国际大宗商品市场对我国股票市场影响的实证研究

发布时间：2017-12-31 09:42

本文关键词：国际大宗商品市场对我国股票市场影响的实证研究　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：自从我国加入WT0世界贸易组织后,我国与国际大宗商品市场的联系越来越紧密。然而国际大宗商品价格波动剧烈,我国却缺乏对国际大宗商品的定价权,只能被动的接受国际大宗商品价格波动对我国宏观经济的冲击。我国股票市场经过不断的改革己逐渐发挥了经济晴雨表的作用,是不是也会受到国际大宗商品市场的影响?国际大宗商品市场对我国股票市场的具体影响机制是什么?对我国股票市场会产生什么样的影响? 在总结国内外学者关于大宗商品市场与宏观经济、大宗商品市场与股票市场研究的基础上,根据大宗商品的商品属性和金融属性本文将国际大宗商品市场对我国股票市场的影响分为实体经济影响路径和金融市场联动路径。在实体经济路径方面,国际大宗商品市场主要通过影响企业现金流、预期通货膨胀率和实际货币余额三个方面对股票市场产生影响,导致股票市场价格变化,这一路径需要较长的时间,是比较长期的影响。在金融联动路径方面,由于现代投资组合理论的资金跨市场流动、启发式判断法和羊群效应等多种因素的影响,国际大宗商品市场和我国股票市场产生金融联动效应,即均值溢出效应和波动溢出效应,这一路径传导速度很快并且是较为短期的影响。通过向量自回归模型(VAR)、格兰杰因果检验、脉冲响应函数、方差分解和GARCH-BEKK模型等实证研究发现,基于实体经济影响路径国际大宗商品市场确实会通过对我国造成输入性通货膨胀进而间接对我国股票市场产生负的影响,但这一路径相对来说是比较滞后的。基于金融联动路径在股权分置改革前国际大宗商品市场与我国股票市场互不影响,没有金融市场联动效应,但在股权分置改革后受资金快速流动和羊群效应等影响,国际大宗商品市场对我国股票市场具有单向的均值溢出效应和波动溢出效应。最后,本文对实证结果做出了现实意义的解释,并提出了相应的政策建议。
[Abstract]:Since China's accession to the WT0 World Trade Organization, China has become more and more closely connected with the international commodity market. However, the international commodity prices fluctuate sharply, but our country lacks the pricing power to the international commodities. Can only passively accept the impact of international commodity price fluctuations on China's macroeconomic. China's stock market has gradually played the role of economic barometer after continuous reform. Will it also be affected by international commodity markets? What is the specific influence mechanism of international commodity market on China's stock market? What kind of influence will it have on the stock market of our country? On the basis of summarizing domestic and foreign scholars' research on commodity market and macroeconomic, commodity market and stock market. According to commodity attributes and financial attributes of commodities this paper divides the impact of international commodity market on Chinese stock market into real economic impact path and financial market linkage path. The international commodity market mainly influences the stock market by influencing the cash flow of the enterprise, the expected inflation rate and the actual currency balance, which leads to the change of the stock market price. This path needs a long time, is a relatively long-term impact. In the financial linkage path, because of the modern portfolio theory of funds across the market flow, heuristic judgment method and herd effect and other factors. The international commodity market and China's stock market have financial linkage effects, that is, mean spillover effect and volatility spillover effect. Through the vector autoregressive model, Granger causality test, impulse response function, variance decomposition and GARCH-BEKK model and other empirical research findings. Based on the real economic impact path, the international commodity market does have a negative impact on China's stock market by causing imported inflation and then indirectly on China's stock market. However, this path is relatively lagging. Based on the financial linkage path before the split share structure reform, the international commodity market and China's stock market do not affect each other, and there is no financial market linkage effect. However, under the influence of rapid capital flow and herd effect, the international commodity market has one-way mean spillover effect and volatility spillover effect on China's stock market after the split share structure reform. In this paper, the empirical results of the practical significance of the explanation, and the corresponding policy recommendations.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F831.53;F224

【参考文献】