【作者】 钱婉昕；

【导师】 王炳兴；

【作者基本信息】 浙江工商大学 ， 统计学， 2012， 硕士

【摘要】 2007年美国爆发了次贷危机,进而引起了金融市场的剧烈动荡,并迅速波及到亚太地区的金融市场,亚太各国股市受到剧烈震荡,均出现了大幅的下滑。本文从2005年7月22日至2011年3月18日亚太地区最具代表性的21个股指的日交易数据入手,采用具有准确拓扑序列的亚超度量空间方法和最小生成树算法,以2008年9月15日为金融危机前后分界点对亚太地区主要股票市场之间的联动程度加以研究,继而运用VAR模型、Granger因果检验和脉冲响应函数对我国沪深300指数和亚太地区中心节点指数之间的联动性进行检验和实证分析。研究结果表明,自从金融危机大规模爆发后,亚太地区主要股指间的地理区域聚集效应变得更加明显,各股指间的相关程度得到显著提高；亚太地区股指整体上的动态稳定性是相对稳定的；金融危机进一步增强了香港作为亚太地区金融中心的地位。我国沪深300指数与香港恒生指数之间存在着长期的协整关系,金融危机发生以后,香港恒生指数对我国沪深300有较强的引导作用。为了避免亚太各国股指过度剧烈波动,应该在整个亚太地区协调金融监管措施,保持各国股票市场的多元化投资。更多还原

【Abstract】 Subprime mortgage crisis broke out in the United States in2007,and triggered a fierce fluctuation in financial markets, then quickly spread to other financial markets of the Asia-Pacific region, and there was a substantial decline among those turbulent national stock markets. The data used in this article comes from the daily data of the most representative21Asia-Pacific region stocks which started from Jul.22,2005to Mar.18,2011.This article used a subdominant ultrametric space method of precise topology sequence and the minimum spanning tree algorithm to study the degree of co-movements in the major stock markets of the Asia-Pacific region by taking Sep.15,2008as a cut-off point of the financial crisis. Then I test and analysis the co-movements between China’s HS300Index and the central node index of the Asia-Pacific region by using VAR models, Granger causality test and impulse response function. Empirical results shows that, after the financial crisis, the major indexes of the Asia-Pacific region showed more pronounced aggregation effect of the geographic area, the degree of correlation between the stock indexes increased significantly. The overall dynamic stability of the Asia-Pacific region index is relatively stable. The financial crisis enhances Hong Kong as a regional financial center further. China’s HS300Index has a long-term integrated relationship with Hang Seng Index in Hong Kong. After the financial crisis, Hang Seng Index in Hong Kong has a strong guiding role on China’s HS300Index. In order to avoid excessive volatility of stock index among the Asia-Pacific countries we should coordinate the financial regulatory measures throughout the Asia-Pacific region and maintain the diversity of national stock market investment.更多还原