發(fā)布時間：2018-03-22 01:00

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

【摘要】：在經(jīng)濟全球化和金融市場一體化的形勢下,國際分工不斷深化,現(xiàn)代信息技術(shù)迅猛發(fā)展,中國股市與國際資本市場的關(guān)聯(lián)度也增強了。與此同時,隨著中國經(jīng)濟的迅猛發(fā)展,國內(nèi)大宗商品供給不足,對外依存度不斷提高,中國經(jīng)濟面臨著巨大的風(fēng)險。因此,研究中美股票市場相同資源行業(yè)間的溢出效應(yīng),不僅有助于政府防范金融風(fēng)險,還有助于投資者制定合適的投資決策。本文首先對股市間溢出效應(yīng)的相關(guān)文獻進行了梳理及評述。其次,在對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中美股票市場相同資源行業(yè)間的溢出效應(yīng)進行了分析。本文認(rèn)為中美股票市場制度越完善、投資者掌握的市場信息越不完全、中美對大宗商品的消費和投資需求越大,則中美股票市場間的溢出效應(yīng)越顯著。隨后,本文針對溢出效應(yīng)的傳導(dǎo)從三個渠道來分析。在匯率渠道中,一國大宗商品價格變動可以通過進出口導(dǎo)致匯率變動,最終使得外國大宗商品價格也發(fā)生變動。在物價渠道中,一國大宗商品價格變動能夠通過進出口導(dǎo)致另一國物價發(fā)生變動,進而傳遞至股票市場。在預(yù)期渠道中,國外股票市場股價的變動會導(dǎo)致國內(nèi)投資者的預(yù)期發(fā)生改變,進而造成國內(nèi)股價發(fā)生變動。接下來本文對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率溢出進行了實證研究。本文以國際大宗商品價格開始快速上漲的2004年為時間點,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),通過建立VAR、GARCH-BEKK模型來檢驗中美股票市場相同資源行業(yè)間溢出效應(yīng)的方向。實證結(jié)果表明,中國股票市場黃金指數(shù)、鋁指數(shù)與美國股票市場黃金指數(shù)、鋁指數(shù)間都具有雙向收益率和波動溢出效應(yīng),同時中國股票市場煤炭指數(shù)對美國股票市場煤炭指數(shù)有單向收益率溢出,中國股票市場煤炭指數(shù)與美國股票市場煤炭指數(shù)間有雙向波動溢出效應(yīng),美國股票市場石油指數(shù)對中國股票市場石油指數(shù)也具有單向收益率和波動溢出效應(yīng)。最后,本文提出了政策建議:加強石油、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,加強投資者教育。
[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】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F831.51

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