汇率、国内外债券收益率对我国上证综指的影响分析

发布时间：2018-03-09 22:08

本文选题：传导机制　切入点：主成分分析　出处：《上海外国语大学》2017年硕士论文　论文类型：学位论文

【摘要】：在全球经济一体化的时代背景下,各国经济发展就像一个命运共同体,而中国作为新兴国家代表和世界第一贸易大国,无疑与其他国家的联系日益密切。一方面,国际因素对中国资本市场的影响逐步深化。另一方面,国内股市、债市、汇市的三市联动机制也进一步加强。基于此,本文主要运用ADL模型和主成分分析法研究了汇率、国内外债券收益率对我国上证综指的影响。理论上,分别探讨了汇率与股价之间的流量导向型理论和IS-LM-IA理论;利率与股价之间的现金流贴现理论和资本资产定价理论,并研究分析了汇率、利率对股价的传导机制。实证上,以2013年1月1日-2016年11月30日的日度数据为样本区间,借助MATLAB和EVIEWS计量软件进行模型的构建和检验。其中,因变量为上证综指收益率,主要自变量分别为人民币兑美元的即期汇率;中国、美国的10年期国债收益率及其滞后变量,同时加入了时间因素的影响。为了消除原始自变量之间的多重共线性,选择了主成分回归的方法,最终选择了两个主成分,根据其构成形式分别表示为汇率、中美国债收益率的股市综合外在影响因素代理变量F1及收益率自身滞后一期的内在影响因素代理变量F2。在以主成分为自变量的回归模型中,虽然消除了多重共线性,但是显著性检验不能通过,最终的模型显示,主成分F1、F2均与因变量股指收益率呈负相关关系。而F1又分别与汇率负相关,与中美国债收益率正相关,进而说明了我国股市与人民币汇率之间呈正相关关系,与中美国债收益率之间呈负相关关系。其中,汇率与股指收益率的正相关关系可能是由于研究样本期间内股市出现了大涨大跌的异常剧烈波动现象所致。而我国国债收益率对股市的影响遵循社会总供求效应和资产组合替代效应。汇率对股市的影响遵循竞争力效应。另外,股指自身滞后一期的代理变量F2与因变量之间呈负相关关系,也与我国A股市场涨跌震荡交替的市场常态相吻合。最后,汇率、中美国债收益率对应的最佳滞后期均为1期,而股指自身的最佳滞后期则分别为2期和3期。与此同时,股指表现还受时间因素的影响。总之,汇率,中美国债收益率确实能对我国A股市场产生较显著的影响,且具有时滞效应。为了保持学术的严谨性,最终的模型还通过了ADF单位根检验来保证变量序列的平稳性、通过了协整检验来说明研究变量之间存在长期均衡关系、通过了白噪声检验和异方差检验以进一步排除伪回归的可能,并进行了格兰杰因果分析。最后,笔者分别提出了提升我国股票市场稳定性和收益率的三点建议。总之,希望通过本文得出的合理经济模型,能更全面地揭示影响我国上证综指走势的国内外因素,进而促进投资者做出更合理投资决策。
[Abstract]:In the context of the era of global economic integration, the economic development of all countries is like a community of destiny, while China, as the representative of the emerging countries and the world's largest trading country, is undoubtedly increasingly closely linked with other countries. On the one hand, The influence of international factors on China's capital market is gradually deepening. On the other hand, the linkage mechanism of domestic stock market, bond market and foreign exchange market is further strengthened. Based on this, this paper mainly uses ADL model and principal component analysis method to study the exchange rate. The influence of bond yield at home and abroad on the Shanghai Composite Index. Theoretically, the paper discusses the flow oriented theory and IS-LM-IA theory between exchange rate and stock price, the discounted cash flow theory between interest rate and stock price, and the capital asset pricing theory. The paper also analyzes the transmission mechanism of exchange rate and interest rate to stock price. Empirically, taking the daily data from January 1st 2013 to November 30th 2016 as sample interval, the model is constructed and tested by MATLAB and EVIEWS. The dependent variable is the yield of the Shanghai Composite Index, the main independent variable is the spot exchange rate of RMB against the US dollar. At the same time, the influence of time factor is added. In order to eliminate the multiple collinearity between the original independent variables, the principal component regression method is chosen, and finally two principal components are selected, which are expressed as exchange rate according to their constituent form. The stock market of the yield of Chinese and American Treasuries synthesizes the agent variable F1 of external influencing factors and the agent variable F2 of internal influencing factor of the lag period of yield itself. In the regression model with principal component as independent variable, although the multiple collinearity is eliminated, But the significance test can not pass. The final model shows that the principal component F1F _ 2 has a negative correlation with the yield of the dependent variable stock index, while F1 has a negative correlation with the exchange rate, and a positive correlation with the yield of Chinese and American Treasuries. It shows that there is a positive correlation between China's stock market and RMB exchange rate, and a negative correlation with the yield of Chinese Treasury bonds. The positive correlation between the exchange rate and the stock index yield may be due to the dramatic fluctuation of the stock market during the study period. However, the effect of the bond yield on the stock market follows the total social supply and demand effect. And portfolio substitution effects. Exchange rate effects on the stock market follow the competitiveness effect. In addition, There is a negative correlation between the proxy variable F2 and the dependent variable in the stock index itself, and it is also consistent with the normal state of the A-share market in China. Finally, the best lag between the exchange rate and the yield of Chinese and American Treasury bonds is 1 period. At the same time, the performance of the stock index is also affected by time factors. In short, the exchange rate and the yield rate of the Chinese Treasury bonds do have a more significant impact on China's A-share market. In order to maintain academic rigor, the final model also adopts ADF unit root test to ensure the stability of variable sequence, and cointegration test is used to show that there is a long-term equilibrium relationship between variables. White noise test and heteroscedasticity test are adopted to further eliminate the possibility of pseudo regression, and Granger causality analysis is carried out. Finally, the author puts forward three suggestions to improve the stability and yield of stock market in China. It is hoped that the reasonable economic model can fully reveal the domestic and foreign factors that affect the trend of the Shanghai Composite Index and promote investors to make more reasonable investment decisions.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F832.6

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