本文選題：亞太股票市場 + 聯(lián)動性��； 參考：《西南財經(jīng)大學》2013年博士論文

【摘要】：當今世界是金融全球化高速發(fā)展的時代,金融全球化加強了各國資本市場之間的聯(lián)系,國際資本流動跨境活躍。隨著各國(地區(qū))金融自由化改革步伐的加快,股票市場自由化程度的提高,各國(地區(qū))股市之間的聯(lián)動性在不斷增強,各國(地區(qū))股票市場的價格走勢往往會相互影響。2007年由美國次貸危機引發(fā)的全球金融危機是繼1929年大蕭條之后世界所發(fā)生的最嚴重的一次危機,這次金融危機使許多國家(地區(qū))金融系統(tǒng)遭受重創(chuàng),金融危機導致股票市場規(guī)模迅速下滑,GDP增長放緩,經(jīng)濟發(fā)展低迷。全球金融危機的發(fā)生不僅影響一國(地區(qū))股票市場的收益,而且也會對一國(地區(qū))股票市場的波動產生影響。同時,隨著金融全球化趨勢的增強,各國股市間的聯(lián)動程度也在不斷加深,金融危機的發(fā)生勢必會給各國(地區(qū))股票市場間聯(lián)動性造成影響,影響著股市間在收益和波動上的傳播過程,本文的研究正是在這樣的背景下確立的。本文主要研究的是亞太22個國家(地區(qū))股票市場的聯(lián)動性是否由于金融危機的發(fā)生而變化?變化程度如何? 本文的研究分為理論和實證兩個方面,在理論上,分別從資本流動和貿易流動兩個方面對亞太股市聯(lián)動性產生的路徑進行分析,旨在為亞太股市聯(lián)動性的變化提供理論支撐。在實證方面分別采用Granger因果檢驗、Johansen協(xié)整檢驗、脈沖響應和方差分解以及VAR(3)-GARCH(1,1)-BEKK模型對亞太股市間的聯(lián)動性進行分析。全文的主要研究內容如下： (一)Granger因果檢驗。通過該檢驗來分析金融危機前后亞太股市間的因果聯(lián)系(雙向、單向)是否發(fā)生改變,一國(地區(qū))股市收益的變化是否會受到別國(地區(qū))股市收益的影響。 (二)Johansen協(xié)整檢驗。該方法試圖分析金融危機的發(fā)生是否使亞太股市間的長期均衡狀態(tài)發(fā)生變化,為了確保協(xié)整分析的準確定性,我們分別.采用亞太股指收益率序列不包含確定趨勢,協(xié)整方程含有截距項；收益率序列含線性確定性趨勢,協(xié)整方程僅含有截距項；收益率序列含有二次確定性趨勢,協(xié)整方程有截距和線性確定性趨勢這三種模型進行跡檢驗和最大特征根檢驗。 (三)脈沖響應和方差分解。隨著金融全球化趨勢的加深,亞太股市間的聯(lián)動強度也會不斷深化,一國(地區(qū))股市的波動除了受到自身的影響之外,還會更多地受到其他國家(地區(qū))股市波動的影響(取決于股票市場的自由化程度)。通過脈沖響應和方差分解則能夠很好的描述這種影響。 (四)溢出效應。文中將溢出效應分為收益均值溢出效應和波動溢出效應進行分析。是前面關于股市聯(lián)動性的進一步研究。Granger因果檢驗只能說明股市間是否存在雙向因果聯(lián)系和單向因果聯(lián)系,但不能說明一國(地區(qū))股市收益對別國(地區(qū))股市收益的影響程度,只是說明一種狀況,而不能進行微觀解讀。收益均值溢出效應則能夠從微觀角度對各股市間在收益上的影響程度進行深入分析,通過分析,能夠更清晰的發(fā)現(xiàn)亞太股市間在收益上的溢出程度。