QFII及QDII制度下中国股市世界联动性研究
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摘要
股市的联动是近二十年来发生在世界股市中的一个非常重要的经济现象,也是国内外学术界近些年来研究的热点问题。QFⅡ及QDⅡ制度的先后实施,使中国股市与世界股市的联动性进一步增加,也使得中国股市与世界主要股市的股票价格的相关程度有更大的提高,同时也使中国股市从相对封闭的状态迅速融入开放的世界股市中。这种突如其来的变化也给投资者带来了更高的风险,如果能够更多了解不同国家与地区股市之间的相互联系的规律,对于股市投资者而言,就可以更好的规避潜在的市场风险,获得较高的投资收益；对于中国股市管理层来说,就能制定相应的政策保证中国股市的健康发展。正是因为这一目的,本文对QFⅡ及QDⅡ制度下的中国股市世界联动性进行研究。
本文分析了影响中国股市与世界主要股市联动性的各种因素,在此基础上对中国股市与世界主要股市联动性进行实证检验。目的回答这些问题：(1)中国股市与世界主要股市间联动关系变化情况如何?(2)中国股市在实施一系列的对外开放的措施,如QFⅡ及QDⅡ的实施,其效果如何?(3)中国宏观经济变量与世界主要国家的宏观经济变量与中国股市的联动关系如何?
通过本文的研究,对于股市投资者而言,可以了解中国股市与世界主要股市联动性关系变化情况,这样可帮助股市投资者借助一国股市的变化判断另一国股市的走势；同时有助于中国国内及国外的股市投资者进行股票投资组合分析,从而分散风险,提高收益,实施最佳的投资组合策略。对于中国股市管理层而言,中国股市与世界主要股市联动性是否存在联动性体现了我国股市的世界化程度高低,也体现了中国股市引导全球资金的跨国流动和资源配置水平。如果中国股市与世界主要股市不存在联动性,市场监管层有必要加强对外开放的水平,引入国外投资者先进的投资理念,以进一步提高中国股市运行效率；如果中国股市与世界主要股市联动性存在联动性,中国股市管理层有必要建立一套跨股市的监管机制,以规避市场风险,保证中国股市的健康发展,同时也保护投资者的投资权益。
本文创新点主要体现在以下几方面：
(1)本文运用统计学中多元统计方法的主成分分析方法对中国与世界股市的收益率的相关程度进行了深入的研究,这在国内外对此类问题的研究是方法上的创新。这一研究为投资者提供最直观的股市组合配置,同时对世界股市投资实践具有指导意义。
(2)本文对世界股市联动性的内在运行机制进行了全面的分析与总结,将股市的联动运行机制分为由基本面驱动的股市联动效应及由投资者行为因素引起的联动效应两类,克服了以往的研究者只单纯从某一方面进行联动性研究的局限性,从而为以后的研究奠定较好的理论基础。
(3)本文从股市的收益率的联动性及收益的波动性两方面对中国股市与世界主要股市的联动性进行了研究,与以往研究者大多单纯从收益率的联动性或收益的波动性的某一方面的研究相比,本文的研究更加全面,得出的结论更为科学。
(4)本文对美国宏观经济变量与中国股市的联动性进行了研究,从已搜集的文献来看,有些研究者对中国宏观经济变量与中国股市的联动性进行了研究,但尚还没有发现对其他国家的宏观经济变量与中国股市的联动性进行相应的研究,因此本文的研究可以填补这方面研究的空白。
(5)作为中国股市两大对外开放政策——QFⅡ及QDⅡ制度,本文分QFⅡ及QDⅡ制度实施的前后三个研究阶段对中国与世界主要股市联动性进行研究,其实证结果可以清晰展现中国QFⅡ及QDⅡ制度实施后中国与世界主要股市联动性的变化过程,因此本文的结论与政策建议将更为合理。
本文结构及研究内容如下：
第一章是绪论。首先从理论与实践方面探讨了本文研究的重要性,在此基础上提出了本文的研究目的。紧接着,给出了本文的研究结构与研究内容,同时对本文的创新性进行了分析,最后明确了本文的研究方法与研究工具。
第二章是世界股市联动理论基础及文献综述。第一部分对世界股市联动的内涵进行了定义。第二部分将世界股市的联动机制可分为两类：由基本面驱动的股市联动效应及由投资者行为因素引起的联动效应。第三部分对世界资产价格均等化理论的实证分析文献进行了回顾。第四部分对基于计量方法的世界联动性研究文献进行了综述,同时对文献综述进行了简评。
第三章是QFⅡ、QDⅡ制度与中国股市世界联动影响因素分析。第一部分从QFⅡ及QDⅡ制度两个角度介绍了中国的中国股市对外开放政策。第二部分是中国股市与世界主要股市概述,这一部分涉及以下内容：全球股票市值规模、全球股票成交规模、中国股市、美国股市、日本股市、英国股市、中国香港地区股市、新加坡股市。第三部分是中国企业在世界主要股市上市分析,分别对中国企业在美国股市上市情况、中国企业在中国香港地区股市上市情况、中国企业在新加坡股市上市情况进行了分析。第四部分是中国与世界经济的联系,分别对中国与世界的贸易状况、中国利用外资及对外投资状况阐述。第五部分介绍了中国股市其他重大政策,它包括中国股市法律体系的规范和完善、股权分置改革等内容。
第四章是基于主成分分析的中国股市与世界主要股市收益率相关程度实证研究。第一部分选择了变量为中国股市及世界主要股市的美国股市、日本股市、英国股市、中国香港地区股市、中国台湾地区股市、韩国股市、法国股市、新加坡股市、印度尼西亚股市、马来西亚股市、印度股市的日收盘价格指数,时间为1998年1月1日到2009年10月31日,同时根据QFⅡ制度及QDⅡ制度实施的前后将数据分为三个不同的研究阶段。第二部分为理论模型与方法,分别介绍了平稳性检验中的Augmented Dickey-Fuller检验及Phillip-Perron检验、相关系数的计算公式与检验方法、主成分分析的基本思想及相关模型。第三部分给出了实证的结果,它涉及平稳性检验结果、变量的描述性统计结果、变量的相关系数阵,在相关系数阵的基础上进行了主成分分析,并给出了分析的结果。该章实证结果如下：(1)从相关程度实证结果上看,在QFⅡ制度实施前的第一阶段,中国股指与世界主要国家与地区的股指收益率的相关程度是微弱相关；而在QFⅡ实施后的第二阶段,中国股指与世界主要国家与地区的股指收益率的相关程度仍是微弱相关,但有一定的上升；在QDⅡ实施后的研究的第三阶段,中国股指与世界主要国家与地区的股指收益率的相关程度与前两阶段相比,有一定的上升,大部分相关系数仍微弱相关,与中国香港地区股指日收益率更上升为低度相关。(2)从主成分分析的结果上看,在QFⅡ制度实施前与QFⅡ制度实施后前两个阶段,中国股指收益率时间数列与世界主要股指收益率时间数列相互独立,可以看出中国股市尚处于封闭独立的发展中；在QDⅡ制度实施后的第三阶段,中国股指收益率时间数列与中国香港地区收益率时间数列处于同一成分,可以看出中国与中国香港地区的股市联系正在加强。(3)在研究的三个阶段,发达国家的股市股指收益率时间数列均处于一个成分,表明发达国家股票在20世纪90年代已经形成了资本流动一体化。更是在研究的第三阶段,除中国与中国香港地区股指的收益率时间数列处于一个成分外,其他国家与地区股指的收益率时间数列均处于一组,表明世界股票市场发达国家与发展中国家与地区股票市场一体化的趋势正在加强。
第五章为中国股市与世界主要股市的长期均衡与短期联动的实证研究。第一部分选择了变量为中国股市、中国香港地区股市、新加坡股市及美国股市的日收盘价格指数,时间为1998年1月1日到2009年10月31日,同时根据QFⅡ制度及QDⅡ制度实施的前后将数据分为三个不同的研究阶段。第二部分为理论模型与方法,分别介绍了向量自回归模型、Johansen协整检验、向量误差修正模型、格兰杰因果检验、脉冲响应函数、方差分解。第三部分为实证检验结果,它包括长期均衡关系实证结果、短期影响实证结果。该章实证的结果如下：(1)在中国股市与世界主要股市的长期均衡方面,在QFⅡ制度实施前,中国股市与世界主要股市之间没有协整关系。但在QFⅡ制度实施后情况发生了变化,中国股市与世界主要股市已经存在“同涨同跌”的长期联动关系。但是在长期联动关系的维持方面,美国股市发挥了较大的作用。在QDⅡ制度实施后,在这个阶段,由于次货危机在2007年8月开始席卷美国、欧盟和日本等世界主要金融市场,中国股市结果是中国股票市场与中国香港地区股市、新加坡股市、美国股市的协整关系被打破,不存在协整关系。(2)从短期影响的格兰杰因果关系结果来看,中国股市已经从内生性逐渐表现出一定的外生性,而且这种外生的逐渐增强的趋势,表明了中国股市与世界股市的联动性的增强。中国股市不仅受到世界股市的影响,而且也正在逐步地影响世界股市。(3)从短期影响的方差分解结果来看,在QFⅡ制度实施后,与QFⅡ制度实施前相比,其他国家与地区股市对中国股市的冲击有一定程度的上升,但幅度很小,中国股市对其他国家股市的冲击也是变化不大。但在QDⅡ制度实施后,世界主要股市对中国股市的冲击已经比前二阶段有明显的提升,中国股市对世界主要股市特别对中国香港地区股市及新加坡股市的冲击也有较大的提高。(4)从短期影响的脉冲响应函数结果来看,在QFⅡ制度实施后,与QFⅡ制度实施前相比,中国股市对中国香港地区股市、新加坡股市、美国股市的冲击较大,但中国香港地区股市、新加坡股市、美国股市对中国股市的冲击有所增加。在QDⅡ制度实施后,中国股市对中国香港地区股市、新加坡股市、美国股市的冲击变化又有所提高,中国香港地区股市、新加坡股市、美国股市对中国股市的冲击也有变化,中国香港地区股市对中国股市的冲击由正变负,新加坡股市、美国股市对中国股市的冲击有一个提高。
