【作者】 曾艳；

【导师】 姚仰新；

【作者基本信息】 华南理工大学 ， 概率论与数理统计， 2012， 硕士

【摘要】 股票市场对于一个国家的经济发展具有很大的影响，因而研究者和管理者十分关注关于股票市场方面的研究。掌握股票市场的基本特征，不仅能为投资者决策及风险防范提供参考，而且能够为判断经济形势和制定经济政策提供较为重要的参照依据。为了更好地研究中国股票市场，结合美国股票市场进行对比分析。本文选取的数据是中国股票市场具有代表性的上证综合指数和深圳成分指数，以及美国股票市场具有代表性的道琼斯工业平均指数和纳斯达克指数。本文针对中美股票市场的收益率序列及其波动率序列是否具有长记忆性特征的问题，运用修正R/S分析方法进行分析。在收益波动率方面，主要运用平方收益和绝对收益，以及已实现波动率和分数低阶矩来度量。结果表明，中美股票市场的收益率序列都不存在长记忆性，而其波动率序列都存在较为明显的长记忆性。然后,建立VAR模型，运用脉冲响应函数和方差分解，进一步研究中国股市收益率及其波动性的相互关系，实证结果表明中国股市其收益率与波动性之间相互影响。最后，针对各股票指数，建立VAR模型，运用脉冲响应函数和方差分解进行分析，结果表明，上证综合指数的价格波动对深圳成分指数的价格影响较大，道琼斯工业平均指数的价格波动对纳斯达克指数的价格影响较大。因而选取上证综合指数和道琼斯工业平均指数来研究中美股市之间的关系，研究结果表明，美国股市波动对中国股市有一定的影响，但中国股市波动对美国股市的影响较小，中美股市存在一定的联动性。更多还原

【Abstract】 Stock market have a large impact on a country’s economic development,therefore theresearchers and managers are extremely concerned about the research of stock market.Graspthe basic characteristics of the stock market,not only can provide a reference forinvestors,decision-making and risk prevention, and more important point of reference to judgethe economic situation and the formulation of economic policy.In order to better study the Chinese stock market, combined with the U.S. stock marketwere analyzed. The selected data in this article is the presentative of China stock market aboutShanghai Composite Index and Shenzhen Component Index, as well as a representative ofthe America stock market about the Dow Jones Industrial Average and the Nasdaq index. Inthis paper, about the return series and volatility series of Chinese and American stock markethas a long memory characteristics or not, use the modified R/S method to analysis.The mainuse of the square of income,absolute income,realized volatility and fractional lower ordermoment to measure the return volatility. The results show that the return series of China andthe America stock market do not exist long memory, the sequence of its volatility exist longmemory.Then,establish the VAR model,use the impulse response function and variancedecomposition to further study the relationship between the rate of return and its volatility ofChina stock market, the empirical results show that the interaction between the rate of returnand volatility of China stock market.Finally, establish the VAR model,use the impulse response function and variancedecomposition to analysis，the result shows that the great impact of the price volatility of theShanghai Composite Index on the Shenzhen Component Index, and the great impact of theprice volatility of the Dow Jones Industrial Average on the Nasdaq index.Therefore selectShanghai Composite Index and the Dow Jones Industrial Average index to research therelationship between China and the America stock market.The research shows that thefluctuation of the America stock have a certain impact on the Chinese stock market,but theChinese stock market volatility does not influence theAmerica stock market.更多还原