中美股票市场的联动性研究

发布时间：2018-09-12 18:53

【摘要】：随着中国加入WTO,中国股市逐步融入全球资本市场。在金融危机席卷全球的背景下,研究中美股市的联动关系对于关注市场风险传染、维护国家金融安全有重要的参考价值。本文首先从"经济基础假说"和"市场传染假说"理论层面分析了股票市场联动的传导机制,然后以2001年12月12日到2009年1月23日上证指数与道琼斯指数的日交易数据为样本,分阶段检验了中美股市的联动特征。主要结论是:第一,中国股市与美国股市不存在长期的均衡关系,走势相对独立。第二,在价格和波动溢出方面,中国股市对美国股市的引导作用很弱。在QDII实施之后,美国股市对中国股市的开盘价和收盘价均有显著的引导作用,美国股市对中国股市的波动溢出呈现不断增强之势。第三,分位数回归显示出美股收盘收益率对上证开盘收益率的影响呈现U型曲线,在极端条件下美股变动对中国股市的冲击更显著。本文的研究结论具有稳健性。
[Abstract]:With China's entry into WTO, China's stock market gradually melts into the global capital market. Against the background of the financial crisis sweeping the world, the study of the relationship between Chinese and American stock markets has important reference value for paying attention to market risk contagion and maintaining national financial security. This paper first analyzes the transmission mechanism of stock market linkage from the theory of "economic base hypothesis" and "market contagion hypothesis", and then takes the daily trading data of Shanghai Stock Exchange and Dow Jones Index from December 12, 2001 to January 23, 2009 as samples. The paper examines the linkage characteristics of Chinese and American stock markets in stages. The main conclusions are as follows: first, there is no long-term equilibrium relationship between Chinese stock market and U.S. stock market, and the trend is relatively independent. Second, in terms of price and volatility spillover, China's stock market to the U. S. stock market guidance is weak. After the implementation of QDII, the U.S. stock market has played a significant role in guiding the opening price and closing price of the Chinese stock market, and the volatility spillover of the U.S. stock market to the Chinese stock market has been increasing. Third, the quartile regression showed that the impact of U.S. stock closing yield on Shanghai's opening yield was U-shaped, and the impact of U.S. stock movements on China's stock market was more pronounced under extreme conditions. The conclusion of this paper is robust.
【作者单位】：南京大学工程管理学院;中国人民银行南京分行;
【基金】：教育部新世纪优秀人才支持计划NCET-08-0284 国家自然科学基金(70932003)支持
【分类号】：F224;F832.51;F831.51

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