基于ARCH族模型的中国与欧美股市的相关性分析

发布时间：2018-08-11 21:07

【摘要】：进入二十一世纪，由于我国资本市场的对外开放水平越来越高，进而使得世界资本市场的波动对我国资本市场的冲击也越来越大。同时我国资本市场的进一步深入发展是我国经济不断壮大的必然要求，因此，以美国为首的世界资本市场会在更广的层面上影响我国资本市场的成长和发展。鉴于此,针对于中国和美国的资本市场、中国和欧洲的资本市场的关联性进行分析，便具有十分重要的应用价值。本文通过单位根检验、协整检验和Granger因果关系检验，对分别能够代表中国、美国以及欧洲资本市场的沪深300指数、道琼斯工业平均指数、英国富时100指数进行了系统的研究分析。通过分析三者是否具有长期共同关系，进而建立了GARCH模型，定量地研究了道琼斯工业股价平均指数和沪深300指数以及英国富时100指数和沪深300指数之间的关联性及其收益率之间的关系。进一步，本文检验了GARCH模型的合理性，并对模型的合理性原因进行了深入剖析，说明其合理依据。在全面而系统的考察了道琼斯工业股价平均指数和英国富时100指数与沪深300指数及其收益率的关联性的基础之上，，深入地分析了其理论和现实原因。最后，结合市场的现实状况，分析了欧债危机对中国和欧洲资本市场关联性的巨大影响。
[Abstract]:In the 21 century, China's capital market has become more and more open to the outside world, which makes the fluctuation of the world's capital market more and more impact on China's capital market. At the same time, the further development of China's capital market is the inevitable requirement for our country's economy to grow. Therefore, the world capital market led by the United States will affect the growth and development of our country's capital market on a wider scale. In view of this, it is of great value to analyze the relationship between China and European capital markets and the capital markets of China and the United States. Based on the unit root test, cointegration test and Granger causality test, this paper deals with the CSI 300, the Dow Jones Industrial average, which represent the capital markets of China, the United States and Europe, respectively. The FTSE 100 index is systematically studied and analyzed. By analyzing whether the three have long-term common relationship, the GARCH model is established. The relationship between the Dow Jones Industrial average (Dow Jones Industrial average) and the CSI 300, the FTSE 100 and the CSI 300, as well as the relationship between their yields are studied quantitatively. Furthermore, the rationality of GARCH model is tested, and the reasonable reasons of the model are analyzed in depth to explain its reasonable basis. On the basis of a comprehensive and systematic study of the correlation between the Dow Jones Industrial average Index and the FTSE 100 Index and the Shanghai and Shenzhen 300 Index and their yields, the theoretical and practical reasons are analyzed in depth. Finally, the paper analyzes the impact of European debt crisis on the relationship between China and European capital markets.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F831.51;F224

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