| After our country joins WTO (especially after 2005), the financial market increases the opening extent continually, the influence of the fluctuation of international financial market on our country SPIC index also appears day after day. To satisfy the request of the development of our country economy, our country capital market needs to open further, which leads American financial markets, the core of the international financial markets, to affect the growth and the development of our country Stock market in a greater degree. Therefore, it is very vital and practical significance of carrying on the systematic analysis on the relationship between the NYK Index and the SPIC Index.Through Unit Root Test, Johansen Cointegration Test, and Granger Causality Tests, this article has made system's analysis comparison on NYK index, SPIC Index and Exchange Rate. And the article establishes the EGARCH model, comprehensively inspecting the mutual influence between NYSE finance index and SPIC Index, as well as between their returns ratios.This research attempts to establish the Cointegration relationship of the NYK index, the SPIC Index and the exchange rate, analyzing whether there is long common relationship among the three time series, and the article establishes the EGARCH models to quantitatively analyzing the remarkable relations between the NYK Index and the SPIC Index, as well as close relationship of the returns ratio of the NYK Index and the SPIC Index. Finally, the article points out the asymmetrical influence of news on the index and the returns ratio.Except the Introduction, the structure of the paper is divided into the following four parts:Chapter 1 is the associated analysis of between the NYK Index and the SPIC Index. Firstly, this chapter introduces the NYK index (the New York Stock Exchange finance index, NYSE Financial Index), then the basis finance economic cycle theory, has pointed out the US money market to the American economic cycle remarkable influence; then according to the financial economic cycle theory, the article has pointed out the remarkable influence of the US financial market on American economic cycle. Secondly, this chapter introduces the SPIC Index, and to further manifest the influence of the fluctuation of the NYK index on the SPIC Index. We discovered that after 2005, the opening degree of our country financial market increased in a large scale, the fluctuation of our country Stock market was close with the US financial markets, when the US financial markets were prosperous, our country Stock market would bounce, and even rise; When US money market experienced depression, worsening, our country Stock market came on prominent call-back, even falls largely. Finally, the chapter briefly reviewed domestic and foreign related literature about this question of affecting our country Stock market index.Chapter 2 briefly introduced the Cointegrated relationship test, Granger non-causal relationship test, and ARCH models, including relative test tools. Cointegration is a powerful concept, through cooperates entire, we may portray balanced or the steady relationships between two or many sequence, mainly uses for the explanatory variable the long-term balanced relations. It is mainly used for the explanation of long-term balanced relationships of the variables.The Granger non-causal relation test has solved the question whether x is the causation to y , it is concerned with how many degrees x cause y , and whether adding the lag items of x will enhance the degrees of the explanation of y , if x has helped the forecast of y , or the correlation coefficient of x and y is remarkable statistically, it can be said that"x Granger-causal y".ARCH models is mainly to portray some kind of relevance which possibly exists in the condition variance forecast of errors. It is used to describe the the peak, the thick tail, excursion, the fluctuation cluster and the long memory which prominently exists in the returns ratio sequence the Stock market index. ARCH-LM tests and Correlogram of Standard residuals Squared are the test tools of ARCH models.The 3rd chapter is the core part of paper. Firstly, through the Unit root test, Cointegrated test, and Granger non-causal relation test, this part obtains the remarkable influence of the NYK index on the SPIC Index. Then the article establishes the EGARCH model, quantitatively analyzing the influence of the NYK Index and the SPIC Index, we discovered that there is remarkable influence of the NYK index on the SPIC Index, moreover, the influence of news on the NYK Index demonstrates the prominent asymmetry; at the same time, through the comparision, we also found that the fluctuation of the US financial market has increased the influence of good information, and simultaneously also strengthened the impact of negative information, which intensified the large fluctuation of our country Stock market. Then through analyzing the variance sequence, we discovered the close relationship between the fluctuations of the NYK Index and the SPIC Index.Secondly, this chapter establishes EGARCH models to quantitatively analyze the prominent influence of the returns of the NYK Index on the returns of the SPIC Index, and we discovered that the"overflow effect"of RN t to RS t remarkablely exists, it is that there is the remarkable first-order leader effect of RS t to RN t. But there is no remarkable influence of RS t to RN t, the asymmetry of this"overflow effect"means that there exists the single direction influence in the fluctuation conduction between RN t and RS t. From the condition variance equation, the influence of news on RN t demonstrates the prominent asymmetry, at the same time, the influence of news on RS t demonstrates the asymmetry, but this asymmetry is not prominent. And through comparision, we also found that when the negative news appears, the impact of the information on RN t is far bigger than the same information on RS t, but when the good news appears, the fluctuation of RN t is negative, and RS t is plus, meaning the SPIC increases more quickly.Finally, this chapter analyzes the relationship between the variances of RN t and RS t, we discovered that this relationship did not exist.Besides, we thought that the paper also needs further research, examining the influence between exchange rate and the SPIC Index. Although our country implements the management floating Exchange rate system, which is based on supply and demand, referring to a basket currency to carry on the adjustment, moreover, the Exchange rate no longer observes US dollar closely and solely, but the export is the leading economic development strategy for our country, what's more, from 2007 to 2008, the stock market rises and falls in the large scale, inevitably relating to foreign capital invasion with a certain extent, but through the data analysis there isn't remarkable influence between exchange rate and the SPIC Index, which possibly is because our country capital market not completely opening at present and at the capital item, the Renminbi cannot realize to exchange freely, and so on. With our country capital market further opened and RMB free exchange system gradually realized, this kind of policies influence can be reduced, therefore,the influence between the exchange rate and our country Stock market will be getting more and more remarkable.Through reviewing Japanese and Southeast Asia Stock market bubble history, the 4th chapter thought that the international finance capital firstly attacked the foreign exchange, then invaded the stock market, suggesting that our country government should speed up the stock market to realize marketability, and learn the experience of Japanese Stock market bubble and 2008 Our country Stock market sliding largely, what's more, our government should establish the foreign capital risk management organization, paying attention to the flow of the US capital and the world financial capital, to reduce the negative influence of the international money market fluctuation on our country Stock market, at the same time, our country should consummate the Renminbi exchange system, supplementing our country's exchange rate system, and the article puts forward the corresponding policy advice. |
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