中美股票市场相同资源行业间的溢出效应研究

发布时间：2018-03-22 01:00

本文选题：股票市场　切入点：资源行业　出处：《江西财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：在经济全球化和金融市场一体化的形势下,国际分工不断深化,现代信息技术迅猛发展,中国股市与国际资本市场的关联度也增强了。与此同时,随着中国经济的迅猛发展,国内大宗商品供给不足,对外依存度不断提高,中国经济面临着巨大的风险。因此,研究中美股票市场相同资源行业间的溢出效应,不仅有助于政府防范金融风险,还有助于投资者制定合适的投资决策。本文首先对股市间溢出效应的相关文献进行了梳理及评述。其次,在对比分析了中美资源行业的发展状况后,本文从金融制度、投资者行为以及需求的角度对中美股票市场相同资源行业间的溢出效应进行了分析。本文认为中美股票市场制度越完善、投资者掌握的市场信息越不完全、中美对大宗商品的消费和投资需求越大,则中美股票市场间的溢出效应越显著。随后,本文针对溢出效应的传导从三个渠道来分析。在汇率渠道中,一国大宗商品价格变动可以通过进出口导致汇率变动,最终使得外国大宗商品价格也发生变动。在物价渠道中,一国大宗商品价格变动能够通过进出口导致另一国物价发生变动,进而传递至股票市场。在预期渠道中,国外股票市场股价的变动会导致国内投资者的预期发生改变,进而造成国内股价发生变动。接下来本文对中美股市相同资源行业间的溢出效应分别从收益率溢出和波动率溢出进行了实证研究。本文以国际大宗商品价格开始快速上涨的2004年为时间点,将总样本区间确定为2004年7月至2017年1月,并从中美股市中分别选取石油行业指数、煤炭行业指数、黄金行业指数、铝行业指数,通过建立VAR、GARCH-BEKK模型来检验中美股票市场相同资源行业间溢出效应的方向。实证结果表明,中国股票市场黄金指数、铝指数与美国股票市场黄金指数、铝指数间都具有双向收益率和波动溢出效应,同时中国股票市场煤炭指数对美国股票市场煤炭指数有单向收益率溢出,中国股票市场煤炭指数与美国股票市场煤炭指数间有双向波动溢出效应,美国股票市场石油指数对中国股票市场石油指数也具有单向收益率和波动溢出效应。最后,本文提出了政策建议:加强石油、黄金、铝供应体系建设,加快完善能源及有色金属期货市场,加强投资者教育。
[Abstract]:Under the situation of economic globalization and financial market integration, the international division of labor is deepening, the modern information technology is developing rapidly, and the correlation between China's stock market and international capital market has also been strengthened. At the same time, with the rapid development of China's economy, With the shortage of domestic commodity supply and the increasing dependence on foreign countries, China's economy is facing enormous risks. Therefore, studying the spillover effects between industries with the same resources in the stock market of China and the United States is not only helpful for the government to guard against financial risks. It is also helpful for investors to make appropriate investment decisions. Firstly, this paper reviews the relevant literature on the spillover effect between stock markets. Secondly, after comparing and analyzing the development of resources industry in China and the United States, this paper begins with the financial system. This paper analyzes the spillover effect between the same resources industries in the stock market of China and the United States from the angle of investor behavior and demand. The more perfect the system of stock market between China and the United States, the less complete the market information that investors have. The greater the consumption and investment demand for commodities between China and the United States, the more significant the spillover effect between China and the United States stock market. Then, this paper analyzes the transmission of spillover effect from three channels. Changes in commodity prices in a country can result in exchange rate movements through imports and exports, and ultimately foreign commodity prices. In price channels, Changes in commodity prices in one country can cause price changes in another country through imports and exports, which can then be transmitted to the stock market. In the expected channel, changes in stock prices in foreign stock markets can lead to changes in the expectations of domestic investors. Then this paper makes an empirical study on the spillover effects of the same resource industries in the stock market of China and the United States from the perspective of yield spillover and volatility spillover respectively. This paper starts with international commodity prices. The fast-rising 2004 is the point in time, The total sample range is determined to be July 2004 to January 2017, and the oil industry index, coal industry index, gold industry index and aluminum industry index are selected from the Central American stock market. The VARGARCH-BEKK model is established to test the direction of the inter-industry spillover effects of the same resources in Chinese and American stock markets. The empirical results show that the gold index, aluminum index and gold index of the American stock market are the gold index of Chinese stock market, the aluminum index and the gold index of American stock market. Aluminum index has two-way yield and volatility spillover effect, and China stock market coal index has one-way yield spillover to American stock market coal index. There is a two-way volatility spillover effect between the coal index of China stock market and the coal index of American stock market. The oil index of American stock market also has one-way yield and volatility spillover effect on the oil index of Chinese stock market. This paper puts forward some policy suggestions: strengthening the construction of petroleum, gold and aluminum supply systems, speeding up the improvement of energy and non-ferrous metal futures markets, and strengthening investor education.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F831.51

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