發(fā)布時(shí)間：2018-03-22 01:00

  本文選題：股票市場(chǎng)　切入點(diǎn)：資源行業(yè)　出處：《江西財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：在經(jīng)濟(jì)全球化和金融市場(chǎng)一體化的形勢(shì)下,國(guó)際分工不斷深化,現(xiàn)代信息技術(shù)迅猛發(fā)展,中國(guó)股市與國(guó)際資本市場(chǎng)的關(guān)聯(lián)度也增強(qiáng)了。與此同時(shí),隨著中國(guó)經(jīng)濟(jì)的迅猛發(fā)展,國(guó)內(nèi)大宗商品供給不足,對(duì)外依存度不斷提高,中國(guó)經(jīng)濟(jì)面臨著巨大的風(fēng)險(xiǎn)。因此,研究中美股票市場(chǎng)相同資源行業(yè)間的溢出效應(yīng),不僅有助于政府防范金融風(fēng)險(xiǎn),還有助于投資者制定合適的投資決策。本文首先對(duì)股市間溢出效應(yīng)的相關(guān)文獻(xiàn)進(jìn)行了梳理及評(píng)述。其次,在對(duì)比分析了中美資源行業(yè)的發(fā)展?fàn)顩r后,本文從金融制度、投資者行為以及需求的角度對(duì)中美股票市場(chǎng)相同資源行業(yè)間的溢出效應(yīng)進(jìn)行了分析。本文認(rèn)為中美股票市場(chǎng)制度越完善、投資者掌握的市場(chǎng)信息越不完全、中美對(duì)大宗商品的消費(fèi)和投資需求越大,則中美股票市場(chǎng)間的溢出效應(yīng)越顯著。隨后,本文針對(duì)溢出效應(yīng)的傳導(dǎo)從三個(gè)渠道來(lái)分析。在匯率渠道中,一國(guó)大宗商品價(jià)格變動(dòng)可以通過(guò)進(jìn)出口導(dǎo)致匯率變動(dòng),最終使得外國(guó)大宗商品價(jià)格也發(fā)生變動(dòng)。在物價(jià)渠道中,一國(guó)大宗商品價(jià)格變動(dòng)能夠通過(guò)進(jìn)出口導(dǎo)致另一國(guó)物價(jià)發(fā)生變動(dòng),進(jìn)而傳遞至股票市場(chǎng)。在預(yù)期渠道中,國(guó)外股票市場(chǎng)股價(jià)的變動(dòng)會(huì)導(dǎo)致國(guó)內(nèi)投資者的預(yù)期發(fā)生改變,進(jìn)而造成國(guó)內(nèi)股價(jià)發(fā)生變動(dòng)。接下來(lái)本文對(duì)中美股市相同資源行業(yè)間的溢出效應(yīng)分別從收益率溢出和波動(dòng)率溢出進(jìn)行了實(shí)證研究。本文以國(guó)際大宗商品價(jià)格開(kāi)始快速上漲的2004年為時(shí)間點(diǎn),將總樣本區(qū)間確定為2004年7月至2017年1月,并從中美股市中分別選取石油行業(yè)指數(shù)、煤炭行業(yè)指數(shù)、黃金行業(yè)指數(shù)、鋁行業(yè)指數(shù),通過(guò)建立VAR、GARCH-BEKK模型來(lái)檢驗(yàn)中美股票市場(chǎng)相同資源行業(yè)間溢出效應(yīng)的方向。實(shí)證結(jié)果表明,中國(guó)股票市場(chǎng)黃金指數(shù)、鋁指數(shù)與美國(guó)股票市場(chǎng)黃金指數(shù)、鋁指數(shù)間都具有雙向收益率和波動(dòng)溢出效應(yīng),同時(shí)中國(guó)股票市場(chǎng)煤炭指數(shù)對(duì)美國(guó)股票市場(chǎng)煤炭指數(shù)有單向收益率溢出,中國(guó)股票市場(chǎng)煤炭指數(shù)與美國(guó)股票市場(chǎng)煤炭指數(shù)間有雙向波動(dòng)溢出效應(yīng),美國(guó)股票市場(chǎng)石油指數(shù)對(duì)中國(guó)股票市場(chǎng)石油指數(shù)也具有單向收益率和波動(dòng)溢出效應(yīng)。最后,本文提出了政策建議:加強(qiáng)石油、黃金、鋁供應(yīng)體系建設(shè),加快完善能源及有色金屬期貨市場(chǎng),加強(qiáng)投資者教育。
[Abstract]:Under the situation of economic globalization and financial market integration, the international division of labor is deepening, the modern information technology is developing rapidly, and the correlation between China's stock market and international capital market has also been strengthened. At the same time, with the rapid development of China's economy, With the shortage of domestic commodity supply and the increasing dependence on foreign countries, China's economy is facing enormous risks. Therefore, studying the spillover effects between industries with the same resources in the stock market of China and the United States is not only helpful for the government to guard against financial risks. It is also helpful for investors to make appropriate investment decisions. Firstly, this paper reviews the relevant literature on the spillover effect between stock markets. Secondly, after comparing and analyzing the development of resources industry in China and the United States, this paper begins with the financial system. This paper analyzes the spillover effect between the same resources industries in the stock market of China and the United States from the angle of investor behavior and demand. The more perfect the system of stock market between China and the United States, the less complete the market information that investors have. The greater the consumption and investment demand for commodities between China and the United States, the more significant the spillover effect between China and the United States stock market. Then, this paper analyzes the transmission of spillover effect from three channels. Changes in commodity prices in a country can result in exchange rate movements through imports and exports, and ultimately foreign commodity prices. In price channels, Changes in commodity prices in one country can cause price changes in another country through imports and exports, which can then be transmitted to the stock market. In the expected channel, changes in stock prices in foreign stock markets can lead to changes in the expectations of domestic investors. Then this paper makes an empirical study on the spillover effects of the same resource industries in the stock market of China and the United States from the perspective of yield spillover and volatility spillover respectively. This paper starts with international commodity prices. The fast-rising 2004 is the point in time, The total sample range is determined to be July 2004 to January 2017, and the oil industry index, coal industry index, gold industry index and aluminum industry index are selected from the Central American stock market. The VARGARCH-BEKK model is established to test the direction of the inter-industry spillover effects of the same resources in Chinese and American stock markets. The empirical results show that the gold index, aluminum index and gold index of the American stock market are the gold index of Chinese stock market, the aluminum index and the gold index of American stock market. Aluminum index has two-way yield and volatility spillover effect, and China stock market coal index has one-way yield spillover to American stock market coal index. There is a two-way volatility spillover effect between the coal index of China stock market and the coal index of American stock market. The oil index of American stock market also has one-way yield and volatility spillover effect on the oil index of Chinese stock market. This paper puts forward some policy suggestions: strengthening the construction of petroleum, gold and aluminum supply systems, speeding up the improvement of energy and non-ferrous metal futures markets, and strengthening investor education.
【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F831.51

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