第六章为中国股市与世界主要股市收益的波动性实证研究。第一部分选择了变量为中国股市、中国香港地区股市、新加坡股市及美国股市的日收盘价格指数,时间为1998年1月1日到2009年10月31日,同时将根据QFⅡ制度及QDⅡ制度实施的前后将数据分为三个不同的研究阶段。第二部分为理论模型与方法,分别介绍了自回归条件异方差模型、广义自回归条件异方差模型、动态条件相关多变量GARCH模型。在此基础上,第三部分给出了平稳性分析、ARCH效应检验、GARCH形式的确定、动态条件相关多变量GARCH模型的实证结果。该章主要结论如下：从中国股市与世界主要股市的收益波动性研究可知,在QFⅡ制度实施前,中国股市对新信息的敏感程度很高,表明中国股市尚处于幼稚期,股市的投机气氛十分浓厚,股市投资者关注较多的是股市的消息。同时,中国股市与其他三个国家与地区股市的动态相关系数十分低。但在QFⅡ制度及QDⅡ制度实施后的二个阶段,对新信息的敏感程度明显降低,与其他世界主要国家股市的相似,这预示着中国的股市对消息面的关注正在降低,对股市基本面的关注较多,股市正越来越趋于理性。在这个阶段,中国股市与中国香港地区、新加坡股市的动态相关系数有较大的提高,它们之间的波动溢出效应是很强的,也就是这些股市中的某一股市收益率发生变动时,会对另一股市收益率的变动产生一定程度的影响。但与美国股市的动态相关系数无太大的变化,在这期间,由美国开始爆发了世界金融危机,中国由于经济的基本面较好及中国采取了一系列强有力的政策措施,中国股市一枝独秀,由于与中国香港地区、新加坡的经济往来的增多,它们之间相同的文化底蕴,中国股市与中国香港地区、新加坡股市的联系越来越紧密。
第七章为中美两国主要宏观经济变量与中国股市的联动性实证研究。第一部分是引言。第二部分选择了变量为中国的生产者物价指数、消费者物价指数、狭义货币供应量及美国的消费者物价指数、狭义货币供应量,变量的数据为月度数据,时间范围为1998年1月到2009年10月,同时根据QFⅡ制度及QDⅡ制度实施的前后将数据分为三个不同的研究阶段。同时,将研究的期间分为三个不同的阶段：QFⅡ制度实施前、QFⅡ制度实施后、QDⅡ实施后。第三部分介绍了向量自回归模型(VAR)模型、VAR模型稳定性检验、方差分解与脉冲响应函数等理论方法。第四部分是实证结果。第五部分进行了小结。该章主要结论如下：从主要宏观经济变量与中国股市的联动性研究可知,与QFⅡ制度实施前相比,在QFⅡ制度实施后,中国股市对自身的冲击有所降低,而宏观经济变量对中国股市的冲击有所增强,同时,QDⅡ制度实施后也继续保持了这种趋势,其中在这些变量中中国消费者物价指数对中国股市的影响较大。这说明中国股市在QFⅡ及QDⅡ制度引入及一系列改革措施后,中国股市的投资者不是仅仅关注股市走势的变化,对影响股市的基本面变化的宏观经济变量也有所重视。从这个层面表明中国股市也正在渐渐成熟。同时,在QFⅡ制度实施后在美国股市及美国宏观经济变量对中国股市的冲击对中国股市的冲击有所增强,这表明中国股市与美国股市联动性的增强。在QDⅡ制度实施后,美国股市对中国股市的冲击比上阶段有较大程度的降低,这说明中国的股市与美国股市联动性的减弱,但是美国宏观经济变量对中国股市的冲击影响很大,其中尤以美国消费者物价指数为甚,这与中国与美国的贸易往来较多,因此,中国经济受美国经济的影响大,这种情况会反馈到中国股市上。
第八章为结论及展望。第一部分主要从中国股市与世界主要股市的相关性、中国股市与世界主要股市的长期均衡与短期联动、中国股市与世界主要股市收益的波动性、主要宏观经济变量与中国股市等四个方面的实证结果进行了总结。第二部分为政策建议,对股市政策制度者主要建议有：继续执行对外开放的策略、预防世界股市对中国股市的冲击、完善世界股市投资相关政策、加强对国际热钱的约束、优化中国的经济结构、完善QFⅡ及QDⅡ相关制度,同时对国外QFⅡ投资者及中国QDⅡ投资者也提出了启示。第三部分为未来的研究方向。
In the recent 20 years, the stock market's co-movement has not only been extremely important economic phenomenon that occurs in global stock markets, but also has been the hot topic which the domestic and foreign scholars study. With the QFII and the QDII system's implementation, Chinese stock market's co-movement with the global stock markets has been increasing, which has enhanced the correlation of Chinese stock market's stock prices with the global main stock markets'. However, because Chinese stock market has been brought into the global stock market rapidly, the investors will be faced up to a higher risk. If the rule of Chinese stock market's co-movement with the global stock markets can be understood, the investors may obtain the high investment profit while avoiding the latent market risk, and the Chinese stock market authorities may formulate the corresponding policy to guarantee Chinese Stock market's healthy development. Thus, this essay conducts the study on Chinese Stock market's co-movement with the global stock markets after introduction into the QFII and QDII system.
After this essay has analyzed kinds of factors affecting Chinese stock market's co-movement with the global stock markets, it has carried on the empirical study. It answers these questions:(1) After introduction into the QFII and QDII system, how Chinese Stock market's co-movement with the global stock markets changes? (2)What co-movement of global macroeconomic fundamentals with Chinese stock market is?
Therefore, through this essay's research, for the stock market investor, because they can understand the state of Chinese stock market's co-movement with the global stock markets, they can judge the trend of another country stock market with the aid of a country stock market's and implement the best investment profolio strategy in order to obtain the high investment profit. For Chinese stock market Authorities, whether Chinese stock market's co-movement with the global stock markets exists not only manifests Chinese stock market's international level, but also manifests the ability that Chinese stock market guides the global fund's flowing. If Chinese stock market's co-movement with the global stock markets doesn't exist, Chinese stock market authorities must strengthen opening to the globe, which introduces foreign investor's advanced investment idea to enhance the Chinese stock market's operation efficiency. If Chinese stock market's co-movement with the global stock markets exists, the Chinese Stock market authorities must establish the supervising and managing mechanism of cross stock markets to dodge the market risk and guarantee Chinese stock market's healthy development and simultaneously protect investor's rights and profits.
