沪港证券市场收益的跳跃溢出与波动溢出研究

发布时间：2018-05-02 21:01

本文选题：证券市场 + 跳跃溢出　；参考：《湖南大学》2014年硕士论文

【摘要】：证券市场间的跳跃溢出与波动溢出现象是近来金融学家研究的热点问题之一。随着经济全球化、金融自由化的日益深入，这种现象广泛地发生在世界各主要证券市场之间，显现着越来越重大的影响力。上海和香港证券市场是中国最重要的证券市场之一，对于这两个市场间的跳跃溢出与波动溢出进行研究不仅可以帮助我们理清沪港两市之间以怎样的方式连接、跳跃和波动的信息又是通过什么样的机制在市场间传播的，还有利于两地金融监管当局及时调整监管策略，投资者投资构建合理的资产组合以规避风险。本文首先整理了国内外相关领域的文献并进行了评述，在对跳跃与波动等相关概念进行界定并指出现有研究的不足后，提出了自己的研究思路并简要介绍了基于MCMC算法的SVCJ模型及其估计方法、跳跃溢出指标的定义、波动溢出测度模型等实证工具。选取上证综指与恒指收益，，在对其进行基本统计分析后，使用SVCJ模型估计了两市收益的参数、跳跃项与波动率，并在此基础上利用条件跳跃溢出概率、跳跃溢出频度、强度、平均跳跃溢出大小等指标定量分析了沪港间的跳跃溢出，通过建立误差修正模型、Granger因果检验、广义脉冲响应函数测度了两地间的波动溢出，最终得出了以下主要结论：（1）香港证券市场的波动较小，且跳跃的幅度与频度都不大；而上海市场的波动较大，跳跃的幅度与频率也较高。（2）在跳跃溢出信息的到达方面，香港证券市场的反应更加灵敏迅速，上海证券市场则相对较慢。（3）在长期内，两个市场的波动存在均衡关系，并且沪市的波动对港市波动的影响较强，港市的波动对沪市波动的影响较弱，同时两者的影响时效都很长。（4）在短期内，两地的波动对各自的影响存在滞后一日或两日效应，受自身影响较大，受对方的影响较弱。最后，在对全文作出总结后提出了相关政策建议以及本研究的不足和对未来研究的展望。
[Abstract]:The phenomenon of jump spillover and volatility spillover between securities markets is one of the hot issues recently studied by financiers. With the globalization of economy and the deepening of financial liberalization, this phenomenon widely occurs among the major securities markets in the world, showing more and more important influence. Shanghai and Hong Kong stock markets are one of the most important securities markets in China. The study of jump spillover and volatility spillover between these two markets can not only help us to understand how the Shanghai and Hong Kong stock markets are connected. What kind of mechanism is used to spread the information of jump and fluctuation among the markets, and it is also helpful for the financial regulatory authorities in both places to adjust the supervision strategy in time, and for investors to invest and construct a reasonable portfolio to avoid risks. In this paper, firstly, the literature of related fields at home and abroad is summarized and reviewed. After defining the relevant concepts, such as jump and fluctuation, and pointing out the shortcomings of the existing research, In this paper, the author puts forward his own research idea and briefly introduces the SVCJ model based on MCMC algorithm and its estimation method, the definition of jump spillover index, the volatility spillover measure model and other empirical tools. After analyzing the return of Shanghai Composite Index and Hang Seng Index, the paper uses SVCJ model to estimate the parameters, jump items and volatility of the two markets, and then uses conditional jump spillover probability, jump overflow frequency and intensity. The average jump spillover is quantitatively analyzed. By establishing the error correction model and Granger causality test, the generalized impulse response function is used to measure the volatility spillover between Shanghai and Hong Kong. Finally, the following main conclusions are drawn: (1) the volatility of the Hong Kong stock market is relatively small, and the amplitude and frequency of the jump are small; while the volatility of the Shanghai market is large, and the jump amplitude and frequency are also higher. 2) in terms of the arrival of the jump spillover information, The response of the Hong Kong stock market is more sensitive and rapid, while the Shanghai stock market is relatively slow.) in the long run, there is a balanced relationship between the volatility of the two markets, and the volatility of the Shanghai stock market has a stronger impact on the volatility of the Hong Kong market. The effect of the fluctuation of Hong Kong market on the fluctuation of Shanghai stock market is weak, and the effect of both of them is very long. In the short term, the effect of the fluctuation in both places is delayed by one day or two days, which is influenced by oneself and weak by the other side. Finally, after summarizing the full text, the paper puts forward some relevant policy suggestions and the shortcomings of this study and prospects for future research.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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