大中华区股票市场波动性及传导机制研究

发布时间：2018-02-23 20:48

本文关键词： 大中华区股市风险溢价杠杆效应动态联动性传导机制　出处：《安徽财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文选用一元GARCH模型族中的GARCH-M、EGARCH模型分别分析大中华区各股市波动性中的风险溢价以及杠杆效应；用多元GARCH模型族中的VECH-GARCH、DCC-GARCH、BEKK-GARCH模型来分别分析大中华区股市间的相关性、动态联动性、传导机制。研究结果表明：大中华区各股市存在着正的风险溢价和明显的杠杆效应；各股市之间的相互影响是持久的,2006年基本完成股改之后,内地股市与外海市场的相关程度明显增强；而且只存在内地股市向海外股市的单向传导机制,内地股市之间、港台股市之间存在着双向传导机制。由此可见,对大中华区股市波动性及其传导机制的研究可以多方面的刻画大中华区股市波动性的内涵,丰富了我国关于研究股市的波动性及波动之间的相关关系的理论。并且系统地研究大中华区股市波动性及其传导机制,不但可以为跨区域的广大投资者构建多样化投资组合、防范和规避金融风险等提供有力的参考,而且还可以为相关部门制定和执行宏观金融政策提供有价值的参考。因此本文对大中华区股市波动性及传导机制研究,具有重要的理论和实践意义。对大中华区各股市建立GARCH-M模型,以分析各股市的风险溢价情况。结果表明：各股市都存在着正的风险溢价。其中深圳股市的风险溢价系数最高,当增加一单位风险时(σ),深圳股市增加1.2231单位回报,上海、香港、台湾股市分别增加1.1939、0.5630、0.4104单位回报。风险越高,收益也越高。这表明,我国内地的上海、深圳股市存在着丰厚的投资回报。当投资者选择在此区域投资时,增加相同的风险,相对于大中华区其他股市,在中国内地股市得到的回报会更丰厚些。对大中华区各股市建立EGARCH模型,以分析各股市的杠杆效应。结果表明：各股市都存在明显的杠杆效应。当出现相同的利好消息冲击时,波动最大的是上海股市,依次是深圳股市、台湾股市、香港股市。当出现相同的利空消息时,波动最大的是上海股市,依次是台湾股市、香港股市、深圳股市。而且同等利好消息的对股市造成的冲击小于同等利空消息对股市造成的冲击。根据各股市的EGARCH模型结果,绘制出信息冲击曲线,也可以很直观的看出：信息冲击曲线是非对称的,左边的信息冲击曲线明显比右边的陡。意味着当出现负冲击时(利空消息),该冲击对各股票市场产生的波动要明显大于出现正冲击时(利好消息)所带来的波动,即各市场对于利空消息的反应要更加强烈。用多元对角VECH-GARCH模型分析整个大中华区四个股市之间的相关关系,结果表明：大中华区的日收益率波动的条件方差之间的相互影响是持久的,大中华区股市的波动呈现出趋同的现象。用多元DCC-GARCH模型分析它们之间的动态联动性,分析结果表明：2006年中国内地基本完成股改以后,沪深股市相关性明显的增强,而且内地股市之间及与香港股市之间的相关性显著的提高,这表明股改对我国的股市发展有着积极的意义；2006年股改基本完成和2008以来积极的两岸政策,导致两岸股市的相关性明显增强；而香港和台湾股市的相关性受国际股市的影响较大。使用多元非对称BEKK-GARCH模型分析整个大中华区四个股市之间的波动溢出效应,以得到它们之间的传导机制。结果表明：在所选取的显著水平下,上海股市与深圳股市之间存在着双向的传导机制；上海股市、深圳股市与香港、台湾股市只存在内地向海外股市的单向传导机制,香港股市与台湾股市之间存在着双向的传导机制。这表明在大中华区股市中,中国内地股市对其他股市的影响越来越大,其他股市对中国内地股市的影响不是很显著,内地股市受自身因素的影响较大。
[Abstract]:This paper analyzes the risk premium and the leverage effect of the stock market in Greater China . The research results show that there is positive risk premium and obvious leverage effect in the stock market in Greater China . The research results show that the volatility of Chinese stock market and its transmission mechanism can provide a strong reference for the development of diversified portfolios , prevention and avoidance of financial risks . The stock market in Greater China has been set up to analyze the risk premium of stock markets . The results show that there is a positive risk premium in the stock markets . The higher the risk premium of Shenzhen stock market , the higher the return of the Shenzhen stock market by 1.2231 units , the higher the risk and the higher the yield . This shows that the higher the risk is , the higher the returns are . The higher the risk is , the higher the return of the stock market in the mainland of China will be more profitable than the other stock markets in Greater China . The stock market in Shanghai , in turn , is Shanghai stock market , which is Shanghai stock market , Taiwan stock market and Shenzhen stock market . When there is the same benefit news , the biggest fluctuation is Shanghai stock market , which is the Taiwan stock market , the Hong Kong stock market and the Hong Kong stock market . The correlation between the four stock markets in Greater China is analyzed by a multi - element diagonal VECH - ARCH model . The results show that the mutual influence between the conditions variance of the daily yield fluctuation in Greater China is lasting . The correlation between the stock market and the stock market in China is obviously enhanced after the stock reform in China in 2006 . The results show that the correlation between the stock market and the stock market of the mainland is obviously enhanced after the reform of the mainland in 2006 and the positive cross - strait policy since 2008 . The correlation between the stock market in Hong Kong and Taiwan is greatly influenced by the international stock market . The results show that there is a two - way conduction mechanism between Shanghai stock market and Shenzhen stock market . The results show that there is a two - way conduction mechanism between Shanghai stock market and Shenzhen stock market .

【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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