中国大陆股市与美国股市联动性之研究
发布时间：2018-08-15 15:18
【摘要】：从20世纪80年代以来，金融自由化和经济一体化使得国际资本流动趋势愈发明显。股票市场历来被称为国民经济的“晴雨表”，作为金融市场的重要组成部分，往往会在一定程度上以股票价格的联动性对世界经济的波动作出反应。20世纪90年代初，中国的上海证券交易所和深圳证券交易所先后正式成立。此后经过二十余年的发展，沪深两市迅速壮大并在我国的金融市场中占据十分重要地位。2007年以来，次贷危机先是在美国境内爆发开来，后来演变为严重的金融危机，并引发了去全球范围内的经济衰退，导致全球资本市场的极大波动，我国作为新兴的发展中国家之一，对外开放程度不断提高，因此也在本轮金融危机中受灾严重。 本文以金融危机为时代背景，在总结和学习国内外学者相关研究的基础上，对股市联动性的基础理论进行了阐述，并对中美股市联动的内在机理进行详细分析，依据金融危机爆发到席卷全球再到各国应对危机的全过程进行时间分段，运用VAR模型、ADF检验、Johansen检验、Granger因果检验、脉冲响应函数以及方差分解等，对上证综指和标普500指数进行系统的实证分析，，并结合理论分析得出结果。 在金融深化和信息科学技术高度发达和迅速发展的今天，金融危机对中国大陆和美国股市的影响是不可小觑的。从金融危机以来，两国股市联动性大大加强，数次出现剧烈震荡行情，这与我国资本市场的不断开放和发展离不开，但金融危机的影响更是难以逃脱干系。本文就中国大陆和美国股市间联动性的研究随尚有缺陷，但希望能为我国资本市场的未来发展方向和成熟完善提供参考。
[Abstract]:Since 1980's, financial liberalization and economic integration have made the trend of international capital flow more obvious. The stock market has always been called the barometer of the national economy. As an important part of the financial market, it often responds to the fluctuation of the world economy with the linkage of the stock price to a certain extent. China's Shanghai Stock Exchange and Shenzhen Stock Exchange have been formally established. After more than 20 years of development, the Shanghai and Shenzhen stock markets have grown rapidly and occupied a very important position in our financial market. Since 2007, the subprime mortgage crisis has first erupted in the United States and then turned into a serious financial crisis. And caused the global economic recession, leading to the global capital market fluctuations, China as one of the emerging developing countries, the degree of opening to the outside world continues to improve, so also in this round of financial crisis seriously affected. Taking the financial crisis as the background of the times, on the basis of summarizing and studying the relevant research of domestic and foreign scholars, this paper expounds the basic theory of stock market linkage, and analyzes in detail the internal mechanism of the stock market linkage between China and the United States. According to the time segment of the whole process from the financial crisis breaking out to the whole world and then to the countries to deal with the crisis, the VAR model is used to test the Johansen test of Granger causality, impulse response function and variance decomposition, etc. The empirical analysis of Shanghai Composite Index and S & P 500 Index is carried out systematically, and the results are obtained by combining the theoretical analysis. With the financial deepening and the highly developed and rapid development of information science and technology, the impact of the financial crisis on the stock market in mainland China and the United States cannot be underestimated. Since the financial crisis, the linkage between the two countries' stock markets has been greatly strengthened, and several times have seen violent fluctuations, which is inseparable from the continuous opening and development of China's capital markets, but the impact of the financial crisis is even more difficult to escape. In this paper, there are still some defects in the study of the interaction between Chinese mainland and American stock markets, but we hope to provide a reference for the future development and maturity of China's capital market.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F837.12
[Abstract]:Since 1980's, financial liberalization and economic integration have made the trend of international capital flow more obvious. The stock market has always been called the barometer of the national economy. As an important part of the financial market, it often responds to the fluctuation of the world economy with the linkage of the stock price to a certain extent. China's Shanghai Stock Exchange and Shenzhen Stock Exchange have been formally established. After more than 20 years of development, the Shanghai and Shenzhen stock markets have grown rapidly and occupied a very important position in our financial market. Since 2007, the subprime mortgage crisis has first erupted in the United States and then turned into a serious financial crisis. And caused the global economic recession, leading to the global capital market fluctuations, China as one of the emerging developing countries, the degree of opening to the outside world continues to improve, so also in this round of financial crisis seriously affected. Taking the financial crisis as the background of the times, on the basis of summarizing and studying the relevant research of domestic and foreign scholars, this paper expounds the basic theory of stock market linkage, and analyzes in detail the internal mechanism of the stock market linkage between China and the United States. According to the time segment of the whole process from the financial crisis breaking out to the whole world and then to the countries to deal with the crisis, the VAR model is used to test the Johansen test of Granger causality, impulse response function and variance decomposition, etc. The empirical analysis of Shanghai Composite Index and S & P 500 Index is carried out systematically, and the results are obtained by combining the theoretical analysis. With the financial deepening and the highly developed and rapid development of information science and technology, the impact of the financial crisis on the stock market in mainland China and the United States cannot be underestimated. Since the financial crisis, the linkage between the two countries' stock markets has been greatly strengthened, and several times have seen violent fluctuations, which is inseparable from the continuous opening and development of China's capital markets, but the impact of the financial crisis is even more difficult to escape. In this paper, there are still some defects in the study of the interaction between Chinese mainland and American stock markets, but we hope to provide a reference for the future development and maturity of China's capital market.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F837.12
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