通過波動溢出效應則能發(fā)現(xiàn)亞太股市彼此間是否存在單向和雙向波動溢出效應,以及該效應的影響程度。 本文通過上面介紹的計量方法對亞太地區(qū)股市間聯(lián)動性在危機前后的變化情況進行分析,得出的主要結論如下： (一)通過對亞太各國(地區(qū))股市間的相關程度分析后發(fā)現(xiàn),從整體來看,無論是收益間的相關性,還是波動間的相關性,都由于金融危機的發(fā)生而提高。 (二)Granger因果檢驗表明,金融危機的發(fā)生使得亞太股市間的影響關系發(fā)生明顯變化,打破了危機之前各股市之間關系的原有格局,同時,每個國家(地區(qū))對其他國家(地區(qū))的影響范圍也發(fā)生了很大程度的變化。美國在全球經(jīng)濟、金融中所具有的特殊地位,無論是在危機前,還是在危機后,其股票市場的變化都對其他各國(地區(qū))股票市場有著顯著的影響。 (三)方差分解表明,金融危機前后期不同國家(地區(qū))股市波動對其他國家(地區(qū))股市波動的貢獻度各有不同,危機后,有的貢獻度增加,有的貢獻度減少。有兩個國家比較例外,一個是中國大陸、另一個是斯里蘭卡。中國大陸和斯里蘭卡無論是在危機前還是在危機后,股市波動絕大部分來自于自身沖擊的影響,受到外部的干擾較少。脈沖響應也從不同程度反映了危機前后各國(地區(qū))股市沖擊對其他各國(地區(qū))股市產生的影響,總體來看,危機后,一國(地區(qū))股市對他國(地區(qū))股市所造成的沖擊幅度和持續(xù)期要強于危機前。 (四)采用VAR(3)-GARCH(1,1)-BEKK模型對亞太各國(地區(qū))股市間的收益均值溢出效應和波動溢出效應進行危機前后的比較研究。研究結果表明,金融危機的發(fā)生使亞太股市間聯(lián)動的格局發(fā)生明顯的變化。從收益均值溢出效應分析結果來看,危機前后亞太股市間相互影響的國家在數(shù)量上發(fā)生明顯變化,危機前,一國(地區(qū))股市收益受到多個國家(地區(qū))股市收益變動的影響,但危機后,受到影響的國家(地區(qū))數(shù)量減少；有的國家(地區(qū))則發(fā)生完全相反的情況,危機前受到影響的國家(地區(qū))數(shù)量少,但危機后,數(shù)量卻明顯增多。同時,金融危機的發(fā)生,使得亞太股市彼此間在收益上的雙向溢出效應明顯增加,VAR(3)模型詳細的說明了危機前后亞太各國(地區(qū))在均值溢出效應方面的影響程度。GARCH (1,1)-BEKK模型則詳細的分析了亞太股市間的波動溢出效應情況,分析發(fā)現(xiàn),危機前后,亞太股市間的單向和雙向波動溢出效應明顯不同。受金融危機的影響,危機后,亞太股市間的波動溢出效應無論是在單向溢出效應還是在雙向溢出效應上都明顯增加。 在本文的分析中,較為特殊的是美國和斯里蘭卡。由于美國在全球經(jīng)濟、金融中所具有的特殊地位,無論是在危機前,還是在危機后,其股票市場的變化都對其他各國(地區(qū))股票市場有著顯著的影響。同時還發(fā)現(xiàn),斯里蘭卡股票市場與各國(地區(qū))股票市場之間存在嚴重分割性,股票市場的國際化程度極低,股票市場幾乎處于完全自我的發(fā)展狀態(tài)。 本文在研究角度、研究方法、數(shù)據(jù)材料和實證結論等方面具有一定的創(chuàng)新性： 在研究視角上,本文以全球金融危機的爆發(fā)為切入點,站在國際投資者的視角上對亞太22個國家(地區(qū))股市聯(lián)動性狀況進行深入分析,全面、細致地了解危機前后亞太股市彼此間的影響和依賴程度。