国际金融风险对中国证券市场冲击路径研究
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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。
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.
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.
引文
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[6] Bekaert, G and G Wu. Asymmetric Volatility and Risk in Equity Markets[J]. The Review of Financial Studies, 2000, 13:1-42.
[7] Bekaert, G and J Liu. Conditioning Information and Variance Bounds on Pricing Kernels[J]. The Review of Financial Studies, 2004, 17:339-378.
[8] Bekaert, G and M S Urias. Diversification, Integration and Emerging Market Closed-End Funds[J]. The Journal of Finance, 1996, 51:835-869.
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[11] Bekaert, G, C R Harvey and A Ng. Market Integration and Contagion[J]. The Journal of Business, 2005, 78:39-69.
[12] Bekaert, G. Market Integration and Investment Barriers in Emerging Equity Markets[J]. The World Bank Economic Review, 1995, 9:75-107.
[13] Bekaert, G. The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets[J]. Journal of Business & Economic Statistics, 1995, 13:397-408.
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[19] Chaudhuri, K and K Koo. Volatility of Stock Returns: Importance of Economic Fundamentals[J]. Economic and Political Weekly, 2001, 36:3852-3856.
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[29] George, M v F, B N Jeon, N G Mankiw and R J Shiller. International Stock Price Movements: Links and Messages[J]. Brookings Papers on Economic Activity, 1989, 1989:125-179.
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[32] Hamao, Y, R W Masulis and V Ng. Correlations in Price Changes and Volatility across International Stock Markets[J]. The Review of Financial Studies, 1990, 3:281-307.
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[36] Karolyi, G A and R M Stulz. Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements[J]. The Journal of Finance, 1996, 51:951-986.
[37] Karolyi, G A. A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada[J]. Journal of Business & Economic Statistics, 1995, 13:11-25.
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[39] King, M A and S Wadhwani. Transmission of Volatility between Stock Markets[J]. The Review of Financial Studies, 1990, 3:5-33.
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[41] Kodres, L E and M Pritsker. A Rational Expectations Model of Financial Contagion[J]. The Journal of Finance, 2002, 57:769-799.
[42] Lin, W-L, R F Engle and T Ito. Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility[J]. The Review of Financial Studies, 1994, 7:507-538.
[43] Linsmeier, T J, D B Thornton, M Venkatachalam and M Welker. The Effect of Mandated Market Risk Disclosures on Trading Volume Sensitivity to Interest Rate, Exchange Rate, and Commodity Price Movements[J]. The Accounting Review, 2002, 77:343-377.
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[47] Richards, A J. Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?[J]. Staff Papers - International Monetary Fund, 1996, 43:461-501.
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①该节部分内容参考刘克峰博士论文《国际资本流动和中国证券市场国际化》。
[2] Antinolfi, G and E Huybens. Domestic Financial Market Frictions, Unrestricted International Capital Flows, and Crises in Small Open Economies[J]. Economic Theory, 2004, 24:811-837.
[3] Bae, K-H, G A Karolyi and R M Stulz. A New Approach to Measuring Financial Contagion[J]. The Review of Financial Studies, 2003, 16:717-763.
[4] Beaulieu, M-C, J-C Cosset and N Essaddam. The Impact of Political Risk on the Volatility of Stock Returns: The Case of Canada[J]. Journal of International Business Studies, 2005, 36:701-718.
[5] Bekaert, G and C R Harvey. Time-Varying World Market Integration[J]. The Journal of Finance, 1995, 50:403-444.
[6] Bekaert, G and G Wu. Asymmetric Volatility and Risk in Equity Markets[J]. The Review of Financial Studies, 2000, 13:1-42.
[7] Bekaert, G and J Liu. Conditioning Information and Variance Bounds on Pricing Kernels[J]. The Review of Financial Studies, 2004, 17:339-378.
[8] Bekaert, G and M S Urias. Diversification, Integration and Emerging Market Closed-End Funds[J]. The Journal of Finance, 1996, 51:835-869.
[9] Bekaert, G and R J Hodrick. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets[J]. The Journal of Finance, 1992, 47:467-509.
[10] Bekaert, G and R J Hodrick. Expectations Hypotheses Tests[J]. The Journal of Finance, 2001, 56:1357-1394.
[11] Bekaert, G, C R Harvey and A Ng. Market Integration and Contagion[J]. The Journal of Business, 2005, 78:39-69.
[12] Bekaert, G. Market Integration and Investment Barriers in Emerging Equity Markets[J]. The World Bank Economic Review, 1995, 9:75-107.
[13] Bekaert, G. The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets[J]. Journal of Business & Economic Statistics, 1995, 13:397-408.
[14] Bekaert, G. The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective[J]. The Review of Financial Studies, 1996, 9:427-470.
[15] Brennan, M J and Y Xia. International Capital Markets and Foreign Exchange Risk[J]. The Review of Financial Studies, 2006, 19:753-795.
[16] Campbell, J Y and Y Hamao. Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration[J]. The Journal of Finance, 1992, 47:43-69.
[17] Carrieri, F and B Majerbi. The Pricing of Exchange Risk in Emerging Stock Markets[J]. Journal of International Business Studies, 2006, 37:372-391.
[18] Chan-Lau, J A, D J Mathieson and J Y Yao. Extreme Contagion in Equity Markets[J]. IMF Staff Papers, 2004, 51:386-408.
[19] Chaudhuri, K and K Koo. Volatility of Stock Returns: Importance of Economic Fundamentals[J]. Economic and Political Weekly, 2001, 36:3852-3856.
