基于GC-MSV模型的国内外股市间波动溢出效应研究

发布时间：2018-02-06 00:05

本文关键词： 金融风险波动溢出效应 GC-MSV模型 MCMC方法　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着全球经济一体化的不断深入，金融市场发生了根本性的变化，全球主要股票市场之间的波动呈现出协同变化趋势。研究国内外股票市场之间的波动溢出效应，可以掌握股票市场之间波动的传递方向和路径，从而帮助投资者规避风险，在本国股票市场受到国外市场波动带来冲击前做出短期预测。 SV类模型是目前描述波动溢出效应主要工具之一，但是由于SV类模型参数估计相对困难而少见于文献。随着计算机技术的迅速发展，使用MCMC方法结合WinBUGS软件很好的解决了SV类模型参数估计困难这一问题。本文利用GC-MSV模型，使用基于Gibbs抽样的MCMC算法并结合WinBUGS软件对模型参数进行估计。本文通过对比研究2010年前后中国大陆股票市场与美国、中国香港、日本股票市场之间的波动溢出效应变化情况，来了解和分析中国大陆股票市场的外部风险来源以及各个股票市场之间波动溢出效应变化情况。本论文的中心议题是借助于现代波动率建模理论及计量方法，对股票市场之间的波动溢出规律进行深入研究。以2010年12月31日作为时间分界点，实证结果发现：在2010年以前，只有中国香港和美国股票市场对中国大陆股票市场存在单向的波动溢出效应；在2010年以后，，中国香港、美国、日本股票市场均对中国大陆股票市场存在单向的波动溢出效应且；而中国大陆股票市场只在2010年以后对中国香港股票市场存在显著的波动溢出效应。从整个样本区间上来看，中国大陆股票市场对美国和日本股票市场始终不存在波动溢出效应，但是前后对比发现格兰杰因果系数变大，因此说明中国大陆股票市场对其他股票市场的影响在加大。同时在整个样本区间内，美国、中国香港和日本股票市场之间始终存在双向的波动溢出效应且不断加强；从总体上来看，在美国次贷危机发生以后，美国、日本、中国香港与中国大陆股票市场之间的波动溢出效应增强，并且中国大陆股票市场对其他股票市场的波动溢出效应也有所增强。
[Abstract]:With the deepening of global economic integration, the financial market has undergone fundamental changes. The volatility of the major stock markets in the world shows a trend of synergistic change. To study the volatility spillover effect between the domestic and foreign stock markets, we can grasp the direction and path of the volatility between the stock markets. This helps investors avoid risk and make short-term predictions before the domestic stock market is hit by foreign market volatility. SV model is one of the main tools to describe volatility spillover effect at present, but because of the difficulty of parameter estimation of SV model, it is rare in literature. With the rapid development of computer technology. The problem of parameter estimation of SV model is well solved by using MCMC method and WinBUGS software. GC-MSV model is used in this paper. This paper uses MCMC algorithm based on Gibbs sampling and WinBUGS software to estimate the model parameters. This paper compares the stock market of mainland China and the United States before and after 2010. In order to understand and analyze the external risk sources of Chinese mainland stock market and the variation of volatility spillover effect between stock markets in Hong Kong and Japan, the volatility spillover effect between Hong Kong and Japan stock markets in China is analyzed. The central topic of this paper is to use the modern volatility modeling theory and econometric methods to deeply study the volatility spillover law between the stock market, taking December 31st 2010 as the time boundary point. The empirical results show that before 2010, only Hong Kong and American stock markets had one-way volatility spillover effects on mainland China stock markets. After 2010, the stock markets of Hong Kong, the United States and Japan all had one-way volatility spillover effects on the Chinese mainland stock market. However, mainland China stock market only has significant volatility spillover effect on Hong Kong stock market after 2010. Chinese mainland stock market has no volatility spillover effect on American and Japanese stock markets, but the Granger causality coefficient becomes larger. Therefore, the impact of the Chinese mainland stock market on other stock markets is increasing. At the same time, in the entire sample range, the United States. There are two-way volatility spillover effects between Hong Kong and Japan stock market. In general, after the subprime mortgage crisis in the United States, the volatility spillover effect between the United States, Japan, Hong Kong and mainland China stock market increased. Moreover, the volatility spillover effect of Chinese mainland stock market on other stock markets has also been strengthened.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F831.5;F832.51

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