金砖国家股市收益率波动性比较研究

发布时间：2018-01-22 00:25

本文关键词： 股票市场收益率波动性　出处：《山东财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：金砖国家作为新兴经济体的代表，在世界经济中发挥着越来越重要的作用。然而，伴随着全球经济金融一体化的进程，金砖国家的股票市场产生剧烈、频繁的波动也是众所周知且无可争辩的事实。金砖国家的股票市场是伴随着本国经济改革的进程发育起来的，在整个发展进程中，由于经济体制转轨所导致的市场结构的变化给股票市场造成了有规律的波动性，这种波动性增加了市场的不确定性和风险，却也体现了各国经济转轨中的特有规律，是新兴经济体的经济特色。因此，运用现代计量经济学的方法对金砖国家股票市场的收益率波动进行有效地度量，分析发育中的股票市场的市场行为和特征、风险机制和运行机制，有助于投资者了解本国股市、确定投资策略，并且为实现各国股市自身建设的完善和发展以及与全球金融市场接轨、融合提供了一定的研究资料。本文由五个章节构成。第一章的导论的内容是研究背景以及理论、实践意义，研究思路和研究方法以及文献综述。第二章为股市收益率波动理论分析。从收益率的含义、收益率波动的衡量以及收益率波动的特征分别进行阐述。第三章介绍了本文所使用的计量模型，，并对样本数据进行了说明。第四章进行了金砖国家股市收益率波动的实证检验，主要有对样本数据特征的统计检验，包括正态性检验、平稳性检验以及自相关性检验。然后进行了GARCH模型以及非对称性效应检验，并总结了实证结果。最后一章为研究结论和政策建议。
[Abstract]:BRICS countries, as representatives of emerging economies, are playing an increasingly important role in the world economy. However, with the process of global economic and financial integration, the BRICS stock market has become violent. Frequent volatility is also a well-known and indisputable fact. The BRICS stock market is developed along with the process of economic reform in the whole development process. Due to the change of market structure caused by the transition of economic system, the stock market is subject to regular volatility, which increases the uncertainty and risk of the market. But it also reflects the unique laws in the economic transition of each country, which is the economic characteristics of emerging economies. Therefore, we use the modern econometric method to measure the volatility of the BRICS stock market effectively. The analysis of the market behavior and characteristics, the risk mechanism and the operating mechanism of the developing stock market is helpful for investors to understand the domestic stock market and determine the investment strategy. It also provides some research materials for the improvement and development of the stock market and the integration with the global financial market. This paper consists of five chapters. The first chapter of the introduction is the research background, theory, practical significance. The second chapter is the theoretical analysis of stock market return volatility. The measurement of return volatility and the characteristics of return volatility are described respectively. Chapter three introduces the econometric model used in this paper. And the sample data is explained. Chapter 4th carries on the empirical test of the BRICS stock market return volatility, mainly has the statistical test to the sample data characteristic, including the normality test. The stationary test and autocorrelation test. Then the GARCH model and asymmetric effect test are carried out, and the empirical results are summarized. The last chapter is the research conclusions and policy recommendations.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51;F224

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