美國(guó)股市與中國(guó)股市相關(guān)性分析

信息計(jì)算科學(xué)論文編號(hào):XXLW106 論文字?jǐn)?shù):9167,頁(yè)數(shù):23

目  錄
中文摘要 i
英文摘要 ii
目錄 iii
第一章  緒論 ... 1
1.1   引言 1
1.2   背景分析及相關(guān)研究 2
第二章  相關(guān)指數(shù)介紹  3
 2.1  道瓊斯指數(shù)簡(jiǎn)介 3
 2.2  上證指數(shù)簡(jiǎn)介 3
第三章  中美相關(guān)性分析原理 4
 3.1   GARCH模型簡(jiǎn)介 4
 3.2   GARCH模型種類 5
第四章  特殊時(shí)段下對(duì)中美股市影響的比較分析 6
 4.1  海灣戰(zhàn)爭(zhēng)下對(duì)中美股市影響的比較分析 6
 4.2  金融危機(jī)下對(duì)中美股市影響的比較分析 10
第五章  中美股市實(shí)證分析 12
5.1   數(shù)據(jù)選取 12
5.2   描述性統(tǒng)計(jì) 14
第六章  實(shí)證結(jié)果分析 15
6.1   共性分析 15
6.2   比較分析 15
第七章  模型建立 16
第八章  結(jié)論 18
致謝 19
參考文獻(xiàn) 20

摘要
 本篇論文提出了中國(guó)股市與美國(guó)股市的相關(guān)背景及其研究成果。通過(guò)對(duì)現(xiàn)今中美兩國(guó)之間的幾個(gè)重要的股市指數(shù)來(lái)進(jìn)行對(duì)比分析，本文主要比較上證綜合指數(shù)和美國(guó)道瓊斯工業(yè)指數(shù)來(lái)進(jìn)行相關(guān)性研究分析。具體地說(shuō)，論文收集并整理了從2009年5月4日到2010年5月24日兩種股票指數(shù)的數(shù)據(jù)，經(jīng)處理后再運(yùn)用EVIEWS5.0軟件建立GARCH（1,1）模型來(lái)對(duì)整理后的數(shù)據(jù)進(jìn)行分析，從而得出中美股市的相關(guān)性大小。同時(shí)本文也從其他方面對(duì)中美股市的相關(guān)性進(jìn)行了研究比較；比如：比較分析兩國(guó)在金融危機(jī)時(shí)期或者第二次海灣戰(zhàn)爭(zhēng)時(shí)期股市的波動(dòng)性情況，在充分考慮到影響兩國(guó)股市指數(shù)波動(dòng)變化的客觀因素來(lái)得出更為準(zhǔn)確的結(jié)論。最后本論文通過(guò)綜合之前所有的研究分析得出中國(guó)股市與美國(guó)股市的弱線性相關(guān)性，為廣大投資者提供了一定的幫助和指導(dǎo)。
關(guān)鍵詞：相關(guān)性；道瓊斯指數(shù)；上證綜指；金融市場(chǎng)

Abstract
 This paper firstly introduces the background Chinese stock market and the US stock market and achievements about research them. By studying several important indexes of both China and the United States and using statistical analysis, this paper try to find out the whether there is a linear correlation between the Shanghai composite index and the United States Dow Jones industrial average index. The paper collects two stock indexes data from May 4th,2009 to May 24th, 2010, then uses EVIEWS5.0 software GARCH model to analyze these data. Moreover, the paper considers also the other factors to influence the correlation between Chinese stock market and the US stock market. Examples: comparative analysis of two countries stock markets fluctuations during financial crisis, or gulf war, full consideration of the objective factors to lead to these volatility so that more accurate results to be given. Finally, through the comprehensive research and analysis of China's stock market we conclude that it is weak U.S. equity markets. Maybe it gives some help and guidance for the majority of the investors.
Keywords: correlation；Dow Jones Industrial Average；Shanghai composite index；Financial markets