我国股票市场与外汇市场尾部相依性的研究

发布时间：2018-04-03 19:22

本文选题：股票市场　切入点：外汇市场　出处：《山东大学》2014年硕士论文

【摘要】：作为我国金融市场的重要组成部分,股票市场和外汇市场共同承担着融通资金、配置资源、分散风险、调节经济等重要职能。随着股权分置改革和人民币汇率制度改革的推进,我国的股票市场与外汇市场逐步走上了市场化道路,股票价格指数与人民币汇率之间的联动关系也日益密切,对二者之间相关性的研究也在不断深入。基于我国股票市场的特点,将其划分为四大类：出口型行业(包括纺织服装、家电、机械等)、进口型行业(包括造纸、印刷、石化、钢铁等)、外汇负债型行业(如航空航天业等)和其他行业(包括农林牧渔业等),试图以行业为单位研究我国股票价格与人民币汇率间的相依性结构。本文选取2005年8月至2013年12月的周度数据为研究对象,分别进行单位根检验、异方差检验和自相关检验,结果显示经过对数化差分处理后的数据不存在单位根,但仍然有异方差和自相关现象存在。为了消除序列异方差和自相关对模型的冲击,本文采用ARMA(p,q)-GARCH(1,1)模型对各组数据加以过滤。之后运用时变混合Copula模型的非参数方法对各个行业的股票价格指数与人民币汇率之间的尾部相依性进行刻画。通过实证检验发现：出口型行业的股票价格指数与人民币外汇汇率之间具有明显的同向波动性,即投资者在这两个市场上同时获取极端收益或同时遭受极端损失的可能性比较大。因而投资者进行资产组合时,不适宜同时大量持有这两种资产。对于进口型行业和外汇负债型行业而言,它们的股票价格与外汇汇率之间尾部相依性并不明显,也就是说它们与外汇汇率同时出现同向极值的概率比较低。因此,投资者可以考虑同时持有一定份额的该类股票和外汇资产,即使面对突发情况,投资者也可以保证收益。此外,政策制定者也可以参照本文的结论,及时推动政策转变,减少我国股市和汇市可能发生的剧烈震荡,保证我国经济平稳健康发展。
[Abstract]:As an important part of China's financial market, stock market and foreign exchange market jointly assume the important functions of financing, allocating resources, dispersing risks, adjusting economy, and so on.With the reform of split share structure and the reform of RMB exchange rate system, China's stock market and foreign exchange market have gradually embarked on a market-oriented path, and the linkage between the stock price index and the RMB exchange rate has become increasingly close.The research on the correlation between the two is also deepening.Based on the characteristics of China's stock market, it is divided into four categories: export industry (including textile and clothing, home appliances, machinery, etc.), import industry (including paper, printing, petrochemical, etc.)Iron and steel industry, foreign exchange liability industry (such as aerospace industry) and other industries (including agriculture, forestry, herding, fishery and so on) try to study the dependence structure between stock price and RMB exchange rate.In this paper, the cycle data from August 2005 to December 2013 are selected as the research objects, and the unit root test, heteroscedasticity test and autocorrelation test are carried out respectively. The results show that there is no unit root in the data after logarithmic difference processing.However, heteroscedasticity and autocorrelation still exist.In order to eliminate the impact of sequence heteroscedasticity and autocorrelation on the model, this paper uses the ARMA-PQQ GARCH1) model to filter the data of each group.Then the non-parametric method of time-varying mixed Copula model is used to describe the tail dependence between stock price index and RMB exchange rate.The empirical results show that the stock price index and the exchange rate of RMB are in the same direction volatility in the export-oriented industry.That is, investors are more likely to gain extreme returns or suffer extreme losses at the same time in both markets.As a result, it is not appropriate for investors to hold large amounts of these two assets at the same time when they are in a portfolio.The tail dependence between stock price and foreign exchange rate is not obvious for the import industry and foreign exchange liability industry, that is to say, the probability that they have the same extreme value at the same time as foreign exchange rate is relatively low.Therefore, investors can consider holding a certain share of such stocks and foreign exchange assets at the same time, even in the face of unexpected situations, investors can also guarantee the return.In addition, the policy makers can also make reference to the conclusion of this paper, promote the policy change in time, reduce the violent fluctuations that may occur in the stock market and foreign exchange market of our country, and ensure the steady and healthy development of our country's economy.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F832.6;F224

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