【作者】 刘峰；

【导师】 苏惠香；

【作者基本信息】 东北财经大学 ， 工程管理硕士（MEM）（专业学位）， 2020， 硕士

【摘要】 股票市场中资金融通数量大,交易频繁,能够反映国家和地区经济发展的程度,历来都是经济金融领域重要研究对象。其中对股票市场波动性的研究又是热点问题。特别在国际贸易自由化、生产国际化、国际资本自由流动的金融全球化影响下,各个股票市场之间波动联系日益紧密,这种联动性的负面影响的典型事件就是金融危机。金融危机的冲击不仅影响金融市场的动荡和安全,也会对国民经济和人们的社会生活产生很大影响,通过对重要股票市场波动联动性进行研究,建立相应的风险预警机制,有助于减少损失并采取合理的方法防范风险。在此背景下,本文选取国内上海、深圳和香港以及美国股票市场为研究对象,通过统计分析和实证检验,确定国内股票市场之间以及国内与国外股票市场之间的波动是否存在联动,以及这种联动影响的因果关系。本文在理论部分,通过阅读和整理股票市场波动联动性风险的研究文献,总结研究波动联动性风险的主要方法,对波动联动性风险研究进行实证检验的重要模型和关于波动联动性风险研究的主要结论。对涉及的重要概念如股票市场波动性、波动特征以及重要理论基础如波动联动性的研究模型和对模型中参数的估计方法等进行归纳和介绍。在实证部分,先是对数据初步进行描述统计分析,猜测国内沪深股票市场,以及中美股票市场之间存在波动联动性,其次对数据序列进行Granger因果检验,确定波动的主次关系,最后通过基于正态分布的一元SV模型和基于正态分布的二元MSV模型对股票市场之间波动联动性风险进行具体的实证检验。研究结果表明,国内股票市场中,沪深股票市场及沪港股票市场之间都存在波动联动性,沪深股票市场之间波动联系更紧密;美国股票市场作为全球金融交易中心,其波动的影响性更大一些,在没有政策措施的干预下,国内股票市场都会受到其波动的影响。更多还原

【Abstract】 The stock market has a large amount of financing and frequent transactions,which can reflect the degree of national and regional economic development.It has always been an important research object in the economic and financial field.And research on stock market volatility is a hot issue,especially under the influence of finance.Due to the liberalization of international trade,the internationalization of production,and the globalization that accompanies unlimited flow of international funds,fluctuations in various stock markets are becoming more and more intimate.A typical event of the negative effects of such collaboration is the financial crisis.On the one hand,the financial crisis affects the stability and security of the financial market;on the other hand,the financial crisis reduces people’s happiness.Establishing a corresponding risk warning mechanism through research on significant equity market volatility will help reduce losses and take reasonable steps to prevent risk.In this context,this article selects the domestic equity market We will investigate Shanghai,Shenzhen,Hong Kong,USA.Through statistical analysis and empirical testing,determine whether there is a linkage between domestic stock markets and between domestic and foreign stock markets,and the causality of such linkages.In the theoretical part,this article summarizes the main methods of research on volatility linkage risk,important models for empirical testing of volatility linkage risk research,and the main research on volatility linkage risk by reading and sorting out the research literature on volatility linkage risk in the stock market.The empirical part is first a brief descriptive statistical analysis of the data,a guess of the domestic Shanghai and Shenzhen stock markets,and a volatility link between the Chinese and American stock markets,and then Granger causality.Relationship tests are performed A series of data for determining primary and secondary relationships of volatility.Specific empirical studies of volatility linkage between stock markets are performed based on the normal distribution of the single SV model and the binary MSV model.The findings show that:In the domestic stock market of the selected sample range,the fluctuation relationship between the Shanghai and Shenzhen stock market and the Shanghai and Hong Kong stock market,and the Shanghai and Shenzhen stock market is closer,and the US stock market is global financial.It acts as a trading center and its fluctuations have a greater impact.The domestic stock market is affected by its volatility in a policy measure without intervention.更多还原