我国A股市场和美国国债市场间的溢出效应研究

发布时间：2018-03-16 11:26

本文选题：上证综合指　切入点：数美国国债市场　出处：《山东财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：经济全球化和金融自由化大大提高了资源的配置效率，，促进了全球经济的发展。与此同时，金融自由化让信息在金融市场间的传递也越来越迅速，国际资本流动更加便利。由于国际资本流动的不稳定性和投机性，各国经济和金融更容易受到国际资本流动的影响和冲击。1998年的亚洲金融危机和2008年的全球金融危机表明了国际资本的流动促使风险在不同金融市场间传递。随着我国加入WTO以及资本市场的对外开放，我国金融市场尤其股票市场受国际金融市场的影响越来越大。美国国债市场作为最重要的国际金融市场，它影响着避险资金等金融资本的流向，进而对其他金融市场产生影响。研究我国A股市场和美国国债市场的溢出效应不仅可为监管当局制定政策维护A股市场稳定和健康发展提供参考，还找到了影响A股市场走势的又一重要因素，提高交易决策的科学性。因此，研究我国A股市场和美国国债市场间的溢出效应有着重要的现实意义。本文运用VAR-MGARCH（1，1）-BEKK模型对我国A股市场和美国国债市场间的均值溢出效应和波动溢出效应进行研究，研究是否存在均值溢出效应和波动溢出效应以及均值溢出效应和波动溢出效应的方向，对实证研究结果做了相应的分析，探究其形成原因，最后给监管当局和投资者提出相关的政策建议。本文得出了以下结论：（1）上证综合指数和美国十年期国债收益率之间存在协整关系即长期稳定的均衡关系以及上证综合指数变动不能Granger引起美国十年期国债收益率的变动，而美国十年期国债收益率变动能Granger引起上证指数的变动。（2）由VAR模型可知上证综合指数对美国十年期国债收益率没有显著影响，即A股市场对美国国债市场不存在均值溢出效应；美国十年期国债收益率对上证综合指数有显著影响，即美国国债市场对A股市场存在均值溢出效应。（3）由GARCH（1，1）-BEKK模型和Wald检验得出美国十年期国债收益率和上证综合指数间存在双向的波动溢出效应，即美国国债市场和A股市场间存在双向的波动溢出效应。
[Abstract]:Economic globalization and financial liberalization have greatly improved the efficiency of resource allocation and the development of the global economy. At the same time, financial liberalization has allowed information to be transmitted more and more rapidly among financial markets. International capital flows are more convenient. Because of the instability and speculative nature of international capital flows, The Asian financial crisis in 1998 and the global financial crisis in 2008 have shown that international capital flows facilitate the transmission of risk among different financial markets. China's entry into WTO and the opening of the capital market to the outside world, China's financial market, especially the stock market, is increasingly affected by the international financial market. As the most important international financial market, the US Treasury bond market affects the flow of financial capital such as safe haven funds. The study of spillover effects of A-share market and Treasury bond market in China can not only provide a reference for the regulatory authorities to formulate policies to maintain the stability and healthy development of A-share market. It also finds another important factor that affects the trend of A share market and improves the scientificalness of transaction decision. Therefore, it is of great practical significance to study the spillover effect between the A share market and the US Treasury bond market in China. In this paper, the mean and volatility spillover effects between the A-share market and the Treasury bond market in China are studied by using VAR-MGARCHKK model. This paper studies the existence of mean spillover effect and volatility spillover effect and the direction of mean spillover effect and volatility spillover effect. Finally, the relevant policy recommendations are given to the regulatory authorities and investors. The following conclusions are drawn:. (1) there is a cointegration relationship between the Shanghai Composite Index and the 10-year Treasury bond yield, that is, the long-term stable equilibrium relationship and the fact that the Shanghai Composite Index cannot cause the change of the 10-year Treasury yield of the United States due to the change of the Shanghai Composite Index. And the 10-year Treasury yield changes can Granger cause changes in the Shanghai index. (2) the VAR model shows that the Shanghai Composite Index has no significant effect on the 10-year Treasury yield, that is, the A-share market has no mean spillover effect on the Treasury bond market, and the 10-year Treasury yield has a significant impact on the Shanghai Composite Index. That is, the US Treasury bond market has a mean spillover effect on the A-share market. (3) based on the model of GARCHN 1 / 1 / BEKK and Wald test, it is concluded that there is a two-way volatility spillover effect between the yield of 10-year U.S. Treasury bonds and the Shanghai Composite Index, that is, there is a two-way volatility spillover effect between the US Treasury bond market and the A-share market.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F837.12

【相似文献】