经济全球化背景下中外股市联动性研究

发布时间：2018-02-02 08:36

本文关键词： 经济全球化股指联动性　出处：《新疆财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着经济全球化的不断发展，国家间的经济交往越来越频繁，一国经济的扩张或者收缩会影响到与这个国家经济联系密切的国家的经济发展，而反映国家宏观经济走势好坏的重要的指标---股票指数，也会相应的受到影响。中国与世界经济联系日益紧密，中国经济发展不仅受到本国相关因素的制约和影响，也会受到世界上其他国家经济对中国经济发展的冲击，中国股票市场也会受到国外股票市场的影响，并逐步与国外股市呈现出越来越强的联动性。本文从经济基础和行为金融学两个方面介绍了股市联动的理论基础，并从国际贸易、资本流动、预期、信息传递角度分析了股市联动的传播途径，然后选取1996年至2013年中国和其他六个国家的股指数据，以中国加入世界贸易组织和2008年金融危机两个事件将研究期间划分成3个阶段，分别对三个阶段建立向量自回归模型，对其进行相关系数检验、单位根检验、格兰杰因果关系检验、脉冲响应函数和方差分解分析，，得出结论:随着中国融入全球化程度的不断加深，中外股市的联动性在不断加强，中外股市相互影响程度越来越深。中外股市联动性的加强，使得中国股票市场呈现出越来越频繁的波动性，而股票市场的适当波动可以提高股票市场配置资源的效率，并推动技术的创新和发展，股票市场的过度波动会导致收入分配不合理，引发信用危机，并影响到实体经济的正常发展，为避免中外股市联动性加强后中国股市过度波动对中国造成的不利影响，本文认为应该从以下几个方面着手：一、完善股票市场法规建设；二、加强对股市的监管；三、完善上市公司治理；四、防范金融风险跨市场传播。
[Abstract]:With the continuous development of economic globalization, economic exchanges between countries are more and more frequent. The expansion or contraction of a country's economy will affect the economic development of countries with close economic ties. The stock index, an important indicator of the country's macroeconomic trend, will also be affected. China is increasingly closely linked to the world economy. China's economic development is not only restricted and influenced by its own relevant factors, but also by the impact of other countries' economies on China's economic development. The Chinese stock market will also be affected by foreign stock markets. And gradually with the foreign stock market presents a more and more strong linkage. This paper introduces the theoretical basis of stock market linkage from the aspects of economic base and behavioral finance, and analyzes the transmission ways of stock market linkage from the angles of international trade, capital flow, expectation and information transmission. Then the index data of China and other six countries from 1996 to 2013 were selected and divided into three stages according to the two events of China's accession to the World Trade Organization and the 2008 financial crisis. Three stages of vector autoregressive model were established, and the correlation coefficient test, unit root test, Granger causality test, impulse response function and variance decomposition analysis were carried out. The conclusion is: with the deepening of China's integration into globalization, the linkage of Chinese and foreign stock markets is constantly strengthened, and the mutual influence of Chinese and foreign stock markets is getting deeper and deeper. With the strengthening of the linkage between Chinese and foreign stock markets, the Chinese stock market presents more and more frequent volatility, and the appropriate volatility of the stock market can improve the efficiency of the allocation of resources in the stock market. And promote the innovation and development of technology, the excessive volatility of the stock market will lead to unreasonable income distribution, lead to credit crisis, and affect the normal development of the real economy. In order to avoid the adverse effect on China caused by excessive fluctuation of Chinese stock market after the strengthening of Chinese and foreign stock market linkage, this paper thinks that we should start from the following aspects: first, perfect the construction of stock market laws and regulations; Second, strengthen the supervision of the stock market; Third, improve the governance of listed companies; Fourth, prevent the spread of financial risks across the market.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.51

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