The innovation of this essay is as follows:
(1) This essay has utilized principal components analysis to study the correlation of Chinese stock market's return with global main stock markets'return, which has been the method innovation both at home and abroad. This study has provided the most direct-viewing investment profolio for the investor.
(2) This essay has comprehensively analyzed the intrinsic mechanism of global stock markets co-movement, which has been divided into into two aspects:stock markets co-movement based on fundamental factors and stock markets co-movement based on investor behavioral factors. Thus, it has laid the theoretic foundation for later study.
(3) This essay has studied the correlation of Chinese stock market's return with global main stock markets'return based on both return co-movement and return volatility co-movement. Thus, the analysis of this essay is more comprehensive and the conclusions of it are more scientific.
(4) This essay has conducted the study on co-movement of American macroeconomic fundamentals with Chinese stock market, which may have filled the blank of the study.
(5) This essay has divided the time of the study into three stages according to QFII and the QDII system implementation, which empirical results can clearly unfold the change process of Chinese Stock market's co-movement with the global stock markets.
The structure and content of this essay is as follows:
First chapter is the introduction. This chapter first has discussed the theoretic and practical significance and proposed the goals of this study. Secondly, it has given the structure and content of this essay. Thirdly, it has carried on the analysis to this essay' innovation. Finally, it has been clear about the route and means of the essay.
Second chapter is theoretical basis of global stock markets co-movement and summary of literatures. Firstly, it has carried on the Connotation of Global Stock Markets Co-movement. Secondly, it has divided the intrinsic mechanism of global stock markets co-movement into two aspects:stock markets co-movement based on fundamental factors and stock markets co-movement based on investor behavioral factors. Thirdly, it has carried on the summary of literatures of theory of global asset prices equal. Finally, it has carried on the summary of literatures of global stock markets co-movement based on econometrics methods, including summary of literatures of econometrics methods, summary of literatures of global stock markets co-movement and comment on summary of literature.
Third chapter is. analysis of the factors effecting co-movement of Chinese Stock market with global main stock markets. Firstly, it has carried on Chinese stock market's opening-door policy, including qualified Foreign Institutional Investors systems, Qualified Domestic Institutional Investors systems. Secondly, it has carried on the sketch of Chinese stock market and global main stock markets, such as scale of global stock market, sketch of Chinese stock market, sketch of American stock market, sketch of Japanese stock market, sketch of Britain's stock market, sketch of Chinese Hong Kong's stock market, sketch of Singapore's stock market, etc. Thirdly, it has carried on analysis of Chinese quoted companies in global main stock markets, including analysis of Chinese quoted companies in American stock market, analysis of Chinese quoted companies in Chinese Hong Kong's stock market, analysis of Chinese quoted companies in Singapore's stock market. Fourthly, it has carried on connection between Chinese economics and global economics, including Chinese trade with globe, situation of Chinese foreign investment and outbound investment. Finally, it has carried on Chinese stock market's other policy, such as improvement of legal systems, equity division reform.
