中国大陆股市与美国股市联动性之研究
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摘要
从20世纪80年代以来，金融自由化和经济一体化使得国际资本流动趋势愈发明显。股票市场历来被称为国民经济的“晴雨表”，作为金融市场的重要组成部分，往往会在一定程度上以股票价格的联动性对世界经济的波动作出反应。20世纪90年代初，中国的上海证券交易所和深圳证券交易所先后正式成立。此后经过二十余年的发展，沪深两市迅速壮大并在我国的金融市场中占据十分重要地位。2007年以来，次贷危机先是在美国境内爆发开来，后来演变为严重的金融危机，并引发了去全球范围内的经济衰退，导致全球资本市场的极大波动，我国作为新兴的发展中国家之一，对外开放程度不断提高，因此也在本轮金融危机中受灾严重。
本文以金融危机为时代背景，在总结和学习国内外学者相关研究的基础上，对股市联动性的基础理论进行了阐述，并对中美股市联动的内在机理进行详细分析，依据金融危机爆发到席卷全球再到各国应对危机的全过程进行时间分段，运用VAR模型、ADF检验、Johansen检验、Granger因果检验、脉冲响应函数以及方差分解等，对上证综指和标普500指数进行系统的实证分析，并结合理论分析得出结果。
在金融深化和信息科学技术高度发达和迅速发展的今天，金融危机对中国大陆和美国股市的影响是不可小觑的。从金融危机以来，两国股市联动性大大加强，数次出现剧烈震荡行情，这与我国资本市场的不断开放和发展离不开，但金融危机的影响更是难以逃脱干系。本文就中国大陆和美国股市间联动性的研究随尚有缺陷，但希望能为我国资本市场的未来发展方向和成熟完善提供参考。
Since the1980s, financial liberalization and economic integration has made the trendof international capital flow increasingly obvious. Stock market has traditionally beenreferred to as the "barometer" of the national economy, as an important part of the financialmarkets tend to some extent, correlated with stock price react to fluctuations of the worldeconomy. In the early1990s, China's Shanghai Stock Exchange and Shenzhen StockExchange has formally established. After more than20years of development, Shanghaiand Shenzhen two city have been growing rapidly and occupies very important position infinancial market in China. Since2007, the Subprime Crisis broke out first in the UnitedStates, and later evolved into a serious financial crisis, and led to global economicrecession, lead to great fluctuation in the global capital market. As our country is now oneof the emerging developing countries and opening to the outside world enhancesunceasingly on degree, therefore it is the worst-hit in the financial crisis.
Based on the background of financial crisis, this article summarized and studieddomestic and foreign scholars on the basis of related research, on the basis of stock marketcorrelation theory, expounded the inner mechanism of China and America on stock marketlinkage, then make a detailed analysis on the basis of the whole process of time segment ofthe financial crisis, using VAR model, ADF test, Johansen test, Granger causality test,impulse response function and variance decomposition, etc., the writer focused on theShanghai composite index and the S&P500index system of empirical analysis, andcombining with theoretical analysis to obtain the results.
United States is to be reckoned with. Since the financial crisis, stock market linkagesbetween the two countries strengthen greatly, several volatility market occurred. It isclosely related to the continuously open and development of the capital market in China, but the financial crisis is more difficult to escape. In this paper, the studies of correlationbetween the stock market in mainland China and the United States still have defects, but Ihope for providing a reference on the future direction of development and mature of capitalmarket in China.
本文以金融危机为时代背景，在总结和学习国内外学者相关研究的基础上，对股市联动性的基础理论进行了阐述，并对中美股市联动的内在机理进行详细分析，依据金融危机爆发到席卷全球再到各国应对危机的全过程进行时间分段，运用VAR模型、ADF检验、Johansen检验、Granger因果检验、脉冲响应函数以及方差分解等，对上证综指和标普500指数进行系统的实证分析，并结合理论分析得出结果。
在金融深化和信息科学技术高度发达和迅速发展的今天，金融危机对中国大陆和美国股市的影响是不可小觑的。从金融危机以来，两国股市联动性大大加强，数次出现剧烈震荡行情，这与我国资本市场的不断开放和发展离不开，但金融危机的影响更是难以逃脱干系。本文就中国大陆和美国股市间联动性的研究随尚有缺陷，但希望能为我国资本市场的未来发展方向和成熟完善提供参考。
Since the1980s, financial liberalization and economic integration has made the trendof international capital flow increasingly obvious. Stock market has traditionally beenreferred to as the "barometer" of the national economy, as an important part of the financialmarkets tend to some extent, correlated with stock price react to fluctuations of the worldeconomy. In the early1990s, China's Shanghai Stock Exchange and Shenzhen StockExchange has formally established. After more than20years of development, Shanghaiand Shenzhen two city have been growing rapidly and occupies very important position infinancial market in China. Since2007, the Subprime Crisis broke out first in the UnitedStates, and later evolved into a serious financial crisis, and led to global economicrecession, lead to great fluctuation in the global capital market. As our country is now oneof the emerging developing countries and opening to the outside world enhancesunceasingly on degree, therefore it is the worst-hit in the financial crisis.
