中国股市与国际股市一体化进程中的尾部相依性

发布时间：2018-01-09 12:08

本文关键词：中国股市与国际股市一体化进程中的尾部相依性　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着中国金融市场对外开放程度的逐步深化,中国的股票市场加入到全球金融市场一体化的行列当中,在这种大的背景下,对中国股市与国际股市之间的相依性,特别是尾部相依性的研究,对金融市场的各直接或间接参与者显得尤为重要。本文主要研究2005年到2011年中国沪市A、B股和H股分别与美国、日本、香港、巴西、俄罗斯、印度六个国家(地区)股市之间尾部相依性的变化趋势,并从七个方面进行讨论：选用什么样的指标或什么样的模型来刻画股市间的尾部相依性?随着时间的推移,这种尾部相依性的结构是否会发生变化?如果发生变化,它是什么时候发生的?变化的程度有多大?上尾相依性与下尾相依性的结构是否是对称的?哪个尾部的相依性对股市的影响更大一些?这些尾部相依性是否具有一定的稳定性? 在研究方法上,本文使用各市场股指日收盘数据,通过构建多机制平滑转换Copula模型,运用基于Copula理论的上尾相关系数、下尾相关系数和整体相关系数从三个方面分别对相依性进行分析研究,通过图象描绘出上、下尾部相依性的动态变化曲线,给出了上、下尾部相依的程度、相依性结构变化的主要时间段,同时考虑了上、下尾相依性的非对称性。之后,利用各市场股指周数据,剔除时差等因索的影响,对尾部相依性结构的稳定性进行检验。在实证结果上,本文发现随着时间的推移,各尾部相依性发生了结构性变化。而在所研究的时间段当中,中国股市与国际股市的上、下尾部相依性既存在逐渐上升的趋势,又存在下降的趋势,也存在不变的情形。并且,上尾与下尾相依性的变化是非对称的,有些股市间的上尾相依性更大一些,有些股市间的下尾相依性更大一些,还有一些股市间的上、下尾相依性大小在不同的时间段发生交替变换。另外,在使用日数据和周数据进行分析对比之后发现,中国股市与国际股市之间的相依性是不稳定的,这与中国股市发展的不平衡有关。具体到各个股市,虽然A股和B股与国际股市的尾部相依性整体呈上升趋势,但依然处在较低水平,而且尾部相依性的结构不稳定。相比而言,H股与国际股市的尾部相依性要强一些,稳定性也要好一些。也就是说,在一系列政策措施的推动下,虽然中国股市的对外开放程度在逐步增大,与国际股市的相依性有所上升,但其与国际股市仍存在一定的差距。基于本文的分析结果,金融市场的投资者可以准确估计各股票收益率之间的协同变化程度,构建一个相对分散化的证券投资组合。金融机构风险管理者可以充分考虑股票市场之间的相互依存关系,更加准确地度量风险。政府的政策制定者在进一步深化改革金融市场,加快对外开放步伐的同时,应充分考虑国外金融市场的波动对本国的影响,并及时采取措施,进行有效规避。
[Abstract]:With the deepening of China's financial market opening to the outside world, China's stock market has joined the ranks of the global financial market integration, in this context. The research on the dependence of Chinese stock market and international stock market, especially the tail dependence. It is particularly important to the direct or indirect participants in the financial market. From 2005 to 2011, this paper mainly studies the A-share, B-share and H-share of Shanghai Stock Exchange in China and the United States, Japan, Hong Kong, Brazil, Russia, respectively. The change trend of tail dependence in six countries (regions) of India, and discuss from seven aspects: what index or what model to describe the tail dependence of stock market? Will the structure of the tail dependence change over time? If it changes, when did it happen? What is the extent of the change? Is the structure of upper tail dependency and lower tail dependency symmetrical? Which tail dependency has a greater impact on the stock market? Do these tail dependencies have some stability? In terms of research methods, this paper uses the daily closing data of stock indexes in various markets, constructs a multi-mechanism smooth conversion Copula model, and applies the up-and-tail correlation coefficient based on Copula theory. The correlation coefficient of the lower tail and the whole correlation coefficient are analyzed and studied from three aspects respectively. The dynamic curve of the dependency of the upper and lower tail is depicted by the image, and the degree of the dependency of the upper and lower tail is given. At the same time, the asymmetry of upper and lower tail dependence is taken into account. After that, the influence of time difference and other factors are eliminated by using the weekly data of stock index of each market. The stability of the tail dependent structure is tested. In the empirical results, this paper found that over time, the tail dependence changes. In the period of study, the Chinese stock market and the international stock market are on the top. The dependence of the lower tail has the tendency of rising and decreasing, and the change of the dependency of the upper tail and the lower tail is asymmetrical. Some stock markets have greater upper and end dependencies, some stock markets have greater lower end dependencies, and some stock markets have alternating dependencies in different periods of time. After analyzing and comparing the daily data and weekly data, we find that the dependence between Chinese stock market and international stock market is unstable, which is related to the imbalance of the development of Chinese stock market. Although the tail dependence of A-shares and B-shares is on the rise with the international stock market as a whole, it is still at a low level, and the structure of tail dependence is unstable. The tail dependence of H shares and international stock markets is stronger and the stability is better. That is to say, driven by a series of policies and measures, China's stock market is gradually opening up to the outside world. The dependence of international stock market has increased, but there is still a certain gap between it and international stock market. Based on the analysis results of this paper, investors in the financial market can accurately estimate the degree of synergy between the stock returns. Build a relatively decentralized portfolio of securities. Financial institutions risk managers can fully consider the interdependence between the stock market. Government policy makers should take full account of the impact of foreign financial market fluctuations on their own while further deepening the reform of financial markets and speeding up the pace of opening to the outside world. And timely take measures to effectively circumvent.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51;F831.51

【参考文献】