主要股票市场与货币市场的关联性及协调性研究

发布时间：2018-02-28 10:59

本文关键词： 股票市场货币市场关联性协调性　出处：《华南理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：在金融体系不断开放、竞争持续升级的背景下，不断完善中国的金融体系、加强其竞争力势在必行。由于特殊的国情和历史原因，中国对金融体系实行了一系列政策，比如“先发展资本市场，后发展货币市场”，一定程度上人为地隔离了股票市场和货币市场。在这种特定的政策背景下，针对中国的股票市场和货币市场的关联性及协调性研究有着很大的理论及实践意义。为了衡量股票市场与货币市场的联动性，本文运用了一系列的实证方法，从宏观与微观、静态与动态、短期与长期的角度，首先进行了中国股票市场价格指数与一系列货币市场利率的研究。研究发现股改前后股票市场和货币市场的关联性增强，货币市场和股票市场的联动具有时滞性和非对称性。本文又用相同的方法，对美国、日本和中国三个国家的股票市场进行了宏观与微观、静态与动态、短期与长期的研究，发现三个国家货币市场利率之间的相关性微弱，而三个股票市场之间的相关性显著；股票市场与货币市场相关性方面，美国领先，日本次之，中国最弱；金融体系获取信息能力方面，同样是美国最好，日本次之，中国最弱，这与三个国家金融市场发展历程及特点有关。为了衡量股票市场和货币市场的协调性，本文建立了一个四个层次的简单指标体系，分别是经济适应指标、规模配比指标、市场联动指标及功能发挥指标，逐步递进地对两个市场的协调关系进行了分析。研究发现相对于美国和日本，中国狭义货币市场与经济发展协调度较低，广义货币市场与经济发展匹配度较高，中国股票市场与经济发展匹配度较低；同时，中国货币市场和股票市场匹配度较低，和股票市场相比，狭义货币市场发展滞后、规模偏小，而广义货币市场发展超前、规模偏大，这是由于银行贷款规模过大引起的。相对于美国和日本，，中国货币市场与股票市场联动微弱；中国金融体系最基础的功能未能得到充分发挥。基于得到的研究结论，本文最后提出了增加短期货币市场上短期金融工具的种类、引入机构投资者如货币市场基金、减少政府对股票市场的干预等政策建议。
[Abstract]:Under the background of the continuous opening of the financial system and the continuous upgrading of competition, it is imperative to continuously improve China's financial system and strengthen its competitiveness. Due to special national conditions and historical reasons, China has implemented a series of policies on the financial system. For example, "develop the capital market first, then the money market", to a certain extent, artificially isolate the stock market from the money market. It is of great theoretical and practical significance to study the relationship and coordination between stock market and money market in China. In order to measure the linkage between stock market and money market, this paper uses a series of empirical methods, from the macro and micro, static and dynamic, short-term and long-term perspective, This paper first studies the price index of Chinese stock market and a series of money market interest rates, and finds that the correlation between stock market and money market is stronger before and after the stock reform, and the linkage between money market and stock market has time delay and asymmetry. Using the same method, this paper studies the stock markets of the United States, Japan and China in macro and micro, static and dynamic, short and long term, and finds that the correlation between interest rates in the three countries' money markets is weak. The correlation between the three stock markets is significant; in terms of the correlation between the stock market and the money market, the United States leads, Japan takes the second place, and China is the weakest. In terms of the ability of the financial system to access information, it is also the best in the United States, followed by Japan, and China is the weakest. This with 3 countries financial market development course and characteristic concern. In order to measure the coordination of stock market and money market, this paper establishes a simple index system of four levels, namely, economic adaptation index, scale matching index, market linkage index and function exertion index. This paper analyzes the coordination relationship between the two markets step by step. It is found that compared with the United States and Japan, the narrow money market and the economic development of China have a lower degree of coordination, while the broad money market has a higher matching degree with the economic development. The matching degree between Chinese stock market and economic development is low. At the same time, the matching degree between Chinese money market and stock market is lower. Compared with the stock market, the narrow money market is lagging behind and the scale is small, while the broad money market is ahead of the others. China's currency and stock markets are weak relative to those of the United States and Japan, and the most fundamental functions of China's financial system have not been fully developed. Based on the research conclusions, this paper finally puts forward some policy suggestions such as increasing the types of short-term financial instruments in the short-term money market, introducing institutional investors such as money market funds, and reducing government intervention in the stock market.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F822.0;F224

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