中美股市动态相关性及驱动因素分析

发布时间：2018-01-01 05:38

本文关键词：中美股市动态相关性及驱动因素分析　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着世界经济一体化和金融全球化趋势的越来越强,以及互联网信息技术的不断发展,国际上主要股票市场经常呈现出同涨同跌的现象。世界上主要股票市场之间的联动性不断加强,对股票市场之间相关性的研究不仅对投资者在风险分散、判断股票市场走势及资产定价方面等具有重要的参考价值,而且对政府当局规避由于外部金融危机风险给本国股票市场带来的波动和为实现本国金融市场的稳定性而进行有效的市场监管也具体十分重要的政策意义。随着中国对外贸易经济的发展和一系列股市制度市场化改革的实施,中国股票市场与世界主要发达股票市场之间的联系越来越紧密,特别是在美国次贷危机后,中美股票市场之间的相关性呈现出新的特征。本文在回顾国内外股市之间的联动性理论和实证研究文献的基础上,对股市之间联动性的内在机理和传导渠道进行了系统的规范分析,理论上将股票市场之间相关性的传播途径归纳为进出口贸易、外商直接投资、投资者心理预期和市场之间传导四个方面,然后从这四个方面分析了股票市场之间相关性的国内外影响因素。接着以2002年到2013年沪深300指数和美国道琼斯指数的收益率为研究对象,首先以EGARCI模型考察中美股市的波动性特征并从中得到中美股市的条件波动率,进而运用多元GARCH-BEKK模型计算出中国与美国股市的动态相关系数,并从实体经济因素、金融因素、宏微观因素和极端事件因素来分析动态相关系数变化的原因。在此基础上,将以上因素相关的经济变量与动态相关系数建立向量自回归模型并进行脉冲响应和方差分解分析,以探讨两国宏微观经济因素对动态相关系数的影响,得到的结论是：沪深股市作为新兴的股票市场,其波动特征与美国股市一样,呈现出波动的集群性、持续性和非对称性的特点；在整个样本区间内的大部分时间段,沪深300指数的条件波动率大于道琼斯指数的条件波动率。在影响中美股市动态相关性的中国因素中,长期来看,外商直接投资因素对中美股市相关性有负向影响,外贸依存度和中国货币供应量的变动对股市相关性有正向影响。中国股市波动率是影响股市相关性的主要解释变量,对股市动态相关系数的冲击较大；在影响中美股市动态相关性的美国因素中,长期内美国货币供应量和联邦基金利率的变动对股市相关性有正向影响,美国货币供应量的变动是影响股市相关性的主要解释变量,对股市动态相关系数的冲击较大。最后本文依据实证结论分别提出防范内部和外在风险的相关政策建议。
[Abstract]:With the increasing trend of the world economic integration and financial globalization, as well as the continuous development of Internet information technology. The international main stock market often presents the phenomenon of rising and falling. The linkage between the main stock markets in the world is constantly strengthened. The research on the correlation between the stock markets not only distributes the risk to investors. Judging the trend of stock market and asset pricing has important reference value. It is also of great policy significance for the government to avoid the volatility of the domestic stock market due to the risk of the external financial crisis and to carry out effective market supervision in order to realize the stability of the domestic financial market. The development of China's foreign trade economy and the implementation of a series of market-oriented reforms of the stock market system. The relationship between China's stock market and the major developed stock markets in the world is getting closer and closer, especially after the subprime mortgage crisis in the United States. The correlation between Chinese and American stock markets shows new characteristics. This paper reviews the domestic and foreign stock market linkage theory and empirical research on the basis of literature. The internal mechanism and transmission channel of the linkage between the stock market are analyzed systematically and normative. In theory, the transmission channels of the correlation between the stock market are summarized as import and export trade, foreign direct investment. There are four aspects of investor psychological expectation and market transmission. Then it analyzes the domestic and foreign influencing factors of the correlation between stock market from these four aspects, and then takes the yield of Shanghai and Shenzhen 300 Index and Dow Jones Index from 2002 to 2013 as the research objects. Firstly, the EGARCI model is used to investigate the volatility characteristics of the Chinese and American stock markets and the conditional volatility of the Chinese and American stock markets is obtained. Then using the multivariate GARCH-BEKK model to calculate the dynamic correlation coefficient between China and the United States stock market, and from the real economic factors, financial factors. Macro and micro factors and extreme event factors are used to analyze the causes of dynamic correlation coefficient change. A vector autoregressive model is established between the economic variables and the dynamic correlation coefficient of the above factors, and the impulse response and variance decomposition analysis are carried out to study the influence of macro and micro economic factors on the dynamic correlation coefficient. The conclusions are as follows: as a new stock market, the volatility of Shanghai and Shenzhen stock market is similar to that of American stock market, showing the characteristics of cluster, persistence and asymmetry; During most of the sample period, the conditional volatility of CSI 300 index is higher than that of Dow Jones Index. Foreign direct investment factors have a negative impact on the correlation between Chinese and American stock markets. The dependence of foreign trade and the change of Chinese money supply have a positive effect on the correlation of stock market. The volatility of Chinese stock market is the main explanatory variable which has a great impact on the dynamic correlation coefficient of stock market. Among the American factors that influence the dynamic correlation of the Chinese and American stock markets, the changes of the US money supply and the federal funds rate have a positive impact on the stock market correlation in the long run. The change of money supply in the United States is the main explanatory variable that affects the correlation of stock market. The impact on the dynamic correlation coefficient of the stock market is strong. Finally, based on the empirical conclusions, this paper puts forward relevant policy recommendations to guard against internal and external risks.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F837.12

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