中国股市收益率与利率波动溢出效应的实证研究

发布时间：2018-04-25 20:06

本文选题：波动溢出效应 + BEKK　；参考：《暨南大学》2014年硕士论文

【摘要】：研究金融资产收益率二阶矩之间的关系，有助于分析各个金融资产市场的信息吸收能力，以及各种金融资产收益率序列波动之间的关系，从而为投资者优化资产配置与金融当局制定合理政策以减轻金融风险带来的冲击等方面提供理论支持。本文运用多变量的GARCH模型——BEKK，探讨了中国股市收益率与银行间七天同业拆借利率之间的波动溢出效应，然后分析其条件方差、条件协方差和条件相关系数的时变性特征。首先要考察各个指标的一阶矩和二阶矩的性质，，考虑是否要分别对各个时间序列添加VAR滤波。然后对BEKK方差模型的系数进行估计，并利用LM检验分别考察上证综指和深证成指的收益率与银行间七天同业拆借利率的波动溢出效应。研究结果显示，中国股市收益率与利率之间存在波动溢出效应，方向主要是由利率向股市收益率溢出。最后，分析各个指标的条件方差、条件协方差和条件相关系数的时变性。结果发现上证综指收益率与利率的条件相关系数波动程度较为激烈，多次正负号的转换说明了条件相关系数存在不稳定的特性；而深证成指收益率与利率的条件相关系数始终保持为负值，并且具有时变性特征。最后，本文总结了股市收益率与利率之间波动溢出的关系；并且从股市波动的群集效应、时变性以及投资者的心理等因素出发，提出了一系列的政策性建议。
[Abstract]:The study of the relationship between the second moment of return on financial assets is helpful to analyze the information absorption ability of each financial asset market and the relationship between the volatility of the return on financial assets. It provides theoretical support for investors to optimize asset allocation and financial authorities to formulate reasonable policies to mitigate the impact of financial risks. In this paper, the volatility spillover effect between the return rate of Chinese stock market and the seven-day interbank offered rate is discussed by using the multivariable GARCH model, and then the time-varying characteristics of the conditional variance, conditional covariance and conditional correlation coefficient are analyzed. First, the properties of first and second moments of each index should be investigated, and whether VAR filter should be added to each time series is considered. Then the coefficient of BEKK variance model is estimated and the volatility spillover effect between the yield of Shanghai Composite Index and Shenzhen Composite Index and the seven-day interbank offered rate is investigated by LM test. The results show that there is volatility spillover effect between Chinese stock market yield and interest rate, and the direction is mainly from interest rate to stock market yield spillover. Finally, the conditional variance, conditional covariance and conditional correlation coefficient of each index are analyzed. The results show that the conditional correlation coefficient between the yield of Shanghai Composite Index and the interest rate fluctuates more intensely, and the conversion of multiple positive and negative sign shows that the conditional correlation coefficient is unstable. However, the conditional correlation coefficient between the yield and interest rate of Shenzhen Composite Index is always negative and has the characteristics of time-varying. Finally, this paper summarizes the relationship between stock market return and interest rate volatility spillover, and puts forward a series of policy suggestions based on the cluster effect of stock market volatility, time variability and investor psychology.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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