后危机时期主要股指联动性分析

发布时间：2018-03-09 23:15

本文选题：后危机　切入点：股市　出处：《生产力研究》2011年12期 　论文类型：期刊论文

【摘要】：面对金融危机,各国都采取了相应的救市措施。这些救市措施的力度有大有小,对本国经济复苏起到刺激作用;同时也对其他国家的经济复苏起有一定的外部效应。通过对各国股指这一宏观经济的晴雨表来分析危机后各国经济的对外影响力。文章分别采用ADF检验、VAR模型、和Granger因果关系检验方法来对中、日、美、欧、澳、印六国危机后(2009/01/05-2010/7/21)股指的联动性进行分析,结果表明发达资本主义国家股指尤其是标准普尔指数对其他国家股指影响很大,而发展中国家股指尤其是上证综指对其他国家股指几乎没有影响。
[Abstract]:In the face of the financial crisis, all countries have taken corresponding measures to rescue the market. At the same time, it also has some external effects on the economic recovery of other countries. This paper analyzes the external influence of countries after the crisis by using the index index of each country as a macroeconomic barometer. This paper uses the ADF test to test the external influence of each country's economy. And the Granger causality test method to analyze the linkage of the stock indexes of China, Japan, the United States, Europe, Australia, and India after the crisis of 2009 / 01 / 05-2010 / 7 / 21). The results show that the stock indexes of developed capitalist countries, especially the S & P index, have a great impact on the stock indexes of other countries. Developing world stock indexes, especially the Shanghai Composite Index, have little impact on other countries.
【作者单位】：四川大学工商管理学院;
【分类号】：F224;F831.51;F832.51

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