發(fā)布時(shí)間：2018-02-02 08:36

  本文關(guān)鍵詞： 經(jīng)濟(jì)全球化 股指 聯(lián)動(dòng)性　出處：《新疆財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著經(jīng)濟(jì)全球化的不斷發(fā)展，國家間的經(jīng)濟(jì)交往越來越頻繁，一國經(jīng)濟(jì)的擴(kuò)張或者收縮會(huì)影響到與這個(gè)國家經(jīng)濟(jì)聯(lián)系密切的國家的經(jīng)濟(jì)發(fā)展，而反映國家宏觀經(jīng)濟(jì)走勢好壞的重要的指標(biāo)---股票指數(shù)，也會(huì)相應(yīng)的受到影響。中國與世界經(jīng)濟(jì)聯(lián)系日益緊密，中國經(jīng)濟(jì)發(fā)展不僅受到本國相關(guān)因素的制約和影響，也會(huì)受到世界上其他國家經(jīng)濟(jì)對(duì)中國經(jīng)濟(jì)發(fā)展的沖擊，中國股票市場也會(huì)受到國外股票市場的影響，并逐步與國外股市呈現(xiàn)出越來越強(qiáng)的聯(lián)動(dòng)性。 本文從經(jīng)濟(jì)基礎(chǔ)和行為金融學(xué)兩個(gè)方面介紹了股市聯(lián)動(dòng)的理論基礎(chǔ)，并從國際貿(mào)易、資本流動(dòng)、預(yù)期、信息傳遞角度分析了股市聯(lián)動(dòng)的傳播途徑，然后選取1996年至2013年中國和其他六個(gè)國家的股指數(shù)據(jù)，以中國加入世界貿(mào)易組織和2008年金融危機(jī)兩個(gè)事件將研究期間劃分成3個(gè)階段，分別對(duì)三個(gè)階段建立向量自回歸模型，對(duì)其進(jìn)行相關(guān)系數(shù)檢驗(yàn)、單位根檢驗(yàn)、格蘭杰因果關(guān)系檢驗(yàn)、脈沖響應(yīng)函數(shù)和方差分解分析，，得出結(jié)論:隨著中國融入全球化程度的不斷加深，中外股市的聯(lián)動(dòng)性在不斷加強(qiáng)，中外股市相互影響程度越來越深。 中外股市聯(lián)動(dòng)性的加強(qiáng)，使得中國股票市場呈現(xiàn)出越來越頻繁的波動(dòng)性，而股票市場的適當(dāng)波動(dòng)可以提高股票市場配置資源的效率，并推動(dòng)技術(shù)的創(chuàng)新和發(fā)展，股票市場的過度波動(dòng)會(huì)導(dǎo)致收入分配不合理，引發(fā)信用危機(jī)，并影響到實(shí)體經(jīng)濟(jì)的正常發(fā)展，為避免中外股市聯(lián)動(dòng)性加強(qiáng)后中國股市過度波動(dòng)對(duì)中國造成的不利影響，本文認(rèn)為應(yīng)該從以下幾個(gè)方面著手：一、完善股票市場法規(guī)建設(shè)；二、加強(qiáng)對(duì)股市的監(jiān)管；三、完善上市公司治理；四、防范金融風(fēng)險(xiǎn)跨市場傳播。
[Abstract]:With the continuous development of economic globalization, economic exchanges between countries are more and more frequent. The expansion or contraction of a country's economy will affect the economic development of countries with close economic ties. The stock index, an important indicator of the country's macroeconomic trend, will also be affected. China is increasingly closely linked to the world economy. China's economic development is not only restricted and influenced by its own relevant factors, but also by the impact of other countries' economies on China's economic development. The Chinese stock market will also be affected by foreign stock markets. And gradually with the foreign stock market presents a more and more strong linkage. This paper introduces the theoretical basis of stock market linkage from the aspects of economic base and behavioral finance, and analyzes the transmission ways of stock market linkage from the angles of international trade, capital flow, expectation and information transmission. Then the index data of China and other six countries from 1996 to 2013 were selected and divided into three stages according to the two events of China's accession to the World Trade Organization and the 2008 financial crisis. Three stages of vector autoregressive model were established, and the correlation coefficient test, unit root test, Granger causality test, impulse response function and variance decomposition analysis were carried out. The conclusion is: with the deepening of China's integration into globalization, the linkage of Chinese and foreign stock markets is constantly strengthened, and the mutual influence of Chinese and foreign stock markets is getting deeper and deeper. With the strengthening of the linkage between Chinese and foreign stock markets, the Chinese stock market presents more and more frequent volatility, and the appropriate volatility of the stock market can improve the efficiency of the allocation of resources in the stock market. And promote the innovation and development of technology, the excessive volatility of the stock market will lead to unreasonable income distribution, lead to credit crisis, and affect the normal development of the real economy. In order to avoid the adverse effect on China caused by excessive fluctuation of Chinese stock market after the strengthening of Chinese and foreign stock market linkage, this paper thinks that we should start from the following aspects: first, perfect the construction of stock market laws and regulations; Second, strengthen the supervision of the stock market; Third, improve the governance of listed companies; Fourth, prevent the spread of financial risks across the market.
【學(xué)位授予單位】：新疆財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F831.51

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