Based on the background of financial crisis, this article summarized and studieddomestic and foreign scholars on the basis of related research, on the basis of stock marketcorrelation theory, expounded the inner mechanism of China and America on stock marketlinkage, then make a detailed analysis on the basis of the whole process of time segment ofthe financial crisis, using VAR model, ADF test, Johansen test, Granger causality test,impulse response function and variance decomposition, etc., the writer focused on theShanghai composite index and the S&P500index system of empirical analysis, andcombining with theoretical analysis to obtain the results.
United States is to be reckoned with. Since the financial crisis, stock market linkagesbetween the two countries strengthen greatly, several volatility market occurred. It isclosely related to the continuously open and development of the capital market in China, but the financial crisis is more difficult to escape. In this paper, the studies of correlationbetween the stock market in mainland China and the United States still have defects, but Ihope for providing a reference on the future direction of development and mature of capitalmarket in China.
引文
[1] Jimmy E． HiIliard, The Relationship Between Equity Indices on WorldExchanges[J].The Journal of Finance, V01.34,No.1(Mar,1979), pp.103-114
[2] Jeffery Jaffe and Randolph Westerfield, The Week—End Effect in Common StockReturns： The International Evidence[J].The Journal of Finance,V01.40,No.2(Jun,1985),pp.433-454
[3] Karolyi．G．Andrew and Rene M．Stulz, Why do markets move together? Aninvestigation of U.S.--Japan stock return comovements using ADRS[J].The Revies ofFinancial Studies,1996(03),5-33
[4] Latha Ramchand, Raul Susmel. Volatility and cross correlation across major stockmarkets[J].Journal of Empirical Finance,1998(5):397-416
[5] Hung B.W.S Cheung, Interdependence of Asian Emerging Equity Markets[J].Journalof Business Finance and Accounting,1995,22(2):281-288
[6] Christofi, A. and Pericli, A. Correlation in price changes and volatility of major LatinAmerican stock markets[J]. Journal of Multinational Financial Management,l999,9:79-93
[7] Leong and Felmingham. The Interdependence of share Markets in the DevelopedEconomies of East Asia[J]. Pacific-Basin Finance Journal,2003,(276):1一19
[8] Robert Johnson and Luc Soenen. Economic integration and stock market comovementin the Americas[J].Journal of Multinational Financial Management,2003,13:85一100
[9] Lucey，B．M．，S．Voronkova．Russian equity market linkages before and after the1998crisis： Evidence from stochastic and regime—switching cointegrationtests．Journal of Intemational Money and Finance，2008(27)：1303—1324．
[10] Dickey,D.A., W. A. Fuller. Distribution of the estimators for autoregressive timeseries with a unit root[J].Journal of the American Statistical Association,1979,74:427-431
[11]陈守东,韩广哲,荆伟.主要股票市场指数与我国股票市场指数间的协整分析[J].数量经济技术经济研究,2003(5):124-129
[12]阎大颖.实证分析中国股票市场内部及与国际市场之间价格长期走势的因果关系[J].南开经济研究,2003(3):63-76.
[13]黄达.金融学[M].北京:中国人民大学出版社,2003
[14]汗素南,潘云鹤.美国股市与中国股市间溢出效应的实证研究[J].浙江大学学报(工学版),2004,38(11):1431一1435.
[15]韩非,肖辉.中美股市间的联动性分析[J].金融研究,2005(11):117-129.
[16]吴世农,潘越.香港红筹股、H股与内地股市的协整关系和引导关系研究[J].管理学报,2005,3
[17]宋红雨.内地与香港股票市场联动性分析「J.集团经济研究，2006,12
[18]周珺.我国人陆股票市场与周边土要股票市场的联动分析[J].企业经济,2007,(1):165一167.
