全球金融危机对中国证券市场的影响
发布时间：2021-09-22 14:47
本文主要关注全球金融危机对中国股票市场的有效性、股票价格和汇率之间的因果关系以及首次公开发行的影响。在国际金融危机过去的几年里,由于危机本身所具有的传播性特征,中国的股市也面临着衰退的考验,股价在2008年的第四季度跌到了最低点。股价的这种下降趋势对于检验股市的有效性有着特别的意义。全球大部分股票市场特别是发展中国家的股票市场是缺乏有效性的,因此世界各国各地区都在努力创造有效的资本市场,旨在最大化地利用资本这一资源。为了考察中国股市的有效性,笔者将数据分成两部分,一部分取自国际金融危机发生之前的数据,另一部分为金融危机发生期间的数据。笔者通过采用增广的迪基-富勒检验（ADF检验）、单位根检验、PP检验（Philip Perron Test）和KPSS检验的方法对数据的平稳性进行测试。研究的结果表明中国的股票市场是弱势有效的,因此投资者将无法通过对股价过去的历史进行数据分析而取得超额收益,同时结果也表明此次国际金融危机并没有对中国股市的有效性产生显著的影响。进一步地,本文试图研究股价变化与汇率变动之间的长期关系。由于这两个变量在影响一个国家资金的流入与流出中发挥着不可忽视的作用,因此理解...
【文章来源】：华中科技大学湖北省 211工程院校 985工程院校 教育部直属院校
【文章页数】：144 页
【学位级别】：博士
【文章目录】：
摘要
Abstract
List of Tables
List of Figures
1 INTRODUCTION
1.1 Global Financial Crisis
1.2 Purpose and Significance of Study
1.3 Contents of Study
1.4 Research Background
2 Review of Literature
2.1 Market Efficiency
2.2 The Relationship between Stock Prices and Exchange Rates
2.3 The Performance of IPOs Market in Global Financial Crisis
3 Data and Methodology
3.1 Methodology for Measuring Stock Market Efficiency
3.2 Methodology for Measuring Relationship Between Stock Prices andExchange Rates
3.3 Methodology for IPOs Underpricing and Performance
4 Chinese Stock Market Efficiency
4.1 Before Crisis Efficiency Tests
4.2 During Crisis Efficiency Tests
5 The Relationship between Stock Prices and Exchange Rates
5.1 Before Crisis Nature of relation between Stock Prices and ExchangeRates
5.2 During Crisis Nature of Relation between Stock Prices and ExchangeRates
6 Global Financial Crisis and Chinese IPOs Market
6.1 Effect of Global Financial Crisis on IPOs performance
6.2 Comparison of Chinese IPO Underpricing and Performance during Asianand Prevailing Global Economic Crisis
7 Conclusion
7.1 Concluding Remarks
7.2 limitations
Acknowledgement
References
APPENDIX:PUBLICATIONS
本文编号：3403936
【文章来源】：华中科技大学湖北省 211工程院校 985工程院校 教育部直属院校
【文章页数】：144 页
【学位级别】：博士
【文章目录】：
摘要
Abstract
List of Tables
List of Figures
1 INTRODUCTION
1.1 Global Financial Crisis
1.2 Purpose and Significance of Study
1.3 Contents of Study
1.4 Research Background
2 Review of Literature
2.1 Market Efficiency
2.2 The Relationship between Stock Prices and Exchange Rates
2.3 The Performance of IPOs Market in Global Financial Crisis
3 Data and Methodology
3.1 Methodology for Measuring Stock Market Efficiency
3.2 Methodology for Measuring Relationship Between Stock Prices andExchange Rates
3.3 Methodology for IPOs Underpricing and Performance
4 Chinese Stock Market Efficiency
4.1 Before Crisis Efficiency Tests
4.2 During Crisis Efficiency Tests
5 The Relationship between Stock Prices and Exchange Rates
5.1 Before Crisis Nature of relation between Stock Prices and ExchangeRates
5.2 During Crisis Nature of Relation between Stock Prices and ExchangeRates
6 Global Financial Crisis and Chinese IPOs Market
6.1 Effect of Global Financial Crisis on IPOs performance
6.2 Comparison of Chinese IPO Underpricing and Performance during Asianand Prevailing Global Economic Crisis
7 Conclusion
7.1 Concluding Remarks
7.2 limitations
Acknowledgement
References
APPENDIX:PUBLICATIONS
本文编号：3403936
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