【作者】 赵宣凯；

【导师】 丁志国；

【作者基本信息】 吉林大学 ， 金融学， 2010， 硕士

【摘要】 防范金融风险是维护国家金融稳定的核心战略。随着世界经济的发展,世界各国的经济贸易联系逐渐紧密,国际资本的流动日益频繁,信息的传播更加迅捷,推动了全球金融市场一体化的趋势,国际金融风险对国内证券市场的冲击日益显著。本文首先国内外证券市场的联动效应进行实证研究,然后对国际金融风险向国内证券市场的传导路径进行分析。研究的得到主要结论如下:(1)中国证券市场与国际证券市场之间存在联动性,我国证券市场收益率不仅受到美国纽约证券市场的影响,反过来也能够影响到美国和英国证券市场,但影响的程度微弱;(2)人民币汇率市场是美国证券市场波动向中国证券市场传导的途径,同时,我国证券市场风险可以通过汇率市场逆向传导,究其原因我们发现,国际热钱在国内资本市场的流动是一个重要因素。更多还原

【Abstract】 Preventing the impact of international financial risk factors on demestic market is the key strategy for fianacial stability. With the rapid growth of world economy, economic linkages amang nations are becoming more closely, international capital flows more frequently and the spreading of the information more fasting. Global financial market integration resulted form above these. This paper takes an empirical test on the comovement of demestic and foreign stock markets, then focus on the core problem——how the international financial risks comes into China’s stock market? The core structure of the thesis is following:Chapter One, inturduces the background and implication of the research, as well as basic concept, organization structure. and major difference.Chapter Two, mainly reviews the literatures related to the stock market risk., and then we peopose the theoretical analysis frame and hepotheses. In the part, we think there are two ways for international stock market volatilities to be carried into China: 1) the volatilities spillover directly. Stockholders in China’s market are so deeply influenced by the sharpely dorp of outside markets that they are emotionally creazy to clear their positions. 2) Hot money (international short-term capital) across the world flows into domestic stock market, and bobles come up. Once international speculators find there is a crisis somewhere, they will immediately flows out, leading to volatility in local markets.Chaper Three, takes an empirical test on the comovement of local and foreign markets. According to the result of Granger Casuality test, we find that, U.S. New York stock market can Ganger cause the price changes of China’s market, and China’s also have an effect on U.S. and U.K. stock markets. By the Impulse Response Function, we conclude that China’s market less closely related to developed countries’compared with Japan.Chapter Four, considers the impact of the exchange market, and eomploys the MGARCH Models (DVECH and BEKK) to ensure whether the changes in RMB/USD exchange rate are one way for transmitting the international Volatilities. By the empirical research, we imples that: 1) Under various assumptions, the correlations of U.S. and China’s stock market respectively with the exchange rate change over time; 2) Both under t-distribution and normal distribution, the risk of the exchange market has an substantial effect on the Shanghai stock market; 3) the volatility of the exchange market is significantly lower than sock markets. 4) the risks in stock markets (China and U.S.) and the exchange rate can affect each other.The last part contains conclusions based on the above analysis. Our main views are : 1) Comovements amang China’s and international major stock markets exist significantly, and our demestic market not only are influenced by foreign markets, but also has an effect on them too. 2) the exchange rate plays an important role in the transmission mechanism about the international financial volatility to china’s security markets.更多还原