【作者】 谢敏；

【导师】 熊正德；

【作者基本信息】 湖南大学 ， 管理科学与工程， 2006， 硕士

【摘要】 随着通信技术和金融自由化的发展,国内外金融市场间信息传递越来越快,交易成本也越来越低。货币与股票市场是各国重要的金融市场,在金融管制纷纷撤消的背景下,两者应具有相当程度的联系。因此,本文运用协整理论和多变量EGARCH模型等计量经济学和时间序列方法分别对利率与股票市场间价格及其波动溢出关系进行了研究。首先,本文对利率与股票价格关系的理论模型、相互影响机制和波动溢出效应的产生机理进行分析。接着,运用协整方法对利率与沪深股市股票价格之间的关系进行了实证研究。然后,本文运用JB统计量和LB-Q统计量对利率和股票市场收益率数据进行基本统计分析,并引入多变量的EGARCH模型,利用LM检验法和符号偏误检验等方法来检验残差序列的ARCH效应和条件方差的不对称性;在此基础上运用多变量EGARCH模型对利率与沪深股市间的波动溢出效应进行实证分析,并对模型的适用性进行了有关的检验。研究结果表明,利率与沪深股市股票价格之间都存在显著的协整关系;利率与沪深股市间存在显著的双向波动溢出,说明中国利率与股市间信息流的存在;除了利率对深圳市场的方向外,其他方向的波动溢出均存在着不对称性。这些研究对于配置资产组合和防范金融风险等有着重要的意义。更多还原

【Abstract】 With the development of communication technology and financial liberalization, the information transfer is faster and faster. So the trading cost is lower and lower among the international financial markets. Money and stock markets are important markets in every country. In the background of repealing financial regulation, their relationship should do exist. Using cointegration theory and multivariate EGARCH model, this paper studies the relationship of price and its volatility spillovers between interest rate and stock markets.Firstly, this paper analyzes the theory model and influence mechanism between interest rates and stock price, and also analyzes the cause mechanism of the volatility spillovers. Secondly, cointegration test is used to empirically study on their relationship. Thirdly, JB statistics and LB-Q statistics are introduced to analyze the interest rate return and stock market return serials. Fourthly, the LM test, sign bias test are used to test the ARCH effect of residual serial and the asymmetry of the conditional volatility after introducing multivariate EGARCH model. Lastly, with the multivariate EGARCH model, this paper makes an empirical analysis on the volatility spillovers effect between interest rate and Shanghai (or Shenzhen) stock markets, this paper also investigates the applicability of the model by testing the standardization residual.The results shows that there is significant cointegration relation between the interest rate and Shanghai (or Shenzhen) stock price; there are statistically significant bi-directional volatility spillovers between them, which demonstrates the existence of information flow; volatility spillovers are asymmetry except the direction of interest rate to Shenzhen stock market. The studies mentioned above are significant to collocate asset portfolios and prevent financial risks.更多还原