[20] Chue, T K. Conditional Market Comovements, Welfare, and Contagions: The Role of Time-Varying Risk Aversion[J]. The Journal of Business, 2005, 78:949-967.
[21] Cowan, A R and M L Power. Interfirm Stock Price Effects of Asset-Quality Problems at First Executive Corporation[J]. The Journal of Risk and Insurance, 2001, 68:151-173.
[22] Cukierman, A, Y Spiegel and I Goldstein. The Choice Of Exchange-Rate Regime and Speculative Attacks[J]. Journal of the European Economic Association, 2004, 2:1206-1241.
[23] Domowitz, I, J Glen and A Madhavan. International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market[J]. The Journal of Finance, 1998, 53:2001-2027.
[24] Dornbusch, R, Y C Park and S Claessens. Contagion: Understanding How It Spreads[J]. The World Bank Research Observer, 2000, 15:177-197.
[25] Engle, R F and R Susmel. Common Volatility in International Equity Markets[J]. Journal of Business & Economic Statistics, 1993, 11:167-176.
[26] Engle, R F and V K Ng. Measuring and Testing the Impact of News on Volatility[J]. The Journal of Finance, 1993, 48:1749-1778.
[27] Engle, R. F. and Kroner, K. F . Multivariate Simultaneous Generalized ARCH [J]. Econometric Theory, 1995, 11, pp. 122-150.
[28] Forbes, K J and R Rigobon. No Contagion, Only Interdependence: Measuring Stock Market Comovements[J]. The Journal of Finance, 2002, 57:2223-2261.
[29] George, M v F, B N Jeon, N G Mankiw and R J Shiller. International Stock Price Movements: Links and Messages[J]. Brookings Papers on Economic Activity, 1989, 1989:125-179.
[30] Goetzmann, W N, L Li and K G Rouwenhorst. Long-Term Global Market Correlations[J]. The Journal of Business, 2005, 78:1-38.
[31] Granger, Clive W J, Huang, Bwo-Nung and Yang, Chin-Wei . A Bivariate Causalitybetween Stock Prices and Exchange Rates: Evidence from Recent Asian Flu[J]. The Quarterly Review of Economics and Finance, 2000, 40, pp. 37-354.
[32] Hamao, Y, R W Masulis and V Ng. Correlations in Price Changes and Volatility across International Stock Markets[J]. The Review of Financial Studies, 1990, 3:281-307.
[33] Hassler, J. Does Increased International Influence Cause Higher Stock Market Volatility?[J]. The Scandinavian Journal of Economics, 1999, 101:1-9.
[34] Jon, W. Transmission of Information across International Equity Markets[J]. The Review of Financial Studies, 2006, 19:1157-1189.
[35] Kallberg, J G, C H Liu and P Pasquariello. An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets[J]. The Journal of Business, 2005, 78:169-211.
[36] Karolyi, G A and R M Stulz. Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements[J]. The Journal of Finance, 1996, 51:951-986.
[37] Karolyi, G A. A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada[J]. Journal of Business & Economic Statistics, 1995, 13:11-25.
[38] Kim, E H and V Singal. Stock Markets Openings: Experience of Emerging Economies[J]. The Journal of Business, 2000, 73:25-66.
[39] King, M A and S Wadhwani. Transmission of Volatility between Stock Markets[J]. The Review of Financial Studies, 1990, 3:5-33.
[40] King, M, E Sentana and S Wadhwani. Volatility and Links between National Stock Markets[J]. Econometrica, 1994, 62:901-933.
[41] Kodres, L E and M Pritsker. A Rational Expectations Model of Financial Contagion[J]. The Journal of Finance, 2002, 57:769-799.
[42] Lin, W-L, R F Engle and T Ito. Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility[J]. The Review of Financial Studies, 1994, 7:507-538.
[43] Linsmeier, T J, D B Thornton, M Venkatachalam and M Welker. The Effect of Mandated Market Risk Disclosures on Trading Volume Sensitivity to Interest Rate, Exchange Rate, and Commodity Price Movements[J]. The Accounting Review, 2002, 77:343-377.
[44] Meese, Richard and Rogoff, Kenneth. Was It Real? The Exchange Rate-interest Differential Relation over the Modern Floating-rate Period[J]. The Journal of Finance, 1988, 43 (4), pp. 933-948.
[45] Neumark, D, P A Tinsley and S Tosini. After-Hours Stock Prices and Post-Crash Hangovers[J]. The Journal of Finance, 1991, 46:159-178.
[46] Poterba, J M. Transmission of Volatility between Stock Markets: Discussion[J]. The Reviewof Financial Studies, 1990, 3:34-35.
[47] Richards, A J. Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?[J]. Staff Papers - International Monetary Fund, 1996, 43:461-501.
[48] Solnik, B, C Boucrelle and Y L Fur. International Market Correlation and Volatility[J]. Financial Analysts Journal, 1996, 52:17-34.
[49]陈梦根,毛小元.股价信息含量与市场交易活跃程度.《金融研究》,2007,(03),129-143.
[50]陈收,李双飞,李小晓.中国概念股与国内外股市的联动效应研究.《管理科学》,2008,(04),107-116.
[51]丁剑平,赵亚英,杨振建.亚洲股市与汇市联动:MGARCH模型对多元波动的测试.《世界经济》,2009,(05),85-97.
[52]丁志国,苏治,杜晓宇.经济周期与证券市场波动关联性——基于向量SWARCH模型的新证据.《数量经济技术经济研究》,2007,(03),62-69+81.
[53]韩非,肖辉.中美股市间的联动性分析.《金融研究》,2005,(11),121-133.
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①该节部分内容参考刘克峰博士论文《国际资本流动和中国证券市场国际化》。