银行间同业拆借市场与股票市

发布时间：2018-03-17 01:35

本文选题：银行间同业拆借市场　切入点：债券市场　出处：《华中师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：银行间同业拆借市场、股票市场、债券市场都是我国金融市场的重要组成部分,银行间同业拆借市场是资金的短期借贷市场,属货币市场的一部分,股票市场、债券市场是资金长期交易的场所,属资本市场的组成部分。货币市场与资本市场都是以资金交易为媒介,两个市场是相互连通的,资金从一个市场流向另一个市场造成了两个市场间波动的相关性,研究市场间的关联特征使我们能够把握市场未来的变化趋势,为政府制定风险防范政策提供更多的信息,此外对三个市场间风险传导效应的研究能够为投资者制定投资策略,规避风险,构造更有效的资产组合提供有效的指引。本文研究的目的是分析银行间同业拆借市场、股票市场、债券市场的相关关系,这里的相关性体现在两个方面,一是一个市场受到意外冲击时对其它两个市场的影响,二是各个市场间风险的传播,即市场间的波动溢出效应,以及各个市场间动态相关性的变化。本文首先分析了银行间同业拆借市场、股票市场、债券市场相互作用的基础,即共同的投资主体、资金流动、金融中介的作用；然后引用了相关的理论,包括货币需求理论、资产选择理论、行为金融理论等,分开论述了两两市场间的相互作用；接着是相关性的实证分析,选取了代表各个市场的时间序列变量,通过建立多变量的VAR模型,利用脉冲响应函数、方差分解等工具来研究市场间意外冲击带来的相互影响,通过建立多元GARCH模型来分析各个市场间的波动溢出效应,通过动态相关系数图来分析市场间动态相关性的变化。根据实证分析的结果,本文认为：第一,我国货币市场与资本市场间的联动性不强；第二,债券市场对股票市场的影响要大于股市对债市的影响,二者间的相互作用并不对称；第三,股市与债市、股市与银行间同业拆借市场间均存在显著地波动溢出效应,而银行间同业拆借市场与债券市场之间的波动溢出效应,只是单向的从同业拆借市场到债券市场溢出;第四,股票市场、债券市场与银行间同业拆借市场间存在显著地动态相关性,两两之间的相关系数随时间变化出现动态的变动。最后在理论分析跟实证研究的基础上,本文对金融市场的发展,提出了几点政策建议,即加强货币市场与资本市场的联通,着力发展债券市场,大力发展机构投资者,提高个人投资者的投资水平等。
[Abstract]:The interbank lending market, the stock market, and the bond market are all important components of the financial market in China. The interbank lending market is a short-term lending market for funds, which is part of the money market, the stock market. The bond market is a place where money is traded for a long time and is an integral part of the capital market. The money market and the capital market are both mediated by capital transactions, and the two markets are connected to each other. The flow of funds from one market to another creates a correlation between the volatility of the two markets. The study of the characteristics of the correlation between the markets enables us to grasp the future trends of the market and provide more information for the government to formulate risk prevention policies. In addition, the study of the risk conduction effect among the three markets can provide an effective guide for investors to formulate investment strategies, avoid risks and construct more effective asset combinations. The purpose of this study is to analyze the interbank lending market, stock market and bond market. The correlation is reflected in two aspects. One is the impact of one market on the other two markets when it is accidentally impacted. The other is the spread of risk between markets, that is, the volatility spillover effect between markets, and the change of dynamic correlation among markets. This paper first analyzes the basis of interbank lending market, stock market and bond market interaction, that is, the role of common investors, capital flows and financial intermediation, and then quotes relevant theories, including the theory of money demand. Asset selection theory, behavioral finance theory and so on, discuss the interaction between two markets separately, then the empirical analysis of correlation, select the time series variables representing each market, through the establishment of multi-variable VAR model, Impulse response function, variance decomposition and other tools are used to study the interaction of unexpected shocks between markets, and the volatility spillover effects between markets are analyzed by establishing a multivariate GARCH model. Dynamic correlation coefficient is used to analyze the change of dynamic correlation between markets. According to the results of empirical analysis, this paper holds that: first, the linkage between the money market and the capital market is not strong; second, the bond market has more influence on the stock market than the stock market on the bond market. Third, there are significant volatility spillover effects between stock market and bond market, stock market and interbank lending market, and volatility spillover effect between interbank market and bond market. Only one-way spillover from interbank market to bond market; 4th, stock market, bond market and interbank interbank market have significant dynamic correlation, the correlation coefficient between pairwise changes with time. Finally, on the basis of theoretical analysis and empirical research, this paper puts forward several policy suggestions on the development of financial market, that is, to strengthen the linkage between the money market and the capital market, to develop the bond market, and to vigorously develop the institutional investors. Improve the investment level of individual investors, etc.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F832.3;F224

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