發(fā)布時(shí)間：2018-04-11 15:45

  本文選題：金磚四國 + 股市聯(lián)動(dòng)性　； 參考：《東華大學(xué)》2012年碩士論文

【摘要】：隨著世界經(jīng)濟(jì)一體化的推進(jìn),國與國之間相互影響的廣度、深度和影響時(shí)間都相比以前有了明顯的提高。這種相互影響既有正面積極的效果,例如互利互惠、協(xié)調(diào)發(fā)展和資源優(yōu)化配置等,同時(shí)也存在著諸多負(fù)面效應(yīng)。自美國次貸危機(jī)以來,除了美國本土企業(yè)受到巨大損失、不少企業(yè)破產(chǎn)以外,其他國家受到的沖擊也不容小覷。美國股市受到經(jīng)濟(jì)不景氣的拖累,出現(xiàn)了嚴(yán)重下滑,金磚四國的股市也出現(xiàn)了不同程度的下跌。 本文首先對(duì)于股市聯(lián)動(dòng)性的文獻(xiàn)綜述進(jìn)行了梳理和總結(jié)。按研究對(duì)象可以分為：發(fā)達(dá)國家間股市聯(lián)動(dòng)性、發(fā)達(dá)國家和發(fā)展中國家間股市聯(lián)動(dòng)性、發(fā)展中國家間股市聯(lián)動(dòng)性。按研究方法可以分為：協(xié)整模型和VAR模型、ARCH族模型和其他方法。研究股市聯(lián)動(dòng)性的理論可以分為：經(jīng)濟(jì)基礎(chǔ)說、行為金融學(xué)和其他理論。并對(duì)文獻(xiàn)綜述進(jìn)行了評(píng)述,歸納總結(jié)了文獻(xiàn)綜述的特點(diǎn),評(píng)價(jià)文獻(xiàn)綜述的不足之處和發(fā)展方向。 其次,本文對(duì)股市聯(lián)動(dòng)性的傳導(dǎo)渠道進(jìn)行分析。以股市上漲為例,資本傳導(dǎo)渠道基本原理為：一國資本流入另一國,最終引起另一國的貨幣供應(yīng)量增加,使得股市引起變動(dòng)。國際貿(mào)易渠道基本原理為：國際貿(mào)易影響總需求、價(jià)格和產(chǎn)量的變動(dòng),然后影響宏觀經(jīng)濟(jì),從而引起股市價(jià)格波動(dòng)。 在研究股市傳導(dǎo)途徑和文獻(xiàn)綜述的基礎(chǔ)上,本文介紹了股市聯(lián)動(dòng)性研究的方法,包括VAR模型、協(xié)整分析、方差分析和脈沖響應(yīng)函數(shù)等方法。然后對(duì)股市聯(lián)動(dòng)性進(jìn)行實(shí)證研究,通過實(shí)證分析發(fā)現(xiàn),美國標(biāo)普500指數(shù)和巴西Bovespa指數(shù)的聯(lián)動(dòng)性最強(qiáng),其次是俄羅斯RTSI指數(shù),而美國標(biāo)普500指數(shù)同印度BSE30指數(shù)和中國滬深300指數(shù)的聯(lián)動(dòng)性最弱。 最后,本文對(duì)金磚四國緩解美國股市不利沖擊提出了政策建議。在監(jiān)管熱錢流動(dòng)方面,可以嚴(yán)格控制非法資金的流入、構(gòu)建更為有效的監(jiān)控機(jī)制國際熱錢流動(dòng)、促進(jìn)國際合作、加強(qiáng)對(duì)外資流入股票市場的管理、在必要的時(shí)候開征托賓稅。在改革國際貨幣體系方面,一要促進(jìn)國際貨幣基金組織的決策機(jī)制更加透明化,避免暗箱操作；二要進(jìn)行多方協(xié)調(diào),增強(qiáng)金磚四國在國際貨幣體系改革中的話語權(quán)。在規(guī)范股市信息披露方面,可以建立和完善證券市場監(jiān)督的組織體系、建立健全有關(guān)法律法規(guī)體系、制定證券市場信息監(jiān)管制度、完善證券發(fā)行、上市審核制度。
[Abstract]:With the development of world economic integration, the breadth, depth and influence time of the interaction between countries have been obviously improved.This kind of interaction has both positive and positive effects, such as mutual benefit, coordinated development and optimal allocation of resources, as well as many negative effects.Since the subprime mortgage crisis in the United States, in addition to the huge losses suffered by domestic companies, many companies have gone bankrupt, other countries are also not to be underestimated.U.S. stocks, dragged down by the recession, have fallen sharply, and BRIC stocks have fallen to varying degrees.Firstly, this paper summarizes the literature review of stock market linkage.According to the research object, it can be divided into three parts: stock market linkage among developed countries, stock market linkage between developed and developing countries, and stock market linkage between developing countries.According to the research methods, it can be divided into: cointegration model and VAR model, arch family model and other methods.The theory of stock market linkage can be divided into economic base theory, behavioral finance and other theories.This paper also reviews the literature review, summarizes the characteristics of the literature review, and evaluates the shortcomings and development direction of the literature review.Secondly, this paper analyzes the transmission channel of stock market linkage.Taking the stock market rise as an example, the basic principle of the capital transmission channel is that capital flows into another country, which eventually leads to the increase of money supply in another country, which causes the stock market to change.The basic principle of international trade channel is that international trade affects the change of aggregate demand, price and output, and then affects the macro economy, thus causing the fluctuation of stock market price.Based on the study of stock market conduction and literature review, this paper introduces the methods of stock market linkage research, including VAR model, cointegration analysis, variance analysis and impulse response function.Through empirical analysis, it is found that the S & P 500 index and the Brazilian Bovespa index are the strongest, followed by the Russian RTSI index.The S & P 500 index has the weakest interaction with India's BSE30 index and China's CSI 300 index.Finally, the paper puts forward some policy suggestions for the BRICs to mitigate the adverse impact of American stock market.In regulating the flow of hot money, we can strictly control the inflow of illegal funds, construct a more effective monitoring mechanism for international hot money flows, promote international cooperation, strengthen the management of the inflow of foreign capital into the stock market, and levy a Tobin tax when necessary.In the reform of the international monetary system, first, the decision-making mechanism of the International Monetary Fund should be made more transparent so as to avoid dark manipulation; second, the BRICs' voice in the reform of the international monetary system should be strengthened through multi-party coordination.In regulating the disclosure of information in the stock market, we can establish and perfect the organizational system of securities market supervision, establish and perfect the relevant laws and regulations system, formulate the information supervision system of the securities market, and perfect the securities issuance and listing examination system.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F831.51;F224

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本文編號(hào)：1736634