中国股市与汇市的波动溢出效应研究与实证分析

发布时间：2018-01-08 00:31

本文关键词：中国股市与汇市的波动溢出效应研究与实证分析　出处：《中南大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来,随着我国市场化经济的发展,股票市场和外汇市场逐渐表现出市场化的特点,这种市场化又加深了它们之间的相互联系和影响。因此,有必要对股、汇市场间波动的溢出现象做进一步研究。本文取2009年1月5日-2012年5月22的人民币兑美元汇率和上证综指为对象进行研究,主要是用BEKK-GARCH模型,来分析两市对数收益率间的的波动溢出效应。并以2010年6月19日第二次汇改为界线,将样本分为第二次汇改前、第二次汇改后两部分进行对比研究。首先,描述和分析了与波动溢出有关的理论、模型。对人民币兑美元汇率、上证综指的原序列及其对数收益率序列进行ADF单位根检验,检验结果显示,汇率与上证综指原序列都有单位根,是非平稳的；对数收益率序列均拒绝了有单位根的原假设,是平稳的,因此可以对其建立时间序列模型。基于此结论,本文对两收益率序列建立了ARMA模型。其次,用Johanson协整检验与Granger因果检验,对汇率与上证综指间的关系进行诊断性检验分析。结果表明,两市对数收益率间的关系是稳定的,且是长期均衡的；上证指数是汇率的Granger原因。反之不成立。最后,运用二元BEKK-GARCH模型,实证研究了样本数据间的波动溢出,并结合LR似然比检验法,对结果进行检验。结果表明：对整体样本,汇率到上证指数有波动的溢出存在,这种溢出是单向的；第二次汇改前,既不存在汇率到上证指数的波动溢出,也不存在上证指数到汇率的波动溢出；第二次汇改后,既存在汇率到上证指数的波动溢出,也存在上证指数到汇率微弱的波动溢出。通过对不同样本的实证分析可以看出,人民币汇改对股市有一定的影响,汇改后汇率与股市间的相互影响关系加强。这些关系的深入研究,对促进金融市场的改革、维护我国金融市场的稳定和安全具有重要的参考意义。
[Abstract]:In recent years , with the development of the market economy in our country , the stock market and the foreign exchange market gradually show the characteristics of marketization , which has deepened the mutual relation and influence between them . Therefore , it is necessary to further study the overflow phenomenon between the stock and the foreign exchange market . This paper takes the RMB exchange rate and Shanghai Composite Index as the object from January 5 , 2009 to May 22 , 2012 . It is mainly used to analyze the fluctuation spillover effect between the two markets . Firstly , the theory and model related to fluctuation overflow are described and analyzed . The ADF unit root test is carried out on the original sequence and the logarithmic yield sequence of RMB exchange rate , Shanghai Composite Index and its logarithmic yield sequence . The results show that the original sequence of the exchange rate and Shanghai stock index has the unit root and is non - stationary ; the logarithmic yield series rejects the original hypothesis with the unit root , and it is stable . Therefore , the time series model can be established . Based on this conclusion , this paper sets up the model for the two yield sequences . Secondly , the relationship between the exchange rate and Shanghai stock index is analyzed by Johanson co - integration test and causality test . The results show that the relationship between the two markets is stable and long - term equilibrium ; the Shanghai index is the causality of exchange rate . Finally , by using the binary BEKK - ARCH model , the fluctuation of the sample data is studied , and the results are tested by using the LR - likelihood ratio test method . The results show that the fluctuation of the exchange rate to the Shanghai exchange rate and the fluctuation of the exchange rate can not exist in the whole sample and the exchange rate to the Shanghai exchange rate . After the second exchange , the exchange rate and the mutual influence of the stock market are strengthened . The further study of these relations has important reference significance to the promotion of the reform of the financial market and the maintenance of the stability and security of the financial market .

【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F832.52;F224

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