本文著重探索俄羅斯和中國股票市場之間的波動溢出效應(yīng)。在過去的30年中,金融波動的傳遞已成為市場參與者最關(guān)注的問題之一。大多數(shù)研究關(guān)注新興市場和發(fā)達(dá)市場之間的波動性溢出,并分析了大量市場。在這些研究中,通常僅將俄羅斯和中國的證券交易所作為歐洲和亞洲較大股票市場集團(tuán)的一部分研究。由于俄羅斯和中國是繼續(xù)發(fā)展歷史悠久的經(jīng)濟(jì)伙伴關(guān)系的主要經(jīng)濟(jì)伙伴,在這兩個(gè)國家之間建立協(xié)整和相互依賴的經(jīng)濟(jì)聯(lián)系非常重要。自2014年初以來,由于受到西方制裁,俄羅斯公司難以從西方金融市場上結(jié)清債務(wù)。在2013-2014年石油市場危機(jī)之后,價(jià)格從2014年6月的約100美元大幅下跌至12月的60美元以下。局勢的進(jìn)一步升級導(dǎo)致扭曲了俄羅斯的預(yù)算平衡,并嚴(yán)重削弱了俄羅斯的經(jīng)濟(jì)。此外,這場危機(jī)對全球整體經(jīng)濟(jì)意義重大,主要影響了俄羅斯的貨幣兌換和石油市場。政治和經(jīng)濟(jì)問題已使歐美投資者擺脫了俄羅斯經(jīng)濟(jì)。這一發(fā)展促使俄羅斯與中國建立更牢固的聯(lián)系,以促進(jìn)中俄貿(mào)易和金融伙伴關(guān)系的融合。近年來,中國增加了對俄羅斯經(jīng)濟(jì)的投資活動。預(yù)計(jì)這些因素不僅可能影響俄羅斯股市,而且可能對中國股市產(chǎn)生巨大影響。這些因素不僅會對俄羅斯的股票市場造成巨大的... 

【文章來源】：哈爾濱工業(yè)大學(xué)黑龍江省 211工程院校 985工程院校

【文章頁數(shù)】：61 頁

【學(xué)位級別】：碩士

【文章目錄】：
詳細(xì)摘要
Abstract
Chapter 1 Introduction
    1.1 Research Problem Source
    1.2 Research Background
        1.2.1 Volatility Spillover Effect
        1.2.2 Conditional Heteroscedasticity
    1.3 Research Purpose and Significance
        1.3.1 Research Purpose
        1.3.2 Research Significance
    1.4 Literature Review and Analysis
        1.4.1 Volatility Spillover Effects Research Overview
        1.4.2 Volatility Spillover Effects on the Russian Stock Market
        1.4.3 Volatility Spillover Effects on the Chinese Stock Market
        1.4.4 Analysis of Literature Review
    1.5 Research Contents and Methods
        1.5.1 Research Contents
        1.5.2 Research Methods
Chapter 2 Volatility Spillover Effects Theory
    2.1 Volatility Spillovers Related Concepts
        2.1.1 Spillover Effect
        2.1.2 Volatility Clustering
        2.1.3 Heteroscedasticity
    2.2 Volatility Spillover Effect Mechanism
        2.2.1 Economic Foundations of Spillover Effect
        2.2.2 Volatility Spillover Effect on Financial Markets
    2.3 Volatility Spillover Effects on Chinese and Russian Stock Markets
    2.4. Volatility spillovers analysis theoretical framework
    2.5 Summary
Chapter 3 Empirical Research Design
    3.1 Methodology
        3.1.1 Unit Root Tests and Stationarity Tests
        3.1.2. Cointegration Tests
        3.1.3 Granger Causality Test
        3.1.4 Conditional Heteroscedasticity
    3.2 Variables Selection
        3.2.1 Russian Stock Indexes
        3.2.2 Chinese Stock Indices
    3.3 Data Selection and Adjustment
    3.4 Sample Selection
    3.5 Empirical Model Design
    3.6 Summary
Chapter 4 Empirical Research Results
    4.1 Descriptive Statistic
        4.1.1 Descriptive Statistic Analysis
        4.1.2 Volatility Clustering
    4.2 Unit Root Test Results
    4.3 Cointegration Test Results
        4.3.1 Lag Length Selection
        4.3.2 Deterministic Components of Johansen Test
        4.3.3 Johansen Approach
    4.4 Pairwise Granger Causality Tests
    4.5 Impulse Response
    4.6 BEKK GARCH Approach
    4.7 Research output discussion
    4.8 Recommendations
    4.9 Summary
結(jié)論
Conclusion
References
Appendix
Acknowledgement



本文編號：3462397