金融危机背景下股票市场波动溢出效应研究

发布时间：2018-04-20 00:18

本文选题：股票市场 + 波动溢出效应　；参考：《广东财经大学》2014年硕士论文

【摘要】：由于世界资本市场一体化愈演愈烈，导致我国与国际上的许多证券市场的投资信息与风险联系变得越来越密不可分。2008年，发生了世界范围内的经济危机，这是由美国引起的，也使得美国证券市场大幅下跌，其他国家证券市场也随之巨幅下跌，不仅受到实务界的强烈关注，在学术界也受到了普遍的关注。分析学习我国与全球股票市场之间的联系，这可以对我国证券市场防范国际金融风险的问题提供一些建议。为了研究沪、港、英、美四者股市之间的波动溢出情况，选取2005年7月29日至2010年8月31日四者的股票市场数据作为研究样本，把研究的分界点选取为美国标准普尔500指数的最高点，我们把这个最高点认为是金融危机爆发的时间点，以2007年10月09日作为分界，前面的时间段的指数作为金融危机爆发前的数据，后面的时间段的指数作为金融危机爆发后的数据，分别构建四元VAR MGARCH(1,1) BEKK模型，经过实证分析得出：（1）在金融危机爆发前期和后期，沪、港、英、美股票市场的价格收益率序列虽然都是平稳序列，但是却都不服从正态分布，然而他们之间却具有较高的关联度，同时，四个市场都具有不间断性，并且它们每个市场的波动聚集性也很强。（2）从波动溢出情况来看，，危机爆发前这段时间，上海市场只受到香港市场的单方向溢出，而香港市场、美国市场和英国市场之间存在相互溢出现象，另外，关于美、英两国的股市对我国沪市的影响，此处香港股市起到媒介的作用，他们只能对我国沪市间接作用，影响程度相对比较弱。国际金融危机爆发后，四个股票市场的波动溢出方向却变为：英国受到美国市场的单方向溢出，由于国际金融危机爆发导致美国股市大崩盘，致使欧洲股市受到重挫，因此美国股市不再受到英国股市的影响，但是沪、港之间却存在互相溢出现象，这可能是香港与大陆市场联系紧密的缘故，英国市场和美国市场也可以直接对上海市场产生影响，也许因为金融危机导致各国之间的联系更加紧密，资本流动加剧导致的，而且美、港两个市场间仍然具有相互作用的现象，从以上结论得出危机使我国沪市与另三者股市联系更为紧密，所受影响也随之加重。
[Abstract]:As the integration of the world capital market becomes more and more intense, the investment information and risk of China and many international securities markets become more and more inextricably linked. In 2008, there was a worldwide economic crisis, which was caused by the United States. It also makes the U.S. stock market fall sharply, and the stock markets of other countries also fall sharply, which not only attracts strong attention from the practical circles, but also receives the general attention in the academic circles. This paper analyzes the relationship between China and the global stock market, which can provide some suggestions for China's securities market to guard against international financial risks. In order to study the volatility spillover between Shanghai, Hong Kong, Britain and the United States, the stock market data from July 29, 2005 to August 31, 2010 are selected as the study samples. Select the dividing point of the study as the highest point in the S & P 500 index, which we regard as the time point when the financial crisis broke out, with 09 October 2007 as the dividing line. The index in the preceding period is used as the data before the financial crisis, and the index in the later period is taken as the data after the financial crisis. The quaternion VAR / MGARCH1 / 1) BEKK model is constructed respectively. Through empirical analysis, it is concluded that in the early and late stages of the financial crisis, although the price return series in the stock markets of Shanghai, Hong Kong, Britain and the United States were all stable, they were all dissatisfied with the normal distribution. However, there is a high degree of correlation between them. At the same time, the four markets are not intermittent, and each of them has a strong volatility concentration.) from the perspective of volatility spillover, the period before the crisis broke out. The Shanghai market is only subject to one-way spillover from the Hong Kong market, and there is a mutual spillover between the Hong Kong market, the US market and the British market. In addition, with regard to the impact of the stock markets of the United States and the United Kingdom on the Shanghai stock market in China, Here the Hong Kong stock market acts as a medium, they can only indirectly affect the Shanghai stock market, the degree of influence is relatively weak. After the outbreak of the international financial crisis, the volatility spillover direction of the four stock markets changed to: Britain was overflowed by the United States market in one direction, and the European stock market suffered a severe setback as a result of the collapse of the US stock market caused by the outbreak of the international financial crisis. Therefore, the US stock market is no longer affected by the British stock market, but there is a phenomenon of spillover between Shanghai and Hong Kong, which may be due to the close ties between Hong Kong and the mainland market. The British market and the US market can also have a direct impact on the Shanghai market, perhaps because the financial crisis has led to closer ties between countries, increased capital flows, and the United States, There is still a phenomenon of interaction between the two markets in Hong Kong. From the above conclusions, it is concluded that the crisis has made the Shanghai stock market and the other three stock markets more closely linked, and the impact on the other three stock markets has also been aggravated.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.51;F224

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