国际证券市场动态相依的特征检验与驱动因素研究

发布时间：2018-01-23 14:44

  本文关键词： 国际证券市场 动态相依 驱动因素 改进的AG-DCC模型 金融传染　出处：《湖南大学》2016年博士论文　论文类型：学位论文

【摘要】：准确估计国际证券市场的相依特征,量化剖析并深层次理解证券市场相依的驱动因素,对于投资者制定分散投资策略以及政策当局有效监管市场和防范金融风险具有重要的意义。本文以动态视角对全球证券市场动态相依的整体特征及普遍性驱动因素进行系统地量化分析,并在此基础上分别针对金融危机这一特殊时期的市场联动效应和市场传染机制,以及中国这一特定市场与境外市场的动态相依特征和驱动因素进行深入研究,以求全面发掘证券市场相依关系及影响机理。首先从多层面检验全球证券市场的整体动态相依特征。考虑到不同地区可能呈现不同的市场相依特征,将全球36个证券市场分为美洲、亚太、欧洲三大区域,多维度实证检验各区域的市场动态相依特征,包括运用VECM模型检验长短期因果性,运用变系数状态空间模型检验动态价格引导关系,运用AG-DCC模型与滚动历史相关模型检验动态条件相关性。美洲区域的市场相依特征检验表明,美洲各国市场之间存在金融传染效应,在遭遇负面冲击时市场间相关性会显著提高。其中美国和加拿大市场的相依性最高;新兴市场中墨西哥和巴西股市与美加股市的相依性整体较高;委内瑞拉市场的独立性较强。亚太区域的市场相依特征检验表明:亚洲金融危机的冲击提高了亚太地区各市场的长期联动机制,而次贷危机的冲击又导致这种联动机制有所弱化。其中东南亚新兴国家市场之间的关联性最显著;新加坡市场与新兴市场的关联性表现最显著;俄罗斯市场在亚太区域中表现出较明显的独立特征。欧洲区域的市场相依特征检验表明,主权债务风险较高的希腊、葡萄牙、爱尔兰等国市场在债务危机深化后与其他国家关联性呈下降趋势,表现出一定的独立性。其中欧洲各市场间的动态相关性平均水平普遍高于美洲和亚洲市场间的相关性;西欧和南欧市场具有明显的区域联动特征,中东欧、北欧国家市场则相对独立性较强。然后对全球证券市场相依的普遍性驱动因素进行量化分析。建立了涵盖经济贸易基础、金融市场特征、地域性和区域经济合作三个维度的市场相依驱动因素分析体系。在剖析各因素对市场相依理论影响路径的基础上,以所测算出的全球证券市场动态相依为样本,构建面板数据模型进行实证检验,发掘显著影响市场相依的普遍性驱动因素。基于贸易与金融因素的检验结果表明,GDP差异、实际利率差异对证券市场相依存在负向影响,相对出口依赖度和相对进口依赖度存在正向影响,通货膨胀差异和双边汇率变化的影响不显著。基于市场特征因素的检验结果表明:证券市场市值占比差异、金融化程度差异、证券市场波动率差异对市场相依存在负向影响,证券市场上市公司数量占比差异、资本项目开放度差异的影响不显著。此外发达市场之间的相关性显著高于新兴市场之间的相关性。基于地域性与区域经济合作因素的检验结果表明:地理距离对证券市场相依存在负向影响,加入北美自由贸易区和东盟有助于提高证券市场的相依性,而加入欧盟对证券市场相依性没有显著影响。考虑到金融危机爆发可能导致证券市场相依性迅速上升或偏离长期均衡,进一步针对金融危机这一特殊时期的独特市场相依特征及影响机制进行细致研究。首先梳理并剖析亚洲金融危机、次贷危机和欧债危机的发展过程、相关股市表现及风险传染特征。其次从多维度实证检验三次危机的市场联动效应,包括运用格兰杰模型检验因果关系,运用固定系数、滚动历史相关、AG-DCC模型检验相关性,运用时变t-Copula模型检验尾部相依性,运用面板数据回归检验危机净传染性。结论显示,三次危机均对市场相关性产生显著的正向直接影响,影响程度由大到小依次为次贷危机、亚洲金融危机和欧债危机。然后构建基于动态博弈的金融风险跨国传染模型,从市场参与者的分散投资策略和信息不对称等行为金融学角度解释金融危机下的市场联动机理。结论表明:新兴市场自身爆发危机难以传染至发达市场,但新兴市场爆发危机可以发达市场为中介传染给另一低关联的新兴市场;发达市场因为自身危机受到冲击时,资本将倾向于流向基本面良好的新兴市场,从而可能促进新兴市场的繁荣;在面对如国际油价剧烈波动等国际共享要素冲击时,具有相同风险敏感性的新兴市场往往比发达市场更容易遭受损失。此外,考虑到作为处于经济一体化和金融自由化发展进程中的典型新兴市场,中国可能与境外市场存在独特的动态相依特征,继续针对中国这一特殊市场与境外市场的动态相依特征及驱动因素进行细致研究。首先从均值溢出效应、非对称波动性和非对称动态相关性方面对AG-DCC模型进行了扩展优化。其次运用改进的AG-DCC模型检验中国与周边国家和世界主流证券市场动态相依特征。结论显示,从联系紧密程度来看,中国内地股市与香港股市的相关性整体水平最高,与亚洲周边市场存在一定关联性,而与欧美发达市场的相依性不高,跨地域联系更多通过港股进行间接传导。从动态变化趋势看,中国内地股市与境外市场的相关性在1997年至2010年间普遍呈现上升趋势,但2010年至2015年间中国内地与香港除外的境外市场相关性有所下降。然后对中美证券市场相依的驱动因素进行计量分析发现,除了中国对美国出口占比、两国通货膨胀差异、两国实际利率差异以及两国股市市值占比差异等普遍性驱动因素外,中国企业海外上市以及中国金融自由化均是促成中国证券市场向世界整合的重要因素。最后,针对证券市场相依的现象和特征提出了推进金融自由化与应对市场联动的措施以及防范危机期间金融风险传染的策略两方面的政策建议。
[Abstract]:The accurate estimation of dependent features of international securities market, driving factors and quantitative analysis of deep understanding of securities market dependent, for investors to make investment diversification strategy and policy authorities to monitor market and prevent financial risks is of great significance. In this paper, the dynamic factors of overall characteristics of dynamic perspective on the global stock market dependence and universal drive analysis system to quantify, and on this basis respectively according to the mechanism of market linkage effect and market contagion in the special period of the financial crisis, as well as the dynamic China this particular market and overseas market dependent characteristics and driving factors of in-depth research, in order to fully explore the securities market mechanism dependent relationship and influence from many aspects. First inspection of the securities market the whole dynamic dependent characteristics. Considering the different areas may present different market dependent features, will be full of The ball 36 stock market is divided into America, Asia Pacific, Europe's three largest regional, multi dimension empirical test of market dynamics of the regional dependent features, including the use of VECM model to test the long-term causality, the use of variable coefficient of state space model to examine the