中国和东盟股市收益的动态相关性研究

发布时间：2018-01-01 04:40

本文关键词：中国和东盟股市收益的动态相关性研究　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

更多相关文章： 股市收益 动态相关性 DCC-GARCH

【摘要】：随着全球化的深入发展,各国经济体间之间的关系日益,尤其是各国金融体系联系日趋紧密,国际间股票市场收益的相关性逐渐增强。2008年,由美国次贷危机引发的全球经济危机对世界各国经济都造成巨大冲击,这次危机使得更多学者开始关注和研究本国内股票市场与国际股票市场的关系。与此同时,中国正处于金融体制改革深水区,金融市场逐步开放会促进经济发展也将带来更多风险,增加了经济不稳定性。研究中国与其他经济体之间股票市场收益的动态相关性,既有利于规避国际金融风险,又有利于拓宽我国企业投资渠道。本文选取东盟10国(缅甸、柬埔寨、泰国、马来西亚、新加坡、印度尼西亚、越南、老挝、菲律宾和文莱)作为研究对象,研究其与中国股票市场收益率动态相关性。东盟国家从地理位置来看和我国处于同一区域,地缘联系紧密;从经济发展水平和阶段来看,大部分的东盟国家和我国一样都属于发展中国家;从股票市场发展的历史来看,大部分东盟国家建立股票市场的初衷是为了解决国有企业融资困难,促进国内民营经济的发展,股票市场相似的背景使得研究我国和东盟国家股票市场收益是否存在动态相关性具有一定的可能。东盟很多国家的证券交易所建立的比较早,但是直到20世纪80年代末期,东盟各国股票市场的资本量仍然非常有限,股票市场的规模比较小。随着该地区经济的飞速发展,尤其是2008年金融危机之后,在发达国家经济增速普遍减缓,投资渠道和收益趋于固定的情况下,东盟经济整体的高增速和日趋完善的金融市场监管,使得外国投资者对该地区的投资兴趣高涨,同时,经济不断增长反过来又带动了东盟各国股票市场迅速成长。本文通过研究中国与东盟国家间股票市场收益率的动态相关关系,探究中国股票市场与东盟各国家股票市场的关联程度,据此从股票市场反映中国与东盟各国间的经济关联程度。此外,通过对股票收益率的研究来探究在中国与东盟股票市场上用以获得更大收益率,有效分散风险的投资策略。本文实证方法为:首先对选取数据进行自相关、平稳性和条件异方差检验。之后按照DCC-GARCH模型的两步估计法,建立GARCH(1,1)模型进行参数估计,第二步用GARCH(1,1)模型估记结果的标准残差值估计变量间动态相关系数。本文实证结果表明,中国股票市场收益率与马来西亚、新加坡和印度尼西亚在样本区间内为持续正相关关系,动态相关系数平均值绝对值较大,但波动性也较大,这表明中国与马来西亚、新加坡和印度尼西亚股票市场相互影响较大,且收益率同向变动。中国与越南、泰国和菲律宾市场股票收益率相关性变动较小,大致呈正相关关系,相关系数在0.1左右,为较弱正相关关系。中国股票市场收益率与新加坡和泰国的股票市场收益率之间的相关性明显高于越南的相关性,和印度尼西亚以及菲律宾的股票市场收益率之间的正相关关系正在逐渐的消失,金融危机之后,我们国家股票市场受到的冲击,显然比预想的要更加严重,另外,印度尼西亚、菲律宾的股票市场开放程度高,资本得以自由流动,迅速的从金融危机的冲击中恢复过来。东盟各国股票市场与中国股票市场相关关系总体呈正相关关系,不同国家不同时间的相关性又存在多样化差异。这种多样化相关性差异够给为各国,尤其是中国投资者提供多样化投资选择,使投资者通过分散投资组合减低投资风险,获得更高投资收益。
[Abstract]:With the further development of globalization, the relationship between national economies increasingly, especially in the financial system of the country increasingly close contact between international stock market revenue increased.2008, U.S. subprime mortgage crisis triggered by the global economic crisis has caused a huge impact on the world economy, this crisis has brought more and more scholars began to pay attention to and study the relationship between the domestic and international stock market. At the same time, Chinese is in the reform of financial system in the deep water area, the gradual opening up of financial markets will promote economic development will also bring more risk and increase economic instability. The dynamic study of the correlation between the Chinese and other economies in stock market returns, which is conducive to circumvent international financial risks it helps to broaden the investment channels for Chinese enterprises. This paper selects 10 ASEAN countries (Burma, Kampuchea, Thailand, Malaysia, singapore, Indonesia, Vietnam, Laos, Philippines and Brunei) as the research object, and study the stock market rate of return Chinese. The dynamic correlation between ASEAN countries geographically and in China in the same region, geopolitical closely; from the level and stage of economic development, most of the ASEAN countries and China are from developing countries; the history of the development of the stock market, most of the ASEAN countries, the establishment of the stock market, the original intention is to solve the financing difficulties of state-owned enterprises, promote the development of the domestic private economy, the stock market is similar to that of the background makes the research of stock market returns in China and ASEAN countries are dynamic correlation has certain possibilities. Many countries of ASEAN's stock exchange established earlier until the end of the 1980s, however, the amount of capital of ASEAN stock market stock market is still very limited. The relatively small scale. With the rapid development of the regional economy, especially in 2008 after the financial crisis, generally the slowdown in economic growth in developed countries, investment channels and income tends to be fixed, the high growth rate of the overall ASEAN Economic and improvement of financial market supervision, so that foreign investors is rising, investment in the region of interest at the same time in turn, economic growth driven by the ASEAN countries stock market grew rapidly. Through the research and Chinese among ASEAN countries stock market returns the dynamic correlation, correlation degree of stock market and the stock market to explore Chinese ASEAN countries, which reflect from the stock market Chinese and ASEAN countries between the degree of Economic Association. In addition, through study on stock returns to explore in the China with ASEAN on the stock market to obtain greater returns, effectively spread the risk of investment Strategy. In this paper the empirical methods are: firstly, selecting data autocorrelation, stationarity and conditional heteroskedasticity test. Then according to the DCC-GARCH model of two step estimation, the establishment of GARCH (1,1) model for parameter estimation, the second step GARCH (1,1) model to estimate the residual difference estimation results on standard variables of dynamic correlation coefficient. The empirical results show that the stock market returns China rate and Malaysia, Singapore and Indonesia continued positive correlation in the sample interval, the dynamic correlation coefficient of average absolute value is larger, but the volatility is larger, which indicates that the Chinese and Malaysia, Singapore and Indonesia stock market are affected, and the yield change in the same direction. China with Vietnam, Thailand and Philippines stock market rate of return correlation varies less, generally positively correlated relationship, the correlation coefficient is about 0.1, as a weak positive correlation. Return Chinese stock market rate and a correlation between Singapore and Thailand stock market yields significantly higher than Vietnam's correlation and positive relationship between the Indonesia and Philippines stock market return rate is gradually disappear after the financial crisis, our country stock market impact, obviously more serious than expected, in addition, Indonesia, Philippines's stock market opening degree is high, capital can flow freely, quickly recover from the financial crisis. The relationship between ASEAN countries stock market and China stock market overall positive correlation, correlation between different countries and different time difference. The relationship between diversification diversification to enough for all countries, especially China provide investors with diversified investment options, making investors through portfolio diversification to reduce investment risk To gain higher investment returns.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F831.51

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