Fourth chapter is study on correlation of Chinese stock market's return with global main stock markets' return based on principal components analysis. Firstly, it has chosen the variables, including the date closing price index of Chinese stock market, American stock market, Japanese Stock market, Britain's stock market, Chinese Hong Kong's Stock market, Chinese Taiwan's stock market, South Korean stock market, French stock market, Singapore stock market, Indonesian stock market, Malaysian stock market, Indian stock market. Moreover, it has chosen the time which is from January 1, 1998 to October 31,2009. In the meantime, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Secondly, it has carried on theoretic models and methods, including stationary tests, correlation coefficient, principal components analysis. Thirdly, it has given empirical results, including results of stationary tests, summary statistics, correlation coefficient matrix, results of principal components analysis. The empirical results of this chapter are as follows:(1) Looking from the results of correlation coefficient matrix, in the first stage, the correlation of Chinese stock market price index with the global main countries stock market price index is weak. But in the second stage, the correlation is still weak, but has risen. In the third stage, compared with the first two stages, the correlation is still weak, but has risen. Moreover, the correlation of Chinese stock market price index with Chinese Hong Kong area stock market price index is low. (2) Looking from the results of principal components analysis, in the first two stages, the Chinese stock market is independent, which Chinese Stock market may develop in the seal circumstances. In the third stage, the relation of Chinese stock with Chinese Hong Kong's stock market is strengthening. (3) In the all three stages, the developed countries'market stocks have already been taken into the integration of capital since 1990s. In the all third stage, the integration of the. developed countries' stock markets with the developing countries'is strengthening.
Fifth chapter is empirical study on long-run equilibrium and short-term co-movement for Chinese stock market's returns and global main stock markets' returns. Firstly, it has chosen the variables, including the date closing price index of Chinese stock market, Chinese Hong Kong's stock market, Singapore stock market and the American stock market. Moreover, it has chosen the time which is from January 1,1998 to October 31,2009. In the meantime, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Secondly, it has carried on theoretic models and methods, including Vector Auto-regression model, Johansen Co-integration test, Vector Error Correction model, Granger Causality test, Impulse Response Function, Variance Decomposition. Thirdly, it has given empirical results, including empirical results of long-run equilibrium, empirical results of short-term co-movement. The empirical results of this chapter are as follows:(1) Looking from the empirical results of long-run equilibrium, in the first stage, there has not been the co-integration of Chinese stock market with the global main stock markets. But in the second stage, there has been the co-integration of Chinese stock market with the global main stock markets. In the third stage, because of sub-prime mortgage crisis broken out in August,2007, there has not been the co-integration of Chinese stock market with the global main stock markets. (2) Looking from the empirical results of Granger Causality test, the linkage of Chinese stock market with the global stock markets is enhancing. Chinese Stock market not only has been influenced by the global stock markets, but also it is gradually affecting the global stock markets. (3) Looking from the empirical results of Variance Decomposition, in the second stage, compared with that in the first stage, there is Chinese Stock market's weaker impact on the global stock markets and the global stock markets' weaker impact on Chinese Stock market. But in the third stage, compared with that the first two stages, there is Chinese stock market's more impact on the global stock markets and the global stock markets' more impact on Chinese Stock market. (4) Looking from the empirical results of Impulse Response Function, in the second stage, compared with that in the first stage, there has been more response of Chinese stock market to Chinese Hong Kong's stock market, Singapore stock market and American Stock market's impact, but there has been smaller response of Chinese Hong Kong's stock market, Singapore stock market and American stock market. In the third stage, the response of Chinese stock market to Chinese Hong Kong's Stock market, Singapore Stock market, American Stock market has enhanced. The response of Chinese Hong Kong's stock market to Chinese stock market is negative. The response of Singapore Stock market, American Stock market to Chinese stock market has enhanced.
Sixth chapter is empirical study on Chinese stock market's and global main stock markets'returns volatility. Firstly, it has chosen the variables, including the date closing price index of Chinese stock market, Chinese Hong Kong's stock market, Singapore stock market and the American stock market. Moreover, it has chosen the time which is from January 1,1998 to October 31,2009. In the meantime, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Secondly, it has carried on theoretic models and methods, including Autoregressive Conditional Heteroscedastic model, Generalized Autoregressive Conditional Heteroscedastic model, Dynamic Conditional Correlation Multivariable GARCH. Thirdly, it has given empirical results, including the results of stationary tests, tests of ARCH, tests of GARCH type, tests of DCC-MV-GARCH. The empirical results of this chapter are as follows:In the first stage, Chinese stock market is highly sensitive to the information, indicating Chinese stock market still was in the cubhood. But in the second and third stages, the degree that Chinese stock market is sensitive to the information has obviously reduced, indicating Chinese stock market has been rational. In the meantime, the dynamic conditional correlation of Chinese stock market with Chinese Hong Kong's stock market and Singapore stock market has enhanced. But the dynamic conditional correlation of Chinese stock market with American stock market has not changed.
Seventh chapter is study on co-movement of Chinese and American macroeconomic fundamentals with Chinese stock market. Firstly, it has carried on an introduction. Secondly, it has chosen the variables, including Chinese macroeconomic fundamentals such as Chinese PPI, CPI, M1, and American macroeconomic fundamentals such as American CPI, M1. In the meantime, it has chosen monthly data which time is from January,1998 to October,2009. Moreover, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Thirdly, it has carried on theoretic models and methods, including Vector Auto-regression model, Stationary Tests of VAR models, Impulse Response Function and Variance Decomposition. Finally, it has given empirical results. The empirical results of this chapter are as follows:Compared with that in the first stage, in the second stage, the response of Chinese stock market to itself has reduced, but the response of the Chinese macroeconomic fundamentals to Chinese stock market has enhanced. In the meantime, Compared with the other Chinese macroeconomic fundamentals, there has been more response of the Chinese CPI to Chinese stock market. In the second stage, the response of American stock market and American macroeconomic fundamentals has enhanced, indicating that the co-movement of Chinese stock market with American stock market has enhanced. In the third stage, compared with that in the first two stage, there are more response of American macroeconomic fundamentals to Chinese stock market.
