沪深股市联动效应研究——微观基础与实证检验

发布时间：2018-06-18 19:17

本文选题：沪深股市 + 联动效应　；参考：《技术经济与管理研究》2017年03期

【摘要】：不同证券市场联动是金融自由化、一体化的标志,也是诱发金融动荡的重要因素。文章通过构建散户投资者决策行为的微观理论模型,演绎证券市场联动效应的内生机理并提出理论假说,进而采用VEC-GARCH-CCC模型进行实证检验。研究表明沪深两市指数存在长期一致性,收益率存在短期双向因果联系,沪市对深市的影响占据主导地位。两市收益率服从"尖峰厚尾"的t分布特征而且存在波动的聚集性与长期持续性,但是"新"、"旧"信息以及"利好"、"利空"信息对市场的冲击不存在差异性。实证结论不仅支持了理论假说,而且对于金融监管当局维持证券市场稳定以及投资者合理制定投资决策都具有重要的启示意义。
[Abstract]:The linkage of different securities markets is the symbol of financial liberalization and integration, and the important factor that induces financial turbulence. By constructing the micro theoretical model of the decision behavior of retail investors, this paper deduces the endogenous mechanism of the linkage effect of the securities market and puts forward the theoretical hypothesis, and then uses the VEC-GARCH-CCC model to carry on the empirical test. The results show that the index of Shanghai and Shenzhen stock market is consistent for a long time, and the return rate is short term two-way causality, and the influence of Shanghai stock market on Shenzhen stock market is dominant. The yield of the two cities is characterized by t distribution of "peak and thick tail" and there is aggregation and long-term persistence of volatility, but there is no difference in the impact of "new", "old" information and "good" and "bad" information on the market. The empirical results not only support the theoretical hypothesis, but also have important implications for the financial regulatory authorities to maintain the stability of the securities market and investors to make reasonable investment decisions.
【作者单位】：陕西学前师范学院;西安交通大学经济与金融学院;
【基金】：国家社会科学基金重大项目(12&ZD071)
【分类号】：F832.51

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