dynamic price guide, using the AG-DCC model and the rolling history model checking dynamic conditional correlation. American regional market dependent characteristic test shows that the existence of financial contagion between American countries suffered a negative impact on the market, the market will be significantly improved. The correlation between the United States and Canada market dependence of the highest; emerging market and Brazil stock market in Mexico and the United States and Canada stock market dependence higher overall; Venezuela market strong independent Asia Pacific. Regional market dependent characteristics test showed that the impact of the Asian financial crisis to improve long-term linkage mechanism across the Asia Pacific region market, and The impact of the subprime crisis and the linkage mechanism has been weakened. The relationship between Southeast Asian emerging markets the most significant; the most significant correlation of Singapore and emerging markets; the Russian market showed independent obvious characteristics in the Asia Pacific region. The European regional market dependent characteristics test showed that the high risk of sovereign debt Greece, Portugal, Ireland and other countries market showed a downward trend in conjunction with other countries in the debt crisis deepening, showing a certain degree of independence. The dynamic correlation between flat European markets were generally higher than the level of correlation between American and Asian markets; the western and southern Europe market has obvious characteristics of regional linkage, in Eastern Europe the Nordic countries, the market is relatively strong independence. Then the common factors of the global stock market dependent driving quantitative analysis. A culvert Cover economic and trade, financial market characteristics, the three dimensions of regional and regional economic cooperation in the market dependent driving factor analysis system. Based on the theory of the influence path dependence in the analysis of market factors, the global stock market dynamic estimates of the dependent samples, construct empirical panel data model, explore the influence common market dependent driving factors of trade and financial factors. Test results show that the GDP based on the difference, difference between the actual interest rate on the stock market dependent negative impact on relative export dependence and relative import dependence has a positive impact, the inflationary impact of bilateral exchange rate changes and differences are not significant. The results show that the test of market factors based on the market value of the stock market accounted for the differences in the degree of financial differences, stock market volatility difference to the market dependent negative impact on securities The number of listed companies accounted for the differences in effects of capital account openness difference is not significant. The correlation between the developed markets in addition significantly higher than the correlation between emerging markets between the test region and regional economic cooperation factors based on the results of the securities market: geographical distance dependent negative impact, entering the North American free trade area and ASEAN help to improve the dependence of the stock market, and joined the EU on the stock market dependence has no significant effect. Considering the outbreak of the financial crisis may lead to stock market dependence rise quickly or deviate from the long-term equilibrium, further according to the unique market this special period of financial crisis dependent features and influencing mechanism of meticulous research. Firstly, combing