Eighth chapter is conclusions and outlooks. Firstly, it has made the conclusions into the empirical results of correlation of Chinese stock market's return with global main stock markets'return, long-run equilibrium and short-term co-movement for Chinese stock market's returns and global main stock markets'returns, Chinese stock market's and global main stock markets'returns volatility, co-movement of Chinese and American macroeconomic fundamentals with Chinese stock market. Secondly, it has given the proposals. For Chinese stock market authorities, it has put forward the proposals including continuing to carry out the opening-door strategy, prevention global stock market from impacting Chinese stock market, consummating the policy of investing in global stock market, optimizing Chinese economic structure, consummating QFII and QDII system, etc. In the meantime, it has also proposed the enlightenment to the overseas QFII investor and the Chinese QDII investor. Finally, it has carried on orientation of the study in Future.
本文分析了影响中国股市与世界主要股市联动性的各种因素,在此基础上对中国股市与世界主要股市联动性进行实证检验。目的回答这些问题：(1)中国股市与世界主要股市间联动关系变化情况如何?(2)中国股市在实施一系列的对外开放的措施,如QFⅡ及QDⅡ的实施,其效果如何?(3)中国宏观经济变量与世界主要国家的宏观经济变量与中国股市的联动关系如何?
通过本文的研究,对于股市投资者而言,可以了解中国股市与世界主要股市联动性关系变化情况,这样可帮助股市投资者借助一国股市的变化判断另一国股市的走势；同时有助于中国国内及国外的股市投资者进行股票投资组合分析,从而分散风险,提高收益,实施最佳的投资组合策略。对于中国股市管理层而言,中国股市与世界主要股市联动性是否存在联动性体现了我国股市的世界化程度高低,也体现了中国股市引导全球资金的跨国流动和资源配置水平。如果中国股市与世界主要股市不存在联动性,市场监管层有必要加强对外开放的水平,引入国外投资者先进的投资理念,以进一步提高中国股市运行效率；如果中国股市与世界主要股市联动性存在联动性,中国股市管理层有必要建立一套跨股市的监管机制,以规避市场风险,保证中国股市的健康发展,同时也保护投资者的投资权益。
本文创新点主要体现在以下几方面：
(1)本文运用统计学中多元统计方法的主成分分析方法对中国与世界股市的收益率的相关程度进行了深入的研究,这在国内外对此类问题的研究是方法上的创新。这一研究为投资者提供最直观的股市组合配置,同时对世界股市投资实践具有指导意义。
(2)本文对世界股市联动性的内在运行机制进行了全面的分析与总结,将股市的联动运行机制分为由基本面驱动的股市联动效应及由投资者行为因素引起的联动效应两类,克服了以往的研究者只单纯从某一方面进行联动性研究的局限性,从而为以后的研究奠定较好的理论基础。
(3)本文从股市的收益率的联动性及收益的波动性两方面对中国股市与世界主要股市的联动性进行了研究,与以往研究者大多单纯从收益率的联动性或收益的波动性的某一方面的研究相比,本文的研究更加全面,得出的结论更为科学。
(4)本文对美国宏观经济变量与中国股市的联动性进行了研究,从已搜集的文献来看,有些研究者对中国宏观经济变量与中国股市的联动性进行了研究,但尚还没有发现对其他国家的宏观经济变量与中国股市的联动性进行相应的研究,因此本文的研究可以填补这方面研究的空白。
(5)作为中国股市两大对外开放政策——QFⅡ及QDⅡ制度,本文分QFⅡ及QDⅡ制度实施的前后三个研究阶段对中国与世界主要股市联动性进行研究,其实证结果可以清晰展现中国QFⅡ及QDⅡ制度实施后中国与世界主要股市联动性的变化过程,因此本文的结论与政策建议将更为合理。
本文结构及研究内容如下：
第一章是绪论。首先从理论与实践方面探讨了本文研究的重要性,在此基础上提出了本文的研究目的。紧接着,给出了本文的研究结构与研究内容,同时对本文的创新性进行了分析,最后明确了本文的研究方法与研究工具。
第二章是世界股市联动理论基础及文献综述。第一部分对世界股市联动的内涵进行了定义。第二部分将世界股市的联动机制可分为两类：由基本面驱动的股市联动效应及由投资者行为因素引起的联动效应。第三部分对世界资产价格均等化理论的实证分析文献进行了回顾。第四部分对基于计量方法的世界联动性研究文献进行了综述,同时对文献综述进行了简评。
第三章是QFⅡ、QDⅡ制度与中国股市世界联动影响因素分析。第一部分从QFⅡ及QDⅡ制度两个角度介绍了中国的中国股市对外开放政策。第二部分是中国股市与世界主要股市概述,这一部分涉及以下内容：全球股票市值规模、全球股票成交规模、中国股市、美国股市、日本股市、英国股市、中国香港地区股市、新加坡股市。第三部分是中国企业在世界主要股市上市分析,分别对中国企业在美国股市上市情况、中国企业在中国香港地区股市上市情况、中国企业在新加坡股市上市情况进行了分析。第四部分是中国与世界经济的联系,分别对中国与世界的贸易状况、中国利用外资及对外投资状况阐述。第五部分介绍了中国股市其他重大政策,它包括中国股市法律体系的规范和完善、股权分置改革等内容。
第四章是基于主成分分析的中国股市与世界主要股市收益率相关程度实证研究。第一部分选择了变量为中国股市及世界主要股市的美国股市、日本股市、英国股市、中国香港地区股市、中国台湾地区股市、韩国股市、法国股市、新加坡股市、印度尼西亚股市、马来西亚股市、印度股市的日收盘价格指数,时间为1998年1月1日到2009年10月31日,同时根据QFⅡ制度及QDⅡ制度实施的前后将数据分为三个不同的研究阶段。第二部分为理论模型与方法,分别介绍了平稳性检验中的Augmented Dickey-Fuller检验及Phillip-Perron检验、相关系数的计算公式与检验方法、主成分分析的基本思想及相关模型。第三部分给出了实证的结果,它涉及平稳性检验结果、变量的描述性统计结果、变量的相关系数阵,在相关系数阵的基础上进行了主成分分析,并给出了分析的结果。该章实证结果如下：(1)从相关程度实证结果上看,在QFⅡ制度实施前的第一阶段,中国股指与世界主要国家与地区的股指收益率的相关程度是微弱相关；而在QFⅡ实施后的第二阶段,中国股指与世界主要国家与地区的股指收益率的相关程度仍是微弱相关,但有一定的上升；在QDⅡ实施后的研究的第三阶段,中国股指与世界主要国家与地区的股指收益率的相关程度与前两阶段相比,有一定的上升,大部分相关系数仍微弱相关,与中国香港地区股指日收益率更上升为低度相关。(2)从主成分分析的结果上看,在QFⅡ制度实施前与QFⅡ制度实施后前两个阶段,中国股指收益率时间数列与世界主要股指收益率时间数列相互独立,可以看出中国股市尚处于封闭独立的发展中；在QDⅡ制度实施后的第三阶段,中国股指收益率时间数列与中国香港地区收益率时间数列处于同一成分,可以看出中国与中国香港地区的股市联系正在加强。(3)在研究的三个阶段,发达国家的股市股指收益率时间数列均处于一个成分,表明发达国家股票在20世纪90年代已经形成了资本流动一体化。更是在研究的第三阶段,除中国与中国香港地区股指的收益率时间数列处于一个成分外,其他国家与地区股指的收益率时间数列均处于一组,表明世界股票市场发达国家与发展中国家与地区股票市场一体化的趋势正在加强。
第五章为中国股市与世界主要股市的长期均衡与短期联动的实证研究。第一部分选择了变量为中国股市、中国香港地区股市、新加坡股市及美国股市的日收盘价格指数,时间为1998年1月1日到2009年10月31日,同时根据QFⅡ制度及QDⅡ制度实施的前后将数据分为三个不同的研究阶段。第二部分为理论模型与方法,分别介绍了向量自回归模型、Johansen协整检验、向量误差修正模型、格兰杰因果检验、脉冲响应函数、方差分解。第三部分为实证检验结果,它包括长期均衡关系实证结果、短期影响实证结果。该章实证的结果如下：(1)在中国股市与世界主要股市的长期均衡方面,在QFⅡ制度实施前,中国股市与世界主要股市之间没有协整关系。但在QFⅡ制度实施后情况发生了变化,中国股市与世界主要股市已经存在“同涨同跌”的长期联动关系。但是在长期联动关系的维持方面,美国股市发挥了较大的作用。在QDⅡ制度实施后,在这个阶段,由于次货危机在2007年8月开始席卷美国、欧盟和日本等世界主要金融市场,中国股市结果是中国股票市场与中国香港地区股市、新加坡股市、美国股市的协整关系被打破,不存在协整关系。(2)从短期影响的格兰杰因果关系结果来看,中国股市已经从内生性逐渐表现出一定的外生性,而且这种外生的逐渐增强的趋势,表明了中国股市与世界股市的联动性的增强。中国股市不仅受到世界股市的影响,而且也正在逐步地影响世界股市。(3)从短期影响的方差分解结果来看,在QFⅡ制度实施后,与QFⅡ制度实施前相比,其他国家与地区股市对中国股市的冲击有一定程度的上升,但幅度很小,中国股市对其他国家股市的冲击也是变化不大。但在QDⅡ制度实施后,世界主要股市对中国股市的冲击已经比前二阶段有明显的提升,中国股市对世界主要股市特别对中国香港地区股市及新加坡股市的冲击也有较大的提高。(4)从短期影响的脉冲响应函数结果来看,在QFⅡ制度实施后,与QFⅡ制度实施前相比,中国股市对中国香港地区股市、新加坡股市、美国股市的冲击较大,但中国香港地区股市、新加坡股市、美国股市对中国股市的冲击有所增加。在QDⅡ制度实施后,中国股市对中国香港地区股市、新加坡股市、美国股市的冲击变化又有所提高,中国香港地区股市、新加坡股市、美国股市对中国股市的冲击也有变化,中国香港地区股市对中国股市的冲击由正变负,新加坡股市、美国股市对中国股市的冲击有一个提高。
