本文選題：上證綜合指　切入點(diǎn)：數(shù)美國國債市場(chǎng)　出處：《山東財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：經(jīng)濟(jì)全球化和金融自由化大大提高了資源的配置效率，，促進(jìn)了全球經(jīng)濟(jì)的發(fā)展。與此同時(shí)，金融自由化讓信息在金融市場(chǎng)間的傳遞也越來越迅速，國際資本流動(dòng)更加便利。由于國際資本流動(dòng)的不穩(wěn)定性和投機(jī)性，各國經(jīng)濟(jì)和金融更容易受到國際資本流動(dòng)的影響和沖擊。1998年的亞洲金融危機(jī)和2008年的全球金融危機(jī)表明了國際資本的流動(dòng)促使風(fēng)險(xiǎn)在不同金融市場(chǎng)間傳遞。隨著我國加入WTO以及資本市場(chǎng)的對(duì)外開放，我國金融市場(chǎng)尤其股票市場(chǎng)受國際金融市場(chǎng)的影響越來越大。美國國債市場(chǎng)作為最重要的國際金融市場(chǎng)，它影響著避險(xiǎn)資金等金融資本的流向，進(jìn)而對(duì)其他金融市場(chǎng)產(chǎn)生影響。研究我國A股市場(chǎng)和美國國債市場(chǎng)的溢出效應(yīng)不僅可為監(jiān)管當(dāng)局制定政策維護(hù)A股市場(chǎng)穩(wěn)定和健康發(fā)展提供參考，還找到了影響A股市場(chǎng)走勢(shì)的又一重要因素，提高交易決策的科學(xué)性。因此，研究我國A股市場(chǎng)和美國國債市場(chǎng)間的溢出效應(yīng)有著重要的現(xiàn)實(shí)意義。 本文運(yùn)用VAR-MGARCH（1，1）-BEKK模型對(duì)我國A股市場(chǎng)和美國國債市場(chǎng)間的均值溢出效應(yīng)和波動(dòng)溢出效應(yīng)進(jìn)行研究，研究是否存在均值溢出效應(yīng)和波動(dòng)溢出效應(yīng)以及均值溢出效應(yīng)和波動(dòng)溢出效應(yīng)的方向，對(duì)實(shí)證研究結(jié)果做了相應(yīng)的分析，探究其形成原因，最后給監(jiān)管當(dāng)局和投資者提出相關(guān)的政策建議。本文得出了以下結(jié)論： （1）上證綜合指數(shù)和美國十年期國債收益率之間存在協(xié)整關(guān)系即長(zhǎng)期穩(wěn)定的均衡關(guān)系以及上證綜合指數(shù)變動(dòng)不能Granger引起美國十年期國債收益率的變動(dòng)，而美國十年期國債收益率變動(dòng)能Granger引起上證指數(shù)的變動(dòng)。 （2）由VAR模型可知上證綜合指數(shù)對(duì)美國十年期國債收益率沒有顯著影響，即A股市場(chǎng)對(duì)美國國債市場(chǎng)不存在均值溢出效應(yīng)；美國十年期國債收益率對(duì)上證綜合指數(shù)有顯著影響，即美國國債市場(chǎng)對(duì)A股市場(chǎng)存在均值溢出效應(yīng)。 （3）由GARCH（1，1）-BEKK模型和Wald檢驗(yàn)得出美國十年期國債收益率和上證綜合指數(shù)間存在雙向的波動(dòng)溢出效應(yīng)，即美國國債市場(chǎng)和A股市場(chǎng)間存在雙向的波動(dòng)溢出效應(yīng)。
[Abstract]:Economic globalization and financial liberalization have greatly improved the efficiency of resource allocation and the development of the global economy. At the same time, financial liberalization has allowed information to be transmitted more and more rapidly among financial markets. International capital flows are more convenient. Because of the instability and speculative nature of international capital flows, The Asian financial crisis in 1998 and the global financial crisis in 2008 have shown that international capital flows facilitate the transmission of risk among different financial markets. China's entry into WTO and the opening of the capital market to the outside world, China's financial market, especially the stock market, is increasingly affected by the international financial market. As the most important international financial market, the US Treasury bond market affects the flow of financial capital such as safe haven funds. The study of spillover effects of A-share market and Treasury bond market in China can not only provide a reference for the regulatory authorities to formulate policies to maintain the stability and healthy development of A-share market. It also finds another important factor that affects the trend of A share market and improves the scientificalness of transaction decision. Therefore, it is of great practical significance to study the spillover effect between the A share market and the US Treasury bond market in China. In this paper, the mean and volatility spillover effects between the A-share market and the Treasury bond market in China are studied by using VAR-MGARCHKK model. This paper studies the existence of mean spillover effect and volatility spillover effect and the direction of mean spillover effect and volatility spillover effect. Finally, the relevant policy recommendations are given to the regulatory authorities and investors. The following conclusions are drawn:. (1) there is a cointegration relationship between the Shanghai Composite Index and the 10-year Treasury bond yield, that is, the long-term stable equilibrium relationship and the fact that the Shanghai Composite Index cannot cause the change of the 10-year Treasury yield of the United States due to the change of the Shanghai Composite Index. And the 10-year Treasury yield changes can Granger cause changes in the Shanghai index. (2) the VAR model shows that the Shanghai Composite Index has no significant effect on the 10-year Treasury yield, that is, the A-share market has no mean spillover effect on the Treasury bond market, and the 10-year Treasury yield has a significant impact on the Shanghai Composite Index. That is, the US Treasury bond market has a mean spillover effect on the A-share market. (3) based on the model of GARCHN 1 / 1 / BEKK and Wald test, it is concluded that there is a two-way volatility spillover effect between the yield of 10-year U.S. Treasury bonds and the Shanghai Composite Index, that is, there is a two-way volatility spillover effect between the US Treasury bond market and the A-share market.
【學(xué)位授予單位】：山東財(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)】：F832.51;F837.12

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