本文關(guān)鍵詞：歐洲股票市場與中國股票市場之間的波動溢出效應(yīng)研究　出處：《江西財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票市場 波動溢出效應(yīng) BEKK-MGARCH(1 1)模型

【摘要】：本文的研究目的，是探究在中國股票市場和歐洲股票市場之間是否存在波動溢出效應(yīng)。其實質(zhì)是通過研究德國股票市場、法國股票市場、英國股票市場與中國股票市場之間是否存在波動溢出效應(yīng)，，來判斷歐洲股票市場與中國股票市場之間是否存在波動溢出效應(yīng)。本文運用的統(tǒng)計模型是BEKK-MGARCH(1,1)模型。通過滬深300指數(shù)、德國DAX指數(shù)、法國CAC40指數(shù)與英國富時100指數(shù)的日價格指數(shù)的收盤價，構(gòu)建了各個指數(shù)的日對數(shù)收益率序列。分牛市、熊市、反彈、震蕩四個行情，分別運用BEKK-MGARCH(1,1)模型，來研究德國股票市場、法國股票市場、英國股票市場與中國股票市場之間的波動溢出效應(yīng)。 研究結(jié)果表明：中國股票市場、德國股票市場、法國股票市場及英國股票市場均具有顯著的ARCH效應(yīng)。運用計量經(jīng)濟學(xué)方法，對所選擇的樣本數(shù)據(jù)進行估計，結(jié)果顯示：在中國股票市場是牛市的情況下，波動溢出效應(yīng)在中國股票市場與德國股票市場之間是有的，而且還是雙向的；在中國股票市場是熊市的情況下，波動溢出效應(yīng)在中國股票市場與德國股票市場之間是沒有的；在中國股票市場是反彈的情況下，波動溢出效應(yīng)在中國股票市場與德國股票市場之間也是沒有的；在中國股票市場是震蕩的情況下，波動溢出效應(yīng)在中國股票市場與德國股票市場之間是有的，但是僅僅是從中國股票市場到德國股票市場，從德國股票市場到中國股票市場則沒有該現(xiàn)象。在中國股票市場是牛市的情況下，波動溢出效應(yīng)在中國股票市場與法國股票市場之間是有的，但是僅僅是從中國股票市場到法國股票市場，從法國股票市場到中國股票市場則沒有該現(xiàn)象；在中國股票市場是熊市的情況下，波動溢出效應(yīng)在中國股票市場與法國股票市場之間是沒有的；在中國股票市場是反彈的情況下，波動溢出效應(yīng)在中國股票市場與法國股票市場之間是有的，但是僅僅是從中國股票市場到法國股票市場，從法國股票市場到中國股票市場則沒有該現(xiàn)象；在中國股票市場是震蕩的情況下，波動溢出效應(yīng)在中國股票市場與法國股票市場之間是有的，但是僅僅是從中國股票市場到法國股票市場，從法國股票市場到中國股票市場則沒有該現(xiàn)象。在中國股票市場是牛市的情況下，波動溢出效應(yīng)在中國股票市場與英國股票市場之間是沒有的；在中國股票市場是熊市的情況下，波動溢出效應(yīng)在中國股票市場與英國股票市場之間也是沒有的；在中國股票市場是反彈的情況下，波動溢出效應(yīng)在中國股票市場與英國股票市場之間是有的，而且還是雙向的；在中國股票市場是震蕩的情況下，波動溢出效應(yīng)在中國股票市場與英國股票市場之間是有的，但是僅僅是從中國股票市場到英國股票市場，從英國股票市場到中國股票市場則沒有該現(xiàn)象。
[Abstract]:The purpose of this paper is to explore whether there is volatility spillover effect between Chinese stock market and European stock market. The essence of this study is to study the German stock market and the French stock market. Whether there is volatility spillover effect between UK stock market and Chinese stock market. To determine whether there is volatility spillover effect between European stock market and Chinese stock market. The statistical model used in this paper is BEKK-MGARCH1) model. The closing price of the DAX index in Germany, the CAC40 index in France, and the daily price index in the FTSE index in the UK, constructed a series of daily logarithmic yields for each index. It was divided into bull markets, bear markets, and rebounded. Four market shocks, respectively using the BEKK-MGARCHG 1) model, to study the German stock market, the French stock market. Volatility spillover effect between UK stock market and Chinese stock market. The results show that the Chinese stock market, the German stock market, the French stock market and the British stock market have significant ARCH effects. The results show that the volatility spillover effect exists between the Chinese stock market and the German stock market when the Chinese stock market is a bull market. Under the condition that the Chinese stock market is a bear market, there is no volatility spillover effect between the Chinese stock market and the German stock market. When the Chinese stock market is rebounding, the volatility spillover effect is not found between the Chinese stock market and the German stock market. In the case that the Chinese stock market is volatile, the volatility spillover effect exists between the Chinese stock market and the German stock market, but only from the Chinese stock market to the German stock market. There is no such phenomenon from the German stock market to the Chinese stock market. In the case of a bull market in the Chinese stock market, volatility spillover effects exist between the Chinese stock market and the French stock market. But only from the Chinese stock market to the French stock market, from the French stock market to the Chinese stock market, there is no such phenomenon; Under the condition that the Chinese stock market is a bear market, there is no volatility spillover effect between the Chinese stock market and the French stock market. In the case of a rebound in the Chinese stock market, volatility spillover effects exist between the Chinese stock market and the French stock market, but only from the Chinese stock market to the French stock market. From the French stock market to the Chinese stock market, there is no such phenomenon; In the case that the Chinese stock market is volatile, the volatility spillover effect exists between the Chinese stock market and the French stock market, but only from the Chinese stock market to the French stock market. There is no such phenomenon from the French stock market to the Chinese stock market. When the Chinese stock market is a bull market, there is no volatility spillover effect between the Chinese stock market and the British stock market; Under the condition that the Chinese stock market is a bear market, the volatility spillover effect is not between the Chinese stock market and the British stock market. In the case that the Chinese stock market is rebounding, the volatility spillover effect between the Chinese stock market and the British stock market is still two-way; When the Chinese stock market is volatile, the volatility spillover effect exists between the Chinese stock market and the British stock market, but only from the Chinese stock market to the British stock market. From the British stock market to the Chinese stock market, there is no such phenomenon.
【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F831.51;F224