第六章为中国股市与世界主要股市收益的波动性实证研究。第一部分选择了变量为中国股市、中国香港地区股市、新加坡股市及美国股市的日收盘价格指数,时间为1998年1月1日到2009年10月31日,同时将根据QFⅡ制度及QDⅡ制度实施的前后将数据分为三个不同的研究阶段。第二部分为理论模型与方法,分别介绍了自回归条件异方差模型、广义自回归条件异方差模型、动态条件相关多变量GARCH模型。在此基础上,第三部分给出了平稳性分析、ARCH效应检验、GARCH形式的确定、动态条件相关多变量GARCH模型的实证结果。该章主要结论如下：从中国股市与世界主要股市的收益波动性研究可知,在QFⅡ制度实施前,中国股市对新信息的敏感程度很高,表明中国股市尚处于幼稚期,股市的投机气氛十分浓厚,股市投资者关注较多的是股市的消息。同时,中国股市与其他三个国家与地区股市的动态相关系数十分低。但在QFⅡ制度及QDⅡ制度实施后的二个阶段,对新信息的敏感程度明显降低,与其他世界主要国家股市的相似,这预示着中国的股市对消息面的关注正在降低,对股市基本面的关注较多,股市正越来越趋于理性。在这个阶段,中国股市与中国香港地区、新加坡股市的动态相关系数有较大的提高,它们之间的波动溢出效应是很强的,也就是这些股市中的某一股市收益率发生变动时,会对另一股市收益率的变动产生一定程度的影响。但与美国股市的动态相关系数无太大的变化,在这期间,由美国开始爆发了世界金融危机,中国由于经济的基本面较好及中国采取了一系列强有力的政策措施,中国股市一枝独秀,由于与中国香港地区、新加坡的经济往来的增多,它们之间相同的文化底蕴,中国股市与中国香港地区、新加坡股市的联系越来越紧密。
第七章为中美两国主要宏观经济变量与中国股市的联动性实证研究。第一部分是引言。第二部分选择了变量为中国的生产者物价指数、消费者物价指数、狭义货币供应量及美国的消费者物价指数、狭义货币供应量,变量的数据为月度数据,时间范围为1998年1月到2009年10月,同时根据QFⅡ制度及QDⅡ制度实施的前后将数据分为三个不同的研究阶段。同时,将研究的期间分为三个不同的阶段：QFⅡ制度实施前、QFⅡ制度实施后、QDⅡ实施后。第三部分介绍了向量自回归模型(VAR)模型、VAR模型稳定性检验、方差分解与脉冲响应函数等理论方法。第四部分是实证结果。第五部分进行了小结。该章主要结论如下：从主要宏观经济变量与中国股市的联动性研究可知,与QFⅡ制度实施前相比,在QFⅡ制度实施后,中国股市对自身的冲击有所降低,而宏观经济变量对中国股市的冲击有所增强,同时,QDⅡ制度实施后也继续保持了这种趋势,其中在这些变量中中国消费者物价指数对中国股市的影响较大。这说明中国股市在QFⅡ及QDⅡ制度引入及一系列改革措施后,中国股市的投资者不是仅仅关注股市走势的变化,对影响股市的基本面变化的宏观经济变量也有所重视。从这个层面表明中国股市也正在渐渐成熟。同时,在QFⅡ制度实施后在美国股市及美国宏观经济变量对中国股市的冲击对中国股市的冲击有所增强,这表明中国股市与美国股市联动性的增强。在QDⅡ制度实施后,美国股市对中国股市的冲击比上阶段有较大程度的降低,这说明中国的股市与美国股市联动性的减弱,但是美国宏观经济变量对中国股市的冲击影响很大,其中尤以美国消费者物价指数为甚,这与中国与美国的贸易往来较多,因此,中国经济受美国经济的影响大,这种情况会反馈到中国股市上。
第八章为结论及展望。第一部分主要从中国股市与世界主要股市的相关性、中国股市与世界主要股市的长期均衡与短期联动、中国股市与世界主要股市收益的波动性、主要宏观经济变量与中国股市等四个方面的实证结果进行了总结。第二部分为政策建议,对股市政策制度者主要建议有：继续执行对外开放的策略、预防世界股市对中国股市的冲击、完善世界股市投资相关政策、加强对国际热钱的约束、优化中国的经济结构、完善QFⅡ及QDⅡ相关制度,同时对国外QFⅡ投资者及中国QDⅡ投资者也提出了启示。第三部分为未来的研究方向。
In the recent 20 years, the stock market's co-movement has not only been extremely important economic phenomenon that occurs in global stock markets, but also has been the hot topic which the domestic and foreign scholars study. With the QFII and the QDII system's implementation, Chinese stock market's co-movement with the global stock markets has been increasing, which has enhanced the correlation of Chinese stock market's stock prices with the global main stock markets'. However, because Chinese stock market has been brought into the global stock market rapidly, the investors will be faced up to a higher risk. If the rule of Chinese stock market's co-movement with the global stock markets can be understood, the investors may obtain the high investment profit while avoiding the latent market risk, and the Chinese stock market authorities may formulate the corresponding policy to guarantee Chinese Stock market's healthy development. Thus, this essay conducts the study on Chinese Stock market's co-movement with the global stock markets after introduction into the QFII and QDII system.
After this essay has analyzed kinds of factors affecting Chinese stock market's co-movement with the global stock markets, it has carried on the empirical study. It answers these questions:(1) After introduction into the QFII and QDII system, how Chinese Stock market's co-movement with the global stock markets changes? (2)What co-movement of global macroeconomic fundamentals with Chinese stock market is?
Therefore, through this essay's research, for the stock market investor, because they can understand the state of Chinese stock market's co-movement with the global stock markets, they can judge the trend of another country stock market with the aid of a country stock market's and implement the best investment profolio strategy in order to obtain the high investment profit. For Chinese stock market Authorities, whether Chinese stock market's co-movement with the global stock markets exists not only manifests Chinese stock market's international level, but also manifests the ability that Chinese stock market guides the global fund's flowing. If Chinese stock market's co-movement with the global stock markets doesn't exist, Chinese stock market authorities must strengthen opening to the globe, which introduces foreign investor's advanced investment idea to enhance the Chinese stock market's operation efficiency. If Chinese stock market's co-movement with the global stock markets exists, the Chinese Stock market authorities must establish the supervising and managing mechanism of cross stock markets to dodge the market risk and guarantee Chinese stock market's healthy development and simultaneously protect investor's rights and profits.