[19]高艳.中国与国际主要股市收益率与波动率相关性的实证研究[D].硕士学位论文,长春:吉林大学.2007.
[20]谢百三，王黎明，聂倩倩，陈小明.中美两国股市不存在长期的联动性[J].价格理论与实践.2007(3):66-68.
[21]李欣欣.次贷危机对国际证券市场关联性影响研究——基于Copula函数的实证检验[D].硕士学位论文,长春,吉林大学.2010
[22]高铁梅.计量经济分析方法与建模-Eviews应用及实例[M].清华大学出版社,2008年1月
[23]高莹,靳莉莉.沪深300指数与世界主要股票指数的关联性分析[J].管理评论,2008(2)
[24]于会鹏.中国股票市场板块及其与国外主要市场间的联动性的实证研究[D].硕士学位论文,南京,南京理工大学.2009
[25]唐齐鸣,操巍.沪深美港股市的动态相关性研究—兼论次级债危机的冲击[J].统计研究.2009,26(2):21-27
[26]李晓广,张岩贵.我国股票市场与国际市场的联动性研究一对次货危机时期样本的分析[J].国际金融研究.2008(11):75-80
[27]赵征.我国股市与国际股票市场联动性研究[J].硕士学位论文,南昌,江西财经大学.2009
[28]龚朴，黄荣兵.次贷危机对中国股市影响的实证分析—基于中美股市的联动性分析[J].管理评论.2009(2):21-32
[29]赵龙.次贷危机前后我国内地和香港股市联动性研究[D].硕士学位论文,天津,天津财经大学.2011
[30]游家兴，郑挺国.中国与世界金融市场从分割走向整合一基于DCC-MGARCH模型的检验[J].数量经济技术经济研究.2009,12:96-108
[31]邵宏成，王坷.沪港股市的联动效应分析[J].经济师.2009,7
[32]张晓恫.计量经济学软件EViews使用指南[M].天津:南开大学出版社,2003
[33]王永巧，刘诗文.基于时变Copula的金融开放与风险传染[J].系统工程理论与实践.2011.4
[34]程芃.美国和金砖四国股市[D].硕士学位论文,上海,东华大学.2011
[35]石建勋，钟建飞，李海英.金融危机前后内地与香港股市联动性及引导性变化的实证研究[J].统计与信息论坛.2011,2
[36]沈钦华，谈儒勇，赵雷.金融危机期间各国股市联动性分析[J].学海.2011,4
[37]徐有俊，王小霞，贾金金.中国股市与国际股市联动性分析——基于DCC-GRACH模型研究[J].经济经纬.2010,5
[38]李自然，成思危，祖垒.基于格兰杰因果检验遍历性分析的中国股市和国际股市的时变联动特征研究[J].系统科学与数学.2011,2:131—143
[39]次贷危机前后我国内地和香港股市联动性研究[D].硕士学位论文,天津财经大学.2011
[40]饶卫，闵宗陶.金融危机对股市间波动的联动性影响[J].财经问题研究.2011,12
[2] Jeffery Jaffe and Randolph Westerfield, The Week—End Effect in Common StockReturns： The International Evidence[J].The Journal of Finance,V01.40,No.2(Jun,1985),pp.433-454
[3] Karolyi．G．Andrew and Rene M．Stulz, Why do markets move together? Aninvestigation of U.S.--Japan stock return comovements using ADRS[J].The Revies ofFinancial Studies,1996(03),5-33
[4] Latha Ramchand, Raul Susmel. Volatility and cross correlation across major stockmarkets[J].Journal of Empirical Finance,1998(5):397-416
[5] Hung B.W.S Cheung, Interdependence of Asian Emerging Equity Markets[J].Journalof Business Finance and Accounting,1995,22(2):281-288
[6] Christofi, A. and Pericli, A. Correlation in price changes and volatility of major LatinAmerican stock markets[J]. Journal of Multinational Financial Management,l999,9:79-93
[7] Leong and Felmingham. The Interdependence of share Markets in the DevelopedEconomies of East Asia[J]. Pacific-Basin Finance Journal,2003,(276):1一19
[8] Robert Johnson and Luc Soenen. Economic integration and stock market comovementin the Americas[J].Journal of Multinational Financial Management,2003,13:85一100
[9] Lucey，B．M．，S．Voronkova．Russian equity market linkages before and after the1998crisis： Evidence from stochastic and regime—switching cointegrationtests．Journal of Intemational Money and Finance，2008(27)：1303—1324．
[10] Dickey,D.A., W. A. Fuller. Distribution of the estimators for autoregressive timeseries with a unit root[J].Journal of the American Statistical Association,1979,74:427-431
[11]陈守东,韩广哲,荆伟.主要股票市场指数与我国股票市场指数间的协整分析[J].数量经济技术经济研究,2003(5):124-129
[12]阎大颖.实证分析中国股票市场内部及与国际市场之间价格长期走势的因果关系[J].南开经济研究,2003(3):63-76.