為投資者根據(jù)自己的偏好合理配置資產投資組合,分散風險,最大化收益提供科學依據(jù)。 在研究方法上,本文采取Granger因果檢驗、Johansen協(xié)整檢驗、脈沖響應、方差分解和VAR(3)-GARCH(1,1)-BEKK模型相結合的方法對亞太22個國家(地區(qū))股市聯(lián)動性進行分析,彌補之前學者只使用其中某些計量方法分析的缺陷,使得對問題的分析更加的透徹。 在研究數(shù)據(jù)上,與國內學者研究股票市場國際聯(lián)動性所使用的股票市場指數(shù)相比,本文以摩根斯坦利國際資本公司(MSCI)編制的跟蹤各國或地區(qū)股票表現(xiàn)的日指數(shù)作為分析22個國家(地區(qū))股票市場聯(lián)動性的初始數(shù)據(jù)。該指數(shù)統(tǒng)一以美元計價,不僅有代表意義、便于比較,而且避免了處理數(shù)據(jù)的誤差。而且該指數(shù)所具有的客觀性、公正性、實用性、參考性等特點更確定了它的獨特優(yōu)勢。 在實證結論上,本文統(tǒng)一采用以美元表示的MSCI指數(shù)對亞太股市間的聯(lián)動性進行實證研究,實證研究結果表明,危機前后亞太股市間的影響格局發(fā)生了明顯的改變。一些國家(地區(qū))股票市場在危機前存在著不同程度的聯(lián)系,但危機后,原有的聯(lián)系消失,重新建立新的聯(lián)系。收益均值溢出效應和波動溢出效應危機前后變化明顯。 綜上所述,本文是在對之前學者研究的基礎上,采用新的數(shù)據(jù),運用多種國際流行的計量方法,對亞太22個國家(地區(qū))股市間的聯(lián)動性進行深入的研究,得出一些有意義的結果。對于市場投資者而言,當各國(地區(qū))股市聯(lián)動性很強時,投資者可以通過一國(地區(qū))股票市場價格指數(shù)的走勢對其他國家(地區(qū))股票市場的價格指數(shù)走勢進行判斷,從而根據(jù)自己的偏好合理配置資產投資組合,分散風險,最大化收益；對于政策制定者和監(jiān)管層而言,通過股市間的聯(lián)動性狀況分析,加強金融監(jiān)管,制定有效措施防范金融危機的傳染效應進一步擴大,從而保護本國(地區(qū))投資者的利益和維持本國(地區(qū))金融市場的穩(wěn)定。
[Abstract]:The global financial crisis triggered by the U.S . subprime crisis is the most serious crisis in the world after the Great Depression of 1929 . The global financial crisis triggered by the U.S . subprime crisis is the most serious crisis in the stock market after the Great Depression of 1929 . The global financial crisis has influenced not only the stock market of a country ( region ) , but also the fluctuation of the stock market .

