中国与美国及日本证券市场联动性研究

发布时间：2018-02-28 15:24

本文关键词： 联动性股权分置改革次贷危机中国股市美国股市日本股市　出处：《河北工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着经济全球化的迅猛发展，国际金融市场也正经历一体化的过程，各国金融市场的联动性日益提高，一个国家金融市场的波动不仅会受到自身因素的影响，可能还会受到其它金融市场波动的传染。本文以股权分置改革前、股权分置改革后至次贷危机爆发前、次贷危机爆发后三个时期中国股市和美国股市、中国股市和日本股市联动性为研究主线，理论与实证相结合，分析三个不同时期中美股市、中日股市的联动性及变动方式。最后得出结论并对投资者、金融监管机构提出相应建议。全文共由五部分组成：第一部分导论主要介绍本文的研究背景、目的和意义，并综合归纳国内外学者对于股市间联动性的理论与实证成果；第二部分介绍证券市场股价联动的几种基本理论及两种股市联动的内在机制；第三部分从理论层面研究股权分置改革前、股权分置改革后至次贷危机前、次贷危机爆发后三个不同时期中美股市、中日股市的联动机制及三个时期中国证券市场制度改革对中美股市、中日股市联动性的影响方式及程度；第四部分对中美股市、中日股市在股权分置改革前、股权分置改革后至次贷危机前、次贷危机爆发后三个不同时期的联动性进行了实证分析；第五部分对三个不同时期中美股市、中日股市联动性变化得出结论，并根据我国证券市场实情，提出了加强投资者教育和保护，加大金融监管力度等建议。本文在定量分析上，，主要采用协整分析、Granger非因果关系检验、方差分解目前比较权威的分析方法，并分别对三个不同时期中美股市、中日股市的联动性做了总结对比。
[Abstract]:With the rapid development of economic globalization, the international financial market is also going through the process of integration, the linkage of financial markets of various countries is increasing day by day, the fluctuation of a country's financial market will not only be affected by its own factors. It may also be affected by the volatility of other financial markets. This paper refers to the Chinese stock market and the American stock market in the three periods before the split share structure reform, after the split share structure reform and before the subprime mortgage crisis, and after the subprime mortgage crisis broke out. The linkage between Chinese stock market and Japanese stock market is the main line of study. The combination of theory and practice is used to analyze the linkage and change mode of Chinese and American stock markets in three different periods. Finally, the conclusion is drawn and the investors are given. Financial regulators put forward corresponding recommendations. The thesis consists of five parts: the first part mainly introduces the research background, purpose and significance of this paper, and summarizes the theoretical and empirical results of domestic and foreign scholars on stock market interaction; The second part introduces several basic theories of stock price linkage and the internal mechanism of stock market linkage. Three different periods after the subprime mortgage crisis broke out in China and the United States stock market, the linkage mechanism of China and Japan stock market, and the influence of China's stock market system reform on the Chinese and American stock markets, and the ways and degrees of the interaction between China and Japan stock markets in the three periods; the 4th part of the impact on the Chinese and American stock markets, Before the reform of split share structure, before the reform of split share structure and before the subprime mortgage crisis, the paper makes an empirical analysis on the linkage of three different periods after the breakout of the subprime mortgage crisis. Part 5th analyzes the three different periods of Sino-American stock market. According to the reality of China's securities market, this paper puts forward some suggestions, such as strengthening investor education and protection, and strengthening financial supervision. In quantitative analysis, this paper mainly adopts cointegration analysis Granger non-causality test, variance decomposition of the current more authoritative analysis methods, and three different periods of Sino-American stock market, Sino-Japanese stock market linkage are summarized and compared.
【学位授予单位】：河北工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F831.51

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