【參考文獻】

相關(guān)期刊論文 前6條

1 何光輝;楊咸月;;金磚新興股票市場國際定位及其溢出效應(yīng)檢驗[J];財經(jīng)研究;2010年04期

2 王璐;龐皓;;中國股市和債市波動的溢出效應(yīng)——基于交易所和銀行間市場的實證研究[J];金融論壇;2008年04期

3 劉曉星;段斌;謝福座;;股票市場風(fēng)險溢出效應(yīng)研究:基于EVT-Copula-CoVaR模型的分析[J];世界經(jīng)濟;2011年11期

4 李成;馬文濤;王彬;;我國金融市場間溢出效應(yīng)研究——基于四元VAR-GARCH(1,1)-BEKK模型的分析[J];數(shù)量經(jīng)濟技術(shù)經(jīng)濟研究;2010年06期

5 王璐;龐皓;;中國股市和債市波動溢出效應(yīng)的MV-GARCH分析[J];數(shù)理統(tǒng)計與管理;2009年01期

6 劉曉星;邱桂華;;基于Copula-EVT模型的我國股票市場流動性調(diào)整的VaR和ES研究[J];數(shù)理統(tǒng)計與管理;2010年01期

相關(guān)碩士學(xué)位論文 前1條

1 陸賢偉;中國債券與股票市場間收益波動非對稱研究[D];西南交通大學(xué);2010年

本文編號：1357847