This paper is divided into two aspects : theory and demonstration . In theory , we analyze the path of the joint initiative of the Asia - Pacific stock market from two aspects of capital flow and trade flows , which are aimed at providing theoretical support for the change of the joint initiative of the Asia - Pacific stock market . In the positive aspects , we analyze the joint initiative among the Asia - Pacific stock market by the causality test , Johansen co - integration test , impulse response and variance decomposition , and VAR ( 3 ) - ARCH ( 1,1 ) - BEKK model .

The test is to analyze whether the causal link between the Asia - Pacific stock market before and after the financial crisis ( two - way and one - way ) has changed , whether the change of the return of the stock market in one country ( region ) is affected by the return of the stock market in other countries ( region ) .

( 2 ) Johansen co - integration test . The method attempts to analyze whether the occurrence of the financial crisis has changed the long - term equilibrium state between the Asia - Pacific stock market , and in order to ensure the accuracy of the co - integration analysis , we have adopted the Asia - Pacific stock index yield sequence does not contain the determination trend , and the cointegration equation contains intercept terms ;
The yield sequence contains a linear deterministic trend , and the cointegration equation contains only intercept terms ;
The yield sequence contains quadratic deterministic trend , co - integration equation has intercept and linear deterministic trend .

( 3 ) impulse response and variance decomposition . Along with the deepening of the trend of financial globalization , the linkage strength between the Asia - Pacific stock market will be deepened , and the fluctuation of the stock market in one country ( region ) will be more affected by the fluctuation of the stock market in other countries ( region ) besides its own influence ( depending on the degree of liberalization of the stock market ) . This effect can be well described by impulse response and variance decomposition .

( 4 ) The spillover effect is divided into profit mean overflow effect and fluctuation spillover effect .

Through the measurement method introduced above , this paper analyzes the changes of the inter - market volatility in the Asia - Pacific region before and after the crisis . The main conclusions are as follows :

( 1 ) Through the analysis of the correlation degree between the Asia - Pacific countries ( region ) and the stock market , it is found that , from the whole , whether the correlation among the benefits or the correlation among the volatility is increased due to the occurrence of the financial crisis .

( 2 ) The causality test shows that the impact of the financial crisis has changed obviously , which broke the original pattern of the relationship between the stock markets before the crisis . At the same time , the influence scope of each country to other countries has changed greatly . The special status of the United States in the global economy and finance has a significant impact on the stock market of other countries , both before and after the crisis .

The variance decomposition shows that the volatility of the stock market in different countries ( regions ) before and after the financial crisis has different contribution to the volatility of the stock market in other countries ( region ) .

The results show that the impact of the financial crisis on the relationship between the Asia - Pacific stock market and the Asia - Pacific stock market has changed significantly . The results show that the number of countries affected by the crisis before and after the crisis has changed significantly .
At the same time , there is a marked increase in the number of countries ( regions ) affected by the crisis . At the same time , after the crisis , the number is obviously increased . At the same time , the financial crisis has increased significantly . At the same time , the volatility spillover effect between the Asia - Pacific stock market and the Asia - Pacific stock market is explained in detail after the crisis . The volatility spillover effect between the Asia - Pacific stock market and the Asia - Pacific stock market after the crisis is obviously different from the one - way overflow effect or the bi - directional overflow effect .

In the analysis of this paper , it is more specific that the United States and Sri Lanka have a special status in the global economy and finance , whether before the crisis or after the crisis , their stock market changes have a significant impact on the stock market of other countries . At the same time , it has been found that there is a serious segmentation between the stock market of Sri Lanka and the stock market in other countries . The internationalization degree of the stock market is very low , and the stock market is almost in the state of full self - development .

In this paper , the research angle , the research methods , the data materials and the empirical conclusions are innovative :

From the perspective of international investors , this paper analyzes comprehensively and carefully the volatility of stock market in 22 countries in the Asia - Pacific region from the perspective of international investors .

In this paper , we analyze the volatility of the stock market in 22 countries in the Asia - Pacific region ( region ) by using the method of causality test , Johansen co - integration test , impulse response , variance decomposition and VAR ( 3 ) - ARCH ( 1,1 ) - BEKK model .

On the basis of the research data , compared with the stock market index used by domestic scholars to study the volatility of stock market , this paper uses the date index for tracking the stock performance of countries or regions as the initial data of stock market volatility in 22 countries ( region ) . The index is denominated in United States dollars , which is not only representative , convenient to compare , but also avoids the error of processing data .

The empirical research shows that the influence pattern of the Asia - Pacific stock market is changed obviously before and after the crisis . The empirical research shows that the influence pattern of the Asia - Pacific stock market before and after the crisis has changed obviously . After the crisis , the original connection has disappeared , and the new connection has been established . The return mean overflow effect and the fluctuation spillover effect are obvious before and after the crisis .

In conclusion , on the basis of the previous research , this paper makes an in - depth study on the volatility of the stock market in 22 countries in the Asia - Pacific region based on the new data . In the case of market investors , investors can judge the price index of the stock market in other countries ( region ) through a country ( region ) stock market price index .
In the case of policy makers and regulatory layers , the financial supervision should be strengthened through the analysis of the volatility of the stock market , and the effective measures should be formulated to prevent the contagion effect of the financial crisis from further expanding , thereby protecting the interests of investors in the country ( region ) and maintaining the stability of the financial markets in the country ( region ) .

【學位授予單位】：西南財經(jīng)大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F831.51

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