本文選題：股票市場 + 波動溢出效應(yīng)��； 參考：《廣東財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：由于世界資本市場一體化愈演愈烈，導(dǎo)致我國與國際上的許多證券市場的投資信息與風(fēng)險聯(lián)系變得越來越密不可分。2008年，發(fā)生了世界范圍內(nèi)的經(jīng)濟(jì)危機(jī)，這是由美國引起的，也使得美國證券市場大幅下跌，其他國家證券市場也隨之巨幅下跌，不僅受到實(shí)務(wù)界的強(qiáng)烈關(guān)注，在學(xué)術(shù)界也受到了普遍的關(guān)注。分析學(xué)習(xí)我國與全球股票市場之間的聯(lián)系，這可以對我國證券市場防范國際金融風(fēng)險的問題提供一些建議。 為了研究滬、港、英、美四者股市之間的波動溢出情況，選取2005年7月29日至2010年8月31日四者的股票市場數(shù)據(jù)作為研究樣本，把研究的分界點(diǎn)選取為美國標(biāo)準(zhǔn)普爾500指數(shù)的最高點(diǎn)，我們把這個最高點(diǎn)認(rèn)為是金融危機(jī)爆發(fā)的時間點(diǎn)，以2007年10月09日作為分界，前面的時間段的指數(shù)作為金融危機(jī)爆發(fā)前的數(shù)據(jù)，后面的時間段的指數(shù)作為金融危機(jī)爆發(fā)后的數(shù)據(jù)，分別構(gòu)建四元VAR MGARCH(1,1) BEKK模型，經(jīng)過實(shí)證分析得出：（1）在金融危機(jī)爆發(fā)前期和后期，滬、港、英、美股票市場的價格收益率序列雖然都是平穩(wěn)序列，但是卻都不服從正態(tài)分布，然而他們之間卻具有較高的關(guān)聯(lián)度，同時，四個市場都具有不間斷性，并且它們每個市場的波動聚集性也很強(qiáng)。（2）從波動溢出情況來看，，危機(jī)爆發(fā)前這段時間，上海市場只受到香港市場的單方向溢出，而香港市場、美國市場和英國市場之間存在相互溢出現(xiàn)象，另外，關(guān)于美、英兩國的股市對我國滬市的影響，此處香港股市起到媒介的作用，他們只能對我國滬市間接作用，影響程度相對比較弱。國際金融危機(jī)爆發(fā)后，四個股票市場的波動溢出方向卻變?yōu)椋河艿矫绹袌龅膯畏较蛞绯�，由于國際金融危機(jī)爆發(fā)導(dǎo)致美國股市大崩盤，致使歐洲股市受到重挫，因此美國股市不再受到英國股市的影響，但是滬、港之間卻存在互相溢出現(xiàn)象，這可能是香港與大陸市場聯(lián)系緊密的緣故，英國市場和美國市場也可以直接對上海市場產(chǎn)生影響，也許因?yàn)榻鹑谖C(jī)導(dǎo)致各國之間的聯(lián)系更加緊密，資本流動加劇導(dǎo)致的，而且美、港兩個市場間仍然具有相互作用的現(xiàn)象，從以上結(jié)論得出危機(jī)使我國滬市與另三者股市聯(lián)系更為緊密，所受影響也隨之加重。
[Abstract]:As the integration of the world capital market becomes more and more intense, the investment information and risk of China and many international securities markets become more and more inextricably linked. In 2008, there was a worldwide economic crisis, which was caused by the United States. It also makes the U.S. stock market fall sharply, and the stock markets of other countries also fall sharply, which not only attracts strong attention from the practical circles, but also receives the general attention in the academic circles. This paper analyzes the relationship between China and the global stock market, which can provide some suggestions for China's securities market to guard against international financial risks. In order to study the volatility spillover between Shanghai, Hong Kong, Britain and the United States, the stock market data from July 29, 2005 to August 31, 2010 are selected as the study samples. Select the dividing point of the study as the highest point in the S & P 500 index, which we regard as the time point when the financial crisis broke out, with 09 October 2007 as the dividing line. The index in the preceding period is used as the data before the financial crisis, and the index in the later period is taken as the data after the financial crisis. The quaternion VAR / MGARCH1 / 1) BEKK model is constructed respectively. Through empirical analysis, it is concluded that in the early and late stages of the financial crisis, although the price return series in the stock markets of Shanghai, Hong Kong, Britain and the United States were all stable, they were all dissatisfied with the normal distribution. However, there is a high degree of correlation between them. At the same time, the four markets are not intermittent, and each of them has a strong volatility concentration.) from the perspective of volatility spillover, the period before the crisis broke out. The Shanghai market is only subject to one-way spillover from the Hong Kong market, and there is a mutual spillover between the Hong Kong market, the US market and the British market. In addition, with regard to the impact of the stock markets of the United States and the United Kingdom on the Shanghai stock market in China, Here the Hong Kong stock market acts as a medium, they can only indirectly affect the Shanghai stock market, the degree of influence is relatively weak. After the outbreak of the international financial crisis, the volatility spillover direction of the four stock markets changed to: Britain was overflowed by the United States market in one direction, and the European stock market suffered a severe setback as a result of the collapse of the US stock market caused by the outbreak of the international financial crisis. Therefore, the US stock market is no longer affected by the British stock market, but there is a phenomenon of spillover between Shanghai and Hong Kong, which may be due to the close ties between Hong Kong and the mainland market. The British market and the US market can also have a direct impact on the Shanghai market, perhaps because the financial crisis has led to closer ties between countries, increased capital flows, and the United States, There is still a phenomenon of interaction between the two markets in Hong Kong. From the above conclusions, it is concluded that the crisis has made the Shanghai stock market and the other three stock markets more closely linked, and the impact on the other three stock markets has also been aggravated.
【學(xué)位授予單位】：廣東財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F831.51;F224

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