美国次贷危机冲击下A股市场调整的引导关系研究
发布时间：2019-04-26 11:28
【摘要】：本文阐述了美国次贷危机影响A股市场的传导机制,并选取对数化的道琼斯工业平均指数、红筹股指数、上证指数为变量,以2007年1月5日～2008年10月24日为期间,通过相关性分析、单位根检验、协整关系检验和基于VECM的格兰杰因果关系检验,结果发现,危机期间的美国股市、香港股市与A股市场之间存在协整关系,而且美国股市是香港股市和A股市场的格兰杰原因,同时,香港股市是A股市场的格兰杰原因。本文认为,美国次贷危机引发了包括中国在内全球资本市场深度调整,在全球资本市场高度联动性的背景下,积极构建国内资本市场长效稳定机制,是防范金融危机的重要举措。
[Abstract]:This paper expounds the transmission mechanism of the impact of the US subprime mortgage crisis on the A-share market, and selects the logarithmic Dow Jones Industrial average, the Red chips Index and the Shanghai Stock Exchange Index as variables, taking the period from January 5, 2007 to October 24, 2008 as the variables. Through correlation analysis, unit root test, co-integration test and Granger causality test based on VECM, it is found that there is a co-integration relationship between American stock market, Hong Kong stock market and A-share market during the crisis. And the U. S. stock market is the Granger reason for the Hong Kong stock market and A-share market, and the Hong Kong stock market is the Granger reason for the A-share market. This paper argues that the subprime mortgage crisis in the United States has triggered the deep adjustment of the global capital market, including China, and actively constructed the long-term stable mechanism of the domestic capital market under the background of the high degree of linkage of the global capital market. It is an important measure to prevent the financial crisis.
【作者单位】： 中南财经政法大学金融学院;
【基金】：国家社科基金重大项目“构建金融稳定的长效机制:基于美国金融危机的政治经济学分析”(08&ZD035)
【分类号】：F832.51
[Abstract]:This paper expounds the transmission mechanism of the impact of the US subprime mortgage crisis on the A-share market, and selects the logarithmic Dow Jones Industrial average, the Red chips Index and the Shanghai Stock Exchange Index as variables, taking the period from January 5, 2007 to October 24, 2008 as the variables. Through correlation analysis, unit root test, co-integration test and Granger causality test based on VECM, it is found that there is a co-integration relationship between American stock market, Hong Kong stock market and A-share market during the crisis. And the U. S. stock market is the Granger reason for the Hong Kong stock market and A-share market, and the Hong Kong stock market is the Granger reason for the A-share market. This paper argues that the subprime mortgage crisis in the United States has triggered the deep adjustment of the global capital market, including China, and actively constructed the long-term stable mechanism of the domestic capital market under the background of the high degree of linkage of the global capital market. It is an important measure to prevent the financial crisis.
【作者单位】： 中南财经政法大学金融学院;
【基金】：国家社科基金重大项目“构建金融稳定的长效机制:基于美国金融危机的政治经济学分析”(08&ZD035)
【分类号】：F832.51
【共引文献】
相关期刊论文 前6条
1 罗旋;刘冬;;我国A+H股公司两地股价互动关系研究[J];财会月刊;2006年21期
2 张志波,齐中英;基于VAR模型的金融危机传染效应检验方法与实证分析[J];管理工程学报;2005年03期
3 周s，
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