中美股票市场周期波动的联动性研究——基于频带分解的新证据
发布时间：2019-03-07 10:12
【摘要】：随着世界经济一体化,全球股市逐步呈现彼此联动的态势。不论是短周期波动、中周期波动,还是长期趋势,上证综指与道琼斯指数在各层对应波动成分间都存在着统计显著的双向Granger因果联动机制。不论是短线投机还是长期投资,投资者都很难通过在中美两国资产组合配置获得风险降低的好处。从联动作用机制来看,中美股市间不仅存在着"经济基础效应",而且存在"市场传染效应"。中美股市间的全面联动对我国相关监管部门关于金融风险防范,保障我国金融安全提出了更高的要求。
[Abstract]:With the integration of the world economy, the global stock market gradually presents the situation of linkage with each other. No matter the short-term, middle-cycle or long-term trend, there are significant two-way Granger causal linkage mechanism between the Shanghai Composite Index and the Dow Jones Index in the corresponding fluctuation components of each layer. Whether it is short-term speculation or long-term investment, it is difficult for investors to reap the benefits of reduced risk through portfolio allocation in China and the United States. From the point of view of linkage mechanism, there is not only "economic base effect" but also "market contagion effect" between Chinese and American stock markets. The overall linkage between the Chinese and American stock markets puts forward higher requirements for the relevant regulatory departments in China to prevent financial risks and ensure the financial security of our country.
【作者单位】： 福州大学管理学院;
【基金】：福建省社会科学规划项目(2010C010) 福州大学科技发展基金社科育苗基金项目(09SKY01);福州大学引进人才基金项目(022246)
【分类号】：F224;F832.51;F831.51
[Abstract]:With the integration of the world economy, the global stock market gradually presents the situation of linkage with each other. No matter the short-term, middle-cycle or long-term trend, there are significant two-way Granger causal linkage mechanism between the Shanghai Composite Index and the Dow Jones Index in the corresponding fluctuation components of each layer. Whether it is short-term speculation or long-term investment, it is difficult for investors to reap the benefits of reduced risk through portfolio allocation in China and the United States. From the point of view of linkage mechanism, there is not only "economic base effect" but also "market contagion effect" between Chinese and American stock markets. The overall linkage between the Chinese and American stock markets puts forward higher requirements for the relevant regulatory departments in China to prevent financial risks and ensure the financial security of our country.
【作者单位】： 福州大学管理学院;
【基金】：福建省社会科学规划项目(2010C010) 福州大学科技发展基金社科育苗基金项目(09SKY01);福州大学引进人才基金项目(022246)
【分类号】：F224;F832.51;F831.51
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6 周s，
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