[13]黄达.金融学[M].北京:中国人民大学出版社,2003
[14]汗素南,潘云鹤.美国股市与中国股市间溢出效应的实证研究[J].浙江大学学报(工学版),2004,38(11):1431一1435.
[15]韩非,肖辉.中美股市间的联动性分析[J].金融研究,2005(11):117-129.
[16]吴世农,潘越.香港红筹股、H股与内地股市的协整关系和引导关系研究[J].管理学报,2005,3
[17]宋红雨.内地与香港股票市场联动性分析「J.集团经济研究，2006,12
[18]周珺.我国人陆股票市场与周边土要股票市场的联动分析[J].企业经济,2007,(1):165一167.
[19]高艳.中国与国际主要股市收益率与波动率相关性的实证研究[D].硕士学位论文,长春:吉林大学.2007.
[20]谢百三，王黎明，聂倩倩，陈小明.中美两国股市不存在长期的联动性[J].价格理论与实践.2007(3):66-68.
[21]李欣欣.次贷危机对国际证券市场关联性影响研究——基于Copula函数的实证检验[D].硕士学位论文,长春,吉林大学.2010
[22]高铁梅.计量经济分析方法与建模-Eviews应用及实例[M].清华大学出版社,2008年1月
[23]高莹,靳莉莉.沪深300指数与世界主要股票指数的关联性分析[J].管理评论,2008(2)
[24]于会鹏.中国股票市场板块及其与国外主要市场间的联动性的实证研究[D].硕士学位论文,南京,南京理工大学.2009
[25]唐齐鸣,操巍.沪深美港股市的动态相关性研究—兼论次级债危机的冲击[J].统计研究.2009,26(2):21-27
[26]李晓广,张岩贵.我国股票市场与国际市场的联动性研究一对次货危机时期样本的分析[J].国际金融研究.2008(11):75-80
[27]赵征.我国股市与国际股票市场联动性研究[J].硕士学位论文,南昌,江西财经大学.2009
[28]龚朴，黄荣兵.次贷危机对中国股市影响的实证分析—基于中美股市的联动性分析[J].管理评论.2009(2):21-32
[29]赵龙.次贷危机前后我国内地和香港股市联动性研究[D].硕士学位论文,天津,天津财经大学.2011
[30]游家兴，郑挺国.中国与世界金融市场从分割走向整合一基于DCC-MGARCH模型的检验[J].数量经济技术经济研究.2009,12:96-108
[31]邵宏成，王坷.沪港股市的联动效应分析[J].经济师.2009,7
[32]张晓恫.计量经济学软件EViews使用指南[M].天津:南开大学出版社,2003
[33]王永巧，刘诗文.基于时变Copula的金融开放与风险传染[J].系统工程理论与实践.2011.4
[34]程芃.美国和金砖四国股市[D].硕士学位论文,上海,东华大学.2011
[35]石建勋，钟建飞，李海英.金融危机前后内地与香港股市联动性及引导性变化的实证研究[J].统计与信息论坛.2011,2
[36]沈钦华，谈儒勇，赵雷.金融危机期间各国股市联动性分析[J].学海.2011,4
[37]徐有俊，王小霞，贾金金.中国股市与国际股市联动性分析——基于DCC-GRACH模型研究[J].经济经纬.2010,5
[38]李自然，成思危，祖垒.基于格兰杰因果检验遍历性分析的中国股市和国际股市的时变联动特征研究[J].系统科学与数学.2011,2:131—143
[39]次贷危机前后我国内地和香港股市联动性研究[D].硕士学位论文,天津财经大学.2011
[40]饶卫，闵宗陶.金融危机对股市间波动的联动性影响[J].财经问题研究.2011,12