The innovation of this essay is as follows:
(1) This essay has utilized principal components analysis to study the correlation of Chinese stock market's return with global main stock markets'return, which has been the method innovation both at home and abroad. This study has provided the most direct-viewing investment profolio for the investor.
(2) This essay has comprehensively analyzed the intrinsic mechanism of global stock markets co-movement, which has been divided into into two aspects:stock markets co-movement based on fundamental factors and stock markets co-movement based on investor behavioral factors. Thus, it has laid the theoretic foundation for later study.
(3) This essay has studied the correlation of Chinese stock market's return with global main stock markets'return based on both return co-movement and return volatility co-movement. Thus, the analysis of this essay is more comprehensive and the conclusions of it are more scientific.
(4) This essay has conducted the study on co-movement of American macroeconomic fundamentals with Chinese stock market, which may have filled the blank of the study.
(5) This essay has divided the time of the study into three stages according to QFII and the QDII system implementation, which empirical results can clearly unfold the change process of Chinese Stock market's co-movement with the global stock markets.
The structure and content of this essay is as follows:
First chapter is the introduction. This chapter first has discussed the theoretic and practical significance and proposed the goals of this study. Secondly, it has given the structure and content of this essay. Thirdly, it has carried on the analysis to this essay' innovation. Finally, it has been clear about the route and means of the essay.
Second chapter is theoretical basis of global stock markets co-movement and summary of literatures. Firstly, it has carried on the Connotation of Global Stock Markets Co-movement. Secondly, it has divided the intrinsic mechanism of global stock markets co-movement into two aspects:stock markets co-movement based on fundamental factors and stock markets co-movement based on investor behavioral factors. Thirdly, it has carried on the summary of literatures of theory of global asset prices equal. Finally, it has carried on the summary of literatures of global stock markets co-movement based on econometrics methods, including summary of literatures of econometrics methods, summary of literatures of global stock markets co-movement and comment on summary of literature.
Third chapter is. analysis of the factors effecting co-movement of Chinese Stock market with global main stock markets. Firstly, it has carried on Chinese stock market's opening-door policy, including qualified Foreign Institutional Investors systems, Qualified Domestic Institutional Investors systems. Secondly, it has carried on the sketch of Chinese stock market and global main stock markets, such as scale of global stock market, sketch of Chinese stock market, sketch of American stock market, sketch of Japanese stock market, sketch of Britain's stock market, sketch of Chinese Hong Kong's stock market, sketch of Singapore's stock market, etc. Thirdly, it has carried on analysis of Chinese quoted companies in global main stock markets, including analysis of Chinese quoted companies in American stock market, analysis of Chinese quoted companies in Chinese Hong Kong's stock market, analysis of Chinese quoted companies in Singapore's stock market. Fourthly, it has carried on connection between Chinese economics and global economics, including Chinese trade with globe, situation of Chinese foreign investment and outbound investment. Finally, it has carried on Chinese stock market's other policy, such as improvement of legal systems, equity division reform.
