基于羊群行为的中国股票市场金融传染研究

发布时间：2018-05-23 08:44

本文选题：羊群行为 + 金融传染　；参考：《福州大学》2014年硕士论文

【摘要】：21世纪以来,金融危机在世界各地的金融市场中频频爆发,次贷危机的爆发不仅让美国金融体系摇摇欲坠,还进一步向全球金融市场蔓延,逐渐演变为席卷全球的金融危机；欧债危机的爆发导致了投资者的风险厌恶情绪急剧上升,全球金融市场受到不同程度的冲击,部分投资者甚至担心希腊将退出欧元区。受金融全球化、金融自由化的影响,金融危机更易表现出传染性,并且金融危机很可能会以更快的速度向更多市场传染。2003年以前,A股市场尚未开放,也并未受到东南亚金融危机的传染。随着合格境外机构投资者(Qualified Foreign Institutional Investors,简称QFII)、合格境内机构投资者(Qualified Domestic Institutional Investor,简称QDII)、人民币合格境外机构投资者(RMB Qualified Foreign Institutional Investors,简称RQFII)制度的推出,A股市场与国际股票市场的联动逐渐增强,这表明中国大陆证券市场的对外开放进入到了一个新的阶段。相比之下,港股市场是一个完全开放的成熟市场,是亚太地区最重要的金融中心之一,更容易受到国际金融市场的影响。在1997年至1998年期间,港股市场曾两次受到国际投机者大规模的冲击,但香港特区政府及时的救市行为成功遏制了金融危机的蔓延。本文采用CCK模型与考虑外部影响的CCK模型分别研究A股、港股市场在整个样本期与危机传染期的羊群行为,选取合适的动态条件相关模型研究欧美市场与A股、港股市场的条件相关性,采用内生多重结构突变方法检验各条件相关性的结构突变点,再结合独立样本T检验方法划分危机传染期与危机平稳期,以此分析次贷危机与欧债危机对A股、港股市场的传染特性,最后在条件相关性回归模型中加入个股收益率分散度指标(Cross-Sectional Absolute Deviation of Returns,简称CSAD),研究两次危机对A股、港股市场的羊群行为传染渠道。本文的研究结果表明：在金融传染方面,港股市场受两次危机传染的速度均快于A股市场、受危机传染的时期也长于A股市场、但受危机传染的程度弱于A股市场,与此同时,次贷危机的传染程度强于欧债危机、但欧债危机的传染时期长于次贷危机；在羊群行为方面,A股市场在两次危机传染期的羊群行为程度强于港股市场；在羊群行为传染渠道方面,本文证实了羊群行为传染渠道是两次危机对A股与港股市场的传染渠道之一。以上问题的研究能够给投资者的投资策略、风险管理者的风险控制措施以及政策制定者的决策提供一定的参考,同时对维护金融市场的稳定也具有重要意义。
[Abstract]:Since the 21st century, the financial crisis has broken out frequently in the financial markets all over the world. The outbreak of the subprime mortgage crisis not only makes the American financial system crumble, but also spreads to the global financial market and gradually evolves into a global financial crisis. The outbreak of the European debt crisis has led to a sharp rise in risk aversion among investors, global financial markets have been hit to varying degrees, and some even fear that Greece will leave the euro zone. Under the influence of financial globalization and financial liberalization, the financial crisis is more susceptible to contagion, and the financial crisis is likely to spread to more markets at a faster rate. Before 2003, the A-share market had not been opened. Nor was it infected by the Southeast Asian financial crisis. With the introduction of qualified Foreign Institutional Investors, qualified Domestic Institutional Investor, and RQFIIs, the A-share market and international stock market have been developed with the introduction of the RQFIIs (qualified foreign institutional investors), QFIIs, QFIIs, QFIIs, QFIIs, QFIIs, QFIIs, QFIIs, QFIIs and QFIIs. The linkage of the This indicates that the opening up of mainland China's securities market has entered a new stage. By contrast, the Hong Kong stock market is a fully open and mature market, one of the most important financial centres in the Asia-Pacific region, and is more vulnerable to the influence of international financial markets. Between 1997 and 1998, the Hong Kong stock market was twice hit by international speculators, but the timely rescue of the Hong Kong SAR government successfully contained the spread of the financial crisis. In this paper, CCK model and CCK model considering external influence are used to study herding behavior of A shares, Hong Kong stock market in the whole sample period and crisis contagion period, and the appropriate dynamic condition correlation model is selected to study European and American markets and A shares. The conditional correlation of Hong Kong stock market, using endogenous multiple structural mutation method to test the structural mutation points of each condition correlation, and combining with independent sample T-test method to divide the crisis contagion period from the crisis stable period. Based on the analysis of the contagion characteristics of subprime mortgage crisis and European debt crisis to A-shares and Hong Kong stock market, the cross-Sectional Absolute Deviation of Returns, index is added to the conditional correlation regression model to study the impact of the two crises on A-shares. The herding behavior of the Hong Kong stock market infects the channel. The results show that in the aspect of financial contagion, the rate of contagion in Hong Kong stock market is faster than that in A-share market, and the period of contagion is longer than that in A-share market, but the degree of contagion is weaker than that in A-share market, at the same time, The contagion of subprime mortgage crisis is stronger than that of European debt crisis, but the contagion period of European debt crisis is longer than that of subprime mortgage crisis, and the herding behavior of A share market is stronger than that of Hong Kong stock market in the two contagion periods. In the aspect of herding behavior transmission channel, this paper proves that herding behavior transmission channel is one of the two contagion channels for A shares and Hong Kong stock market. The study of the above problems can provide some references for investors' investment strategy, risk control measures of risk managers and policy makers' decision, and it is also of great significance to maintain the stability of financial market.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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