發(fā)布時(shí)間：2018-03-13 10:01

  本文選題：收益率溢出效應(yīng)　切入點(diǎn)：中國股市　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：在全球經(jīng)濟(jì)一體化的大背景下，一些新興國家諸如阿根廷和泰國等國家在其國內(nèi)金融體制不完善，資本市場運(yùn)作尚未成熟的情況下過早地開放了資本賬戶，導(dǎo)致外部資本沖擊脆弱的國內(nèi)資本市場，引發(fā)本國貨幣大幅貶值，引發(fā)金融動(dòng)蕩，最終導(dǎo)致資本賬戶開放難以為繼。中國吸取了這些教訓(xùn)和發(fā)達(dá)國家資本賬戶開放成功的經(jīng)驗(yàn)，循序漸進(jìn)地進(jìn)行資本市場自由化的改革，中國資本市場的開放進(jìn)程對于我國市場經(jīng)濟(jì)體制特別是資本市場的發(fā)展與完善有著非常重要的意義。為了考察資本賬戶自由化對中國股市的影響，提升我國股票市場的效率，以避免與國際市場間的收益率溢出所導(dǎo)致的投資風(fēng)險(xiǎn)，推動(dòng)我國股票市場制度的完善和穩(wěn)健發(fā)展，非常有必要研究在不同資本賬戶開放時(shí)期我國股市與世界股市間的收益率溢出效應(yīng)。 本文選取1992年3月1日到2012年3月1日期間中國上證指數(shù)，美國道瓊斯工業(yè)指數(shù)、英國富時(shí)指數(shù)、日經(jīng)指數(shù)、泰國SET指數(shù)、臺灣加權(quán)指數(shù)作為研究對象。在測度中國資本市場開放程度的基礎(chǔ)上，將樣本分為三個(gè)階段，利用Johansen協(xié)整檢驗(yàn)、Granger因果檢驗(yàn)、脈沖響應(yīng)函數(shù)、方差分解等模型來研究中國與其他五大市場之間的收益率溢出效應(yīng)。通過實(shí)證分析得到以下結(jié)論：（1）在第一階段，中國資本賬戶處于管制階段，，中國股市與其他五大市場間基本無收益率溢出效應(yīng)，中國股市獨(dú)立于其他五大市場。（2）在第二階段，雖然中國對資本賬戶進(jìn)行了大刀闊斧的改革，這個(gè)階段中國股市開始受外部市場的收益率溢出，但是由于在資本流量和存量上沒有一定的積累，其影響比較小并且中國股市對外部市場不存在收益率溢出。（3）在第三階段，隨著資本的流動(dòng)障礙逐漸減小，中國對外部市場尤其是亞太市場產(chǎn)生了較為明顯的收益率溢出。 通過以上的實(shí)證分析，本文提出了在保證國內(nèi)金融穩(wěn)定的前提下穩(wěn)步開放資本賬戶的政策建議。
[Abstract]:In the context of global economic integration, some emerging countries, such as Argentina and Thailand, have opened their capital accounts prematurely in the absence of sound domestic financial systems and the functioning of capital markets, This has led to external capital shocks to fragile domestic capital markets, a sharp devaluation of the domestic currency, financial turmoil and, ultimately, the unsustainability of capital account opening. China has learned these lessons and the experience of successful capital account opening in developed countries. Progressive reform of capital market liberalization, The opening process of China's capital market is of great significance to the development and perfection of China's market economic system, especially the capital market. In order to investigate the impact of capital account liberalization on China's stock market, and to enhance the efficiency of China's stock market, In order to avoid the investment risk caused by the rate of return spillover with the international market, and promote the perfection and steady development of the stock market system of our country, It is necessary to study the yield spillover effect between Chinese stock market and world stock market in different capital account opening period. This paper selects the Shanghai Stock Index of China, the Dow Jones Industrial Index of the United States, the FTSE Index, the Nikkei Index and the SET Index of Thailand from March 1st 1992 to March 1st 2012. Based on the measurement of the openness of China's capital market, the samples are divided into three stages. The Johansen cointegration test is used to test Granger causality and impulse response function. The variance decomposition model is used to study the yield spillover effect between China and the other five major markets. By empirical analysis, the following conclusions are drawn: 1) in the first stage, China's capital account is in the regulatory stage. China's stock market has basically no yield spillover effect from the other five markets, and the Chinese stock market is independent of the other five markets.) in the second stage, although China has made drastic reforms to its capital account, At this stage, the Chinese stock market is beginning to be overrun by the return rate of the external market, but since there is no accumulation of capital flows and stocks, the impact is relatively small and there is no yield spillover in the Chinese stock market to the external market.) in the third stage, As the barriers to capital flow have gradually decreased, China has produced more significant yield spillovers to external markets, especially in the Asia-Pacific region. Based on the above empirical analysis, this paper puts forward some policy suggestions on the steady opening of the capital account under the premise of ensuring the domestic financial stability.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 鄂志寰;為資本賬戶開放創(chuàng)造條件[J];現(xiàn)代商業(yè)銀行;2002年11期

2 王燕之 ,王丹;加強(qiáng)對短期資本流動(dòng)的管理穩(wěn)步推進(jìn)資本賬戶開放——“東盟與中日韓短期資本流動(dòng)管理和資本賬戶開放”高級研討會(huì)綜述[J];中國金融;2002年11期

3 馮琦;徐雅玲;徐衛(wèi)剛;;金融服務(wù)貿(mào)易開放和資本賬戶開放的關(guān)系[J];中國外匯;2007年Z1期

4 方文;分步推進(jìn)——我國實(shí)施資本賬戶開放的戰(zhàn)略選擇[J];國際貿(mào)易;1999年05期

5 陳勇;資本賬戶開放有利經(jīng)濟(jì)增長嗎——關(guān)于資本賬戶開放與金融危機(jī)關(guān)系的文獻(xiàn)綜述[J];特區(qū)經(jīng)濟(jì);2005年03期

6 黃繼煒;;印度資本賬戶開放與銀行業(yè)改革[J];金融經(jīng)濟(jì);2009年22期

7 李成;曲冰;;資本賬戶開放的經(jīng)濟(jì)影響及相關(guān)對策[J];中國信用卡;2007年24期

8 汪小亞;我國資本賬戶開放與利率——匯率政策的協(xié)調(diào)[J];金融研究;2001年01期

9 張同耀;;略談資本賬戶開放對商業(yè)銀行的影響[J];財(cái)經(jīng)界(學(xué)術(shù)版);2008年10期

10 翁東玲;;中國資本賬戶開放探析[J];福建論壇(社科教育版);2007年S1期

相關(guān)會(huì)議論文 前10條

1 Gary H.Jefferson;;直接海外投資在中國的溢出效應(yīng)分析:研發(fā)戰(zhàn)略的重要性研究(英文)[A];北京論壇（2011）文明的和諧與共同繁榮--傳統(tǒng)與現(xiàn)代、變革與轉(zhuǎn)型：“全球化背景下的經(jīng)濟(jì)增長：機(jī)遇、挑戰(zhàn)和方向”經(jīng)濟(jì)分論壇論文及摘要集[C];2011年

2 方志軍;李帥;舒雷;劉汪卉堯;;基于Haar小波的滬港股市異常波動(dòng)溢出效應(yīng)研究[A];信息化、工業(yè)化融合與服務(wù)創(chuàng)新——第十三屆計(jì)算機(jī)模擬與信息技術(shù)學(xué)術(shù)會(huì)議論文集[C];2011年

3 王萬s

本文編號：1605893