Fourth chapter is study on correlation of Chinese stock market's return with global main stock markets' return based on principal components analysis. Firstly, it has chosen the variables, including the date closing price index of Chinese stock market, American stock market, Japanese Stock market, Britain's stock market, Chinese Hong Kong's Stock market, Chinese Taiwan's stock market, South Korean stock market, French stock market, Singapore stock market, Indonesian stock market, Malaysian stock market, Indian stock market. Moreover, it has chosen the time which is from January 1, 1998 to October 31,2009. In the meantime, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Secondly, it has carried on theoretic models and methods, including stationary tests, correlation coefficient, principal components analysis. Thirdly, it has given empirical results, including results of stationary tests, summary statistics, correlation coefficient matrix, results of principal components analysis. The empirical results of this chapter are as follows:(1) Looking from the results of correlation coefficient matrix, in the first stage, the correlation of Chinese stock market price index with the global main countries stock market price index is weak. But in the second stage, the correlation is still weak, but has risen. In the third stage, compared with the first two stages, the correlation is still weak, but has risen. Moreover, the correlation of Chinese stock market price index with Chinese Hong Kong area stock market price index is low. (2) Looking from the results of principal components analysis, in the first two stages, the Chinese stock market is independent, which Chinese Stock market may develop in the seal circumstances. In the third stage, the relation of Chinese stock with Chinese Hong Kong's stock market is strengthening. (3) In the all three stages, the developed countries'market stocks have already been taken into the integration of capital since 1990s. In the all third stage, the integration of the. developed countries' stock markets with the developing countries'is strengthening.
Fifth chapter is empirical study on long-run equilibrium and short-term co-movement for Chinese stock market's returns and global main stock markets' returns. Firstly, it has chosen the variables, including the date closing price index of Chinese stock market, Chinese Hong Kong's stock market, Singapore stock market and the American stock market. Moreover, it has chosen the time which is from January 1,1998 to October 31,2009. In the meantime, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Secondly, it has carried on theoretic models and methods, including Vector Auto-regression model, Johansen Co-integration test, Vector Error Correction model, Granger Causality test, Impulse Response Function, Variance Decomposition. Thirdly, it has given empirical results, including empirical results of long-run equilibrium, empirical results of short-term co-movement. The empirical results of this chapter are as follows:(1) Looking from the empirical results of long-run equilibrium, in the first stage, there has not been the co-integration of Chinese stock market with the global main stock markets. But in the second stage, there has been the co-integration of Chinese stock market with the global main stock markets. In the third stage, because of sub-prime mortgage crisis broken out in August,2007, there has not been the co-integration of Chinese stock market with the global main stock markets. (2) Looking from the empirical results of Granger Causality test, the linkage of Chinese stock market with the global stock markets is enhancing. Chinese Stock market not only has been influenced by the global stock markets, but also it is gradually affecting the global stock markets. (3) Looking from the empirical results of Variance Decomposition, in the second stage, compared with that in the first stage, there is Chinese Stock market's weaker impact on the global stock markets and the global stock markets' weaker impact on Chinese Stock market. But in the third stage, compared with that the first two stages, there is Chinese stock market's more impact on the global stock markets and the global stock markets' more impact on Chinese Stock market. (4) Looking from the empirical results of Impulse Response Function, in the second stage, compared with that in the first stage, there has been more response of Chinese stock market to Chinese Hong Kong's stock market, Singapore stock market and American Stock market's impact, but there has been smaller response of Chinese Hong Kong's stock market, Singapore stock market and American stock market. In the third stage, the response of Chinese stock market to Chinese Hong Kong's Stock market, Singapore Stock market, American Stock market has enhanced. The response of Chinese Hong Kong's stock market to Chinese stock market is negative. The response of Singapore Stock market, American Stock market to Chinese stock market has enhanced.
Sixth chapter is empirical study on Chinese stock market's and global main stock markets'returns volatility. Firstly, it has chosen the variables, including the date closing price index of Chinese stock market, Chinese Hong Kong's stock market, Singapore stock market and the American stock market. Moreover, it has chosen the time which is from January 1,1998 to October 31,2009. In the meantime, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Secondly, it has carried on theoretic models and methods, including Autoregressive Conditional Heteroscedastic model, Generalized Autoregressive Conditional Heteroscedastic model, Dynamic Conditional Correlation Multivariable GARCH. Thirdly, it has given empirical results, including the results of stationary tests, tests of ARCH, tests of GARCH type, tests of DCC-MV-GARCH. The empirical results of this chapter are as follows:In the first stage, Chinese stock market is highly sensitive to the information, indicating Chinese stock market still was in the cubhood. But in the second and third stages, the degree that Chinese stock market is sensitive to the information has obviously reduced, indicating Chinese stock market has been rational. In the meantime, the dynamic conditional correlation of Chinese stock market with Chinese Hong Kong's stock market and Singapore stock market has enhanced. But the dynamic conditional correlation of Chinese stock market with American stock market has not changed.
Seventh chapter is study on co-movement of Chinese and American macroeconomic fundamentals with Chinese stock market. Firstly, it has carried on an introduction. Secondly, it has chosen the variables, including Chinese macroeconomic fundamentals such as Chinese PPI, CPI, M1, and American macroeconomic fundamentals such as American CPI, M1. In the meantime, it has chosen monthly data which time is from January,1998 to October,2009. Moreover, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Thirdly, it has carried on theoretic models and methods, including Vector Auto-regression model, Stationary Tests of VAR models, Impulse Response Function and Variance Decomposition. Finally, it has given empirical results. The empirical results of this chapter are as follows:Compared with that in the first stage, in the second stage, the response of Chinese stock market to itself has reduced, but the response of the Chinese macroeconomic fundamentals to Chinese stock market has enhanced. In the meantime, Compared with the other Chinese macroeconomic fundamentals, there has been more response of the Chinese CPI to Chinese stock market. In the second stage, the response of American stock market and American macroeconomic fundamentals has enhanced, indicating that the co-movement of Chinese stock market with American stock market has enhanced. In the third stage, compared with that in the first two stage, there are more response of American macroeconomic fundamentals to Chinese stock market.
Eighth chapter is conclusions and outlooks. Firstly, it has made the conclusions into the empirical results of correlation of Chinese stock market's return with global main stock markets'return, long-run equilibrium and short-term co-movement for Chinese stock market's returns and global main stock markets'returns, Chinese stock market's and global main stock markets'returns volatility, co-movement of Chinese and American macroeconomic fundamentals with Chinese stock market. Secondly, it has given the proposals. For Chinese stock market authorities, it has put forward the proposals including continuing to carry out the opening-door strategy, prevention global stock market from impacting Chinese stock market, consummating the policy of investing in global stock market, optimizing Chinese economic structure, consummating QFII and QDII system, etc. In the meantime, it has also proposed the enlightenment to the overseas QFII investor and the Chinese QDII investor. Finally, it has carried on orientation of the study in Future.
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