亚太地区股票市场的联动程度——基于次级贷冲击的研究

发布时间：2018-05-19 08:25

本文选题：亚太地区 + 股票市场　；参考：《世界经济研究》2010年08期

【摘要】：本文从长期关系、短期作用和方差分解方面,分析了次级贷危机前后亚太股市的联动程度。首先,协整检验表明,亚太股市存在长期均衡关系,但这种关系在次级贷危机前后发生了明显的结构转变。其次,Granger非因果检验表明,亚太股市在次级贷危机后,市场间短期作用大大加强。再次,我们定义了单个市场联动程度判断准则,并且结合方差分解发现,亚太地区股市在次级贷危机后单个市场独立性显著降低。总体而言,亚太地区股市在次级贷危机之后联动程度进一步加强,支持弱分割市场理论;美国股市是地区股市领导者;日本股市变化最大,次级贷危机后,市场独立性变得最弱;中国大陆股市也不断融入区域市场。建议政府和投资者对于本国(本地区)之外的实体经济和股市风险都要密切关注。
[Abstract]:This paper analyzes the linkage of Asia-Pacific stock market before and after the subprime mortgage crisis in terms of long term relationship, short term effect and variance decomposition. First, cointegration tests show that there is a long-term equilibrium relationship in Asia-Pacific stock markets, but this relationship has undergone a significant structural shift before and after the subprime mortgage crisis. Second, the Granger non-causality test shows that the short-term role of the Asian and Pacific stock markets in the aftermath of the subprime mortgage crisis has been greatly strengthened. Thirdly, we define the criterion of individual market linkage, and combine variance decomposition to find that the individual market independence of Asia-Pacific stock market is significantly reduced after the subprime mortgage crisis. In general, the Asia-Pacific stock market has further strengthened its linkage after the subprime mortgage crisis, supporting the weak segmentation market theory; the US stock market is the regional stock market leader; and the Japanese stock market has changed the most. After the subprime mortgage crisis, Market independence has become weakest; mainland Chinese stocks are also increasingly integrated into regional markets. Governments and investors are advised to pay close attention to both the real economy and stock market risks outside the region.
【作者单位】：吉林大学商学院;中央财经大学商学院;
【基金】：国家社会科学基金项目《经济增长、经济结构与就业的互动机理和互动模式研究》(07BJY020)
【分类号】：F224;F831.51

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