基于改进GARCH-MIDAS模型的巴基斯坦宏观经济变量对卡拉奇股票证券交易所股价波动的影响研究
发布时间：2020-09-12 14:15
目前,在经典的计量经济学研究方法中,研究宏观经济变量与股市价格波动关系的主要有两种方法。第一种方法利用同一频率数据进行研究,第二种方法利用低频股市数据,使股市数据和宏观经济变量数据具有相同的频率。通常,处理具有不同频率的时间序列数据需要将高频数据转换为低频或同频数据,从而导致高频变量中包含了丢失的有价值信息。因此,本研究采用混合数据抽样(MIDAS)方法,包括混合频率数据,即低频(月)和高频(日)数据,研究宏观经济解释变量与股市价格波动之间的关系。由于数据频率限制的问题,传统的同频模型不能用来研究宏观经济解释变量与股市波动之间的因果关系。因此,将恩格尔提出的经典GARCH-MIDAS(Generalized autoregressive conditional heteroskedasticity-Mixed data sampling)模型集成到传统的GARCH模型中,将股票价格波动分解为短期和长期两个分量。此外,为了确保数据的有效利用,通过宏观经济变量解释长期波动。此外,目前的研究在这方面有所不同,因为它通过整合美元-巴基斯坦卢比汇率的高频数据扩展了经典的GARCH-MIDAS模型,并利用已实现的波动性来解释卡拉奇证券交易所(KSE)的长期波动性。另外,在实证部分,建立了多因素和单因素GARCHMIDAS模型,从横向效应、波动性效应的角度分析和估计了KSE的股票市场波动性。此外,本研究选取货币供应量和消费物价指数作为月度(低频)指标,以美元兑巴基斯坦卢比汇率作为日(高频)指标,研究韩国股市的波动性。进而建立基于改进的GARCH-MIDAS模型,实证结果表明,货币供应量的水平和波动性与KSE(卡拉奇证券交易所)股价波动性具有显著的正相关关系。此外,消费者物价指数的水平值与KSE具有显著的负相关,而波动性值与KSE股价波动性无显著关系。此外,美元-PKR汇率的水平和波动性值与KSE股价波动性均呈显著负相关。实证结果表明,多因素模型的估计结果与单因素模型的估计结果基本一致。然而,多因素模型涉及到大量的参数估计,这可能会导致过度参数化等问题,从而使某些系数值不再显著。同时,预测能力分析表明,单因素模型和多因素模型都具有较强的预测能力。多因素水平效应模型的预测能力优于单因素水平效应模型。此外,单因素混合效应模型与多因素混合效应模型的交叉比较表明,多因素混合效应模型更善于解释巴基斯坦股市价格波动的长期组成部分。针对巴基斯坦的实际经济情况,提出并制定了有效的监管政策(货币政策、通货膨胀和汇率方面),进而提高股市效率、引导合理投资、完善信息披露机制等政策建议。最后,阐述了本研究过程中所面临的研究不足和困难以及未来的发展前景。
【学位单位】：中国矿业大学
【学位级别】：博士
【学位年份】：2019
【中图分类】：F135.3;F831.51
【部分图文】：
excess holdings would be invested back into the stock market. This activity would reflected inthe stock market performance and would cause a subsequent increase in the stock prices.During the corresponding study period (2004-2018), Pakistan’s monetary policy hadundergone a process, which saw the money supply move from steady tight loose steadythat was extremely beneficial for the economy. Furthermore, moneysupply, as an intermediatetarget of monetary policy, affects the stock market volatility. Fig. 3-1 displays money supplyfrom July 2004 to September 2018, which illustrates that adoption of an expansionarymacroeconomic policy results in increase in money supply. Additionally, this would cause anincrease in cash in circulation; reduce the cost of the corporate centralized capital, cause anexpansion in company’s expected future operating profit and encourage investment of the idlefunds into the stock market, thus ultimately affecting the stock market prices in a positivemanner. On the other hand, any shortage in money supply would cause a decline in stockmarket prices. Resultantly, any increase in money supply would cause an increase in the stockmarket volatility and vice versa.
004年至2018年消费者价格指数
博士学位论文trade (exports and imports) directly affects the country’s exchange rate. The subsequentincrease/decrease in exchange rate is determined by imports and exports of various sectors.SincepredominantlyPakistanis an import-orientedcountryso exchangeratefluctuation wouldcause the currency to depreciate thus causing a negative effect on the stock market returns.Exchange rate has a negative relationship with stock market returns.
本文编号：2817732
【学位单位】：中国矿业大学
【学位级别】：博士
【学位年份】：2019
【中图分类】：F135.3;F831.51
【部分图文】：
excess holdings would be invested back into the stock market. This activity would reflected inthe stock market performance and would cause a subsequent increase in the stock prices.During the corresponding study period (2004-2018), Pakistan’s monetary policy hadundergone a process, which saw the money supply move from steady tight loose steadythat was extremely beneficial for the economy. Furthermore, moneysupply, as an intermediatetarget of monetary policy, affects the stock market volatility. Fig. 3-1 displays money supplyfrom July 2004 to September 2018, which illustrates that adoption of an expansionarymacroeconomic policy results in increase in money supply. Additionally, this would cause anincrease in cash in circulation; reduce the cost of the corporate centralized capital, cause anexpansion in company’s expected future operating profit and encourage investment of the idlefunds into the stock market, thus ultimately affecting the stock market prices in a positivemanner. On the other hand, any shortage in money supply would cause a decline in stockmarket prices. Resultantly, any increase in money supply would cause an increase in the stockmarket volatility and vice versa.
004年至2018年消费者价格指数
博士学位论文trade (exports and imports) directly affects the country’s exchange rate. The subsequentincrease/decrease in exchange rate is determined by imports and exports of various sectors.SincepredominantlyPakistanis an import-orientedcountryso exchangeratefluctuation wouldcause the currency to depreciate thus causing a negative effect on the stock market returns.Exchange rate has a negative relationship with stock market returns.
本文编号：2817732
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