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摘要伴随金融行业的飞速成长，股票行业慢慢成为整个市场中非常重要的部分。此文为了探究世界上主要股票市场之间存在的联系和差别，选取了上证综指、日经225指数、道琼斯工业均指和法兰克福指数作为研究对象来对它们之间的相关性展开研究。68755
本文采取了EMD/EEMD分解技术对近十年各股票指数收盘价分解获得10阶本征模函数分量和1个残余变量。在此分解的结果基础上，对各股票指数分量重构得出市场波动项（高频部分）、重大事件影响项（低频部分）、长期趋势项（残余变量）。
针对重构后得到的市场波动项，本文中采取了GARCH模型来分析各股票指数的波动性，并得知中国股票市场上证综指市场波动项产生的集聚效应和波动的持久性比其他三个市场的股票指数更为严重，德国法兰克福指数次之，美国道琼斯工业均指最为稳定。此外，通过模拟波动溢出效应模型发现美国道琼斯工业均指的波动情况对其他股票指数的波动干扰都十分显著。
对于重大事件影响项，本文运用VAR模型的格兰杰因果检验方法分析在金融危机影响下各股票指数间的格兰杰因果关系，并得到上证综指对道琼斯工业均指会产生较高强度的作用，时间持续久等结果。
最后，采用色系图分析各指数各阶IMF之间的相关性以及分析各指数重构之后所得出的三类分量间年相关性，并得出各指数之间的长期趋势项的相关性表现得较为明显和市场波动项之间呈现出极弱的相关性等结果。
毕业论文关键词：股指、EMD/EEMD、GARCH模型、Granger因果检验、相关性
A Study on the Correlation Analysis of the World Major Stock Index
Abstract
With the rapid development of financial markets, the stock market has gradually become an integral part of the entire market. In order to explore the connection and difference between the major stock markets in the world, this paper chooses the Shanghai Composite Index, the Dow Jones Industrial Average, the Nikkei 225 Index and the Frankfurt Index as the research object to study the correlation between them.
In this paper, the improved EEMD decomposition technique of EMD decomposition technology is used to decompose the stock price of 10 stocks in the last ten years to obtain the 10th order function component and one residual variable. On the basis of the results of this decomposition, the t-test of the IMF mean value is obtained after the reconstructed market fluctuation (high frequency part), major event influence (low frequency part), long term trend (residual variable).
In this paper, the GARCH model is used to analyze the volatility of each stock index, and the volatility of the volatility items in the Chinese stock market is higher than that of the other three markets. Stock index is more serious, followed by the German stock market, the US stock market is the most stable. In addition, through the establishment of the volatility spillover effect model, it is found that the fluctuation of the Dow Jones Industrial Average is very significant, and the Dow Jones Industrial Average and the Nikkei 225 are affected to some extent.
In this paper, the Granger causality test of the VAR model is used to analyze the Granger causality relationship between the stock indexes under the influence of the financial crisis, and the influence of the Shanghai Composite Index on the Dow Jones Industrial Average is relatively large and the duration is long.
Finally, the correlation between the IMFs of each index and the correlation of the market volatility items, the major event impact items and the long-term trend items are analyzed, and the correlation between the long-term trend items is analyzed. The performance is more obvious and the market volatility shows a very weak correlation between the results.