行概括。实证研究运用计量工具进行建模、检验,本文对文章中所使用的工具进行简单介绍,使实证过程更清晰易懂。首先,本文进行相关性检验,描述性统计;其次,本文通过向量自回归模型(VAR)进行格兰杰因果检验、脉冲响应函数、方差分解;最后,本文通过GARCH模型进行波动性检验,主要使用EGARCH和TGARCH模型考察市场不对称性波动。实证研究结果发现,越南股票市场的两个指数收益率数据都体现了高风险高收益特征。作为越南股市的中小板市场的代表性指标-河内指数波动趋势相对独立,收益率波动主要受到来自自身的影响;而越南指数是越南主板市场的指数,不仅受到世界主要股市的影响,而且还受到来自河内指数的影响;两个指数收益率波动性存在非对称波动,利好消息产生的波动大于利空消息产生的波动。
[Abstract]:With the development of international financial integration, capital flow liberalization and stock market securitization, the international financial market is increasingly closely linked. At the same time, the improvement of computer technology and the popularity of the Internet make a country's stock market react quickly to the new news in the world market. Therefore, many researchers have carried on the correlation research to the financial market linkage, emphatically discussed the international stock market price change correlation and the asymmetry fluctuation mechanism. This paper selects two representative indices of Vietnam: Vietnam index and Hanoi index; the major indexes of the world's major stock markets include the US stock market -SP500 index, the Japanese stock market -NIKKEI 225 index, the Hong Kong stock market and the Hang Seng Index. Mainland China Stock Market-Shanghai Securities Composite Index. From January 3, 2006 to July 1, 2014, the closing price of the day, week and month is selected as the research data. The preface introduces the research background, significance, method and structure. This paper reviews and evaluates the relevant literature at home and abroad, and mainly introduces the theory of market contagion, information spillover effect, investor behavior and so on. This paper further explains the formation mechanism of the linkage, according to the specific situation of Vietnam's import and export of trade with the three countries, national direct investment, international investors and so on. The empirical research uses econometric tools to model and test. This paper briefly introduces the tools used in the article to make the empirical process more clear and easy to understand. First, this paper carries on the correlation test, descriptive statistics; secondly, this paper carries on the Granger causality test, the impulse response function, the variance decomposition through the vector autoregressive model (VAR); finally, this paper carries on the volatility test through the GARCH model, EGARCH and TGARCH models are used to investigate market asymmetry volatility. The empirical results show that the two index return data of Vietnam stock market reflect the characteristics of high risk and high return. As a representative indicator of the small and medium-sized market in Vietnam stock market, Hanoi Index fluctuates relatively independently, and the volatility of yield is mainly influenced by itself, while Vietnam Index is the index of Vietnamese main Board market. Not only by the world's major stock markets, but also by the Hanoi index. The volatility of the two indices is asymmetric, and the volatility of the good news is larger than that of the bad news.
【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】：F831.51

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