预览加载中，请您耐心等待几秒...

上海股票市场和国际主要股票市场之间波动溢出效应的实证研究.docx

预览
1/6
2/6
3/6
4/6
5/6
6/6

在线预览结束，喜欢就下载吧，查找使用更方便

下载提示 文本预览

如果您无法下载资料，请参考说明：

1、部分资料下载需要金币，请确保您的账户上有足够的金币

2、已购买过的文档，再次下载不重复扣费

3、资料包下载后请先用软件解压，在使用对应软件打开

上海股票市场和国际主要股票市场之间波动溢出效应的实证研究 摘要： 本文利用1994年至2019年上海股票市场和主要国际股票市场的月度收益率数据，运用VAR模型和Granger因果检验方法，实证分析了两市场间的波动溢出效应。研究表明：上海股票市场与主要国际股票市场间存在显著的波动溢出效应，即两市场间存在较强的双向影响关系。其中，美国纳斯达克指数是对上海股票市场波动的主要引领因素；而上海股票市场对英国富时100指数的波动影响也相对较为显著。最后，在此基础上，本文对于上海股票市场的投资策略提出了一些建议。 关键词：波动溢出效应；VAR模型；Granger因果检验；股票市场 Abstract: UsingmonthlyreturndataofShanghaistockmarketandmajorinternationalstockmarketsfrom1994to2019,thispaperempiricallyanalyzesthevolatilityspillovereffectbetweenthetwomarketsbyusingVARmodelandGrangercausalitytest.TheresearchshowsthatthereisasignificantvolatilityspillovereffectbetweenShanghaistockmarketandmajorinternationalstockmarkets,thatis,thereisastrongtwo-wayinfluencebetweenthetwomarkets.Amongthem,theNASDAQindexoftheUnitedStatesisthemainleadingfactorforthevolatilityofShanghaistockmarket;whileShanghaistockmarketalsohasasignificantimpactonthevolatilityofFTSE100indexoftheUnitedKingdom.Finally,basedonthis,thepaperputsforwardsomesuggestionsforinvestmentstrategyinShanghaistockmarket. Keywords:volatilityspillovereffect;VARmodel;Grangercausalitytest;stockmarket 1.Introduction Astheglobaleconomicintegrationcontinuestodeepen,theinterdependenceoffinancialmarketshasbecomeincreasinglyapparent,especiallytherelationshipbetweenthedomesticstockmarketandinternationalstockmarkets.Thefluctuationofinternationalstockmarketsoftenhasaspillovereffectonthedomesticstockmarket,andviceversa,whichhasasignificantimpactontheinvestmentstrategyofinvestors.Therefore,studyingthevolatilityspillovereffectbetweendomesticandinternationalstockmarketsisofgreatsignificanceforinvestorstomakeinvestmentdecisionsandforpolicymakerstoadjusteconomicpolicies. Shanghaistockmarketisoneoftheimportantemergingmarketsintheworld,anditsdevelopmenthasbeenattractingwidespreadattentionfromtheacademiccommunity.Meanwhile,China'sintegrationintotheglobaleconomyhasacceleratedinrecentyears,especiallyafterChina'sentryintotheWTOandtheliberalizationofcapitalaccounts.ThishasledtoacloserrelationshipbetweentheShanghaistockmarketandinternationalstockm