and analysis the Asian financial crisis, the development process of the subprime crisis and the European debt crisis, stock market performance and risk contagion followed by a number of features. The market linkage effect dimension empirical test of the three crises, including using Grainger model to test causal relationship, using fixed coefficient, rolling history, AG-DCC model correlation test, using time-varying t-Copula model to test the tail dependence, using panel data regression test. The conclusion shows net crisis infectious, three crises have positive direct effect on the market correlation, the influence degree from high to low is the subprime crisis, the Asian financial crisis and the European debt crisis. Then construct the financial risk contagion model based on dynamic game, from the market linkage mechanism of market participants diversification strategy and information asymmetry of behavioral finance to explain the financial crisis. Conclusion: emerging markets the outbreak of the crisis to spread to the developed markets, but emerging markets crisis can be developed market as intermediary transmitted to another Emerging market low relevance; developed markets because of their impact on capital crisis, emerging markets will tend to flow to the good fundamentals, which may contribute to the emerging market boom; in the face of such as the international oil price volatility and other international factors sharing impact, emerging markets have the same risk sensitivity are often higher than the developed markets are more likely to suffer a loss. In addition, taking into account as a typical emerging market economy integration and financial liberalization in the process of development, there may Chinese and overseas market unique dynamic characteristics for the dynamic dependence, to China this special market and overseas market dependent characteristics and detailed study of driving factors. Firstly, from the mean spillover effect, extended optimization the AG-DCC model of asymmetric volatility and asymmetric dynamic correlation. By using AG-DCC model and improved Chinese The neighboring countries and the mainstream of the world stock market dynamic dependent characteristics. According to the conclusion, from the perspective of contacts, the overall level of China mainland stock market and Hongkong stock market of the highest correlation with the Asian market there is a certain relationship, but with the developed market dependence is not high, cross regional contact more indirect conduction through Hong Kong stocks from the dynamic. The change trend, the correlation China mainland stock market and overseas market generally showed an upward trend from 1997 to 2010, but from 2010 to 2015 China except Hongkong and the mainland overseas market correlation decreased. Then the driving factors of China stock market dependence analysis found that, in addition to China exports to the United States accounted for the inflation difference the two countries, the real interest rate difference between the two countries and the stock market capitalization accounted for universal difference factors, China enterprises overseas Chinese and financial liberalization are important factors contributing to the Chinese securities market to the world integration. Finally, aiming at the phenomenon and characteristics of the securities market. Put forward the financial liberalization and market linkage measures and coping strategies of financial crisis prevention of the risk of infection during the period of the two aspects of policy recommendations.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F224;F831.51
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本文编号：1457783