中国股市与美国股市之间联动性研究
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摘要
随着国际金融一体化,主要国际股票市场呈现一起上涨或者一起下跌趋势,因此世界投资者十分关注股票市场的联动性。股票市场的联动性不仅在美国、日本、英国、德国等发达国家,就是在韩国、新加坡、墨西哥等发展中国家也呈现出来了。股票市场的联动性的基础是世界经济一体化和以因特网为首的信息媒体的发展等。
作为一个来自韩国的留学生,本研究突出特点是侧重于实证研究。本文运用多种方法对中国股市与美国股市之间联动性问题进行研究,从不同的角度和侧面去研究、发现和论证中国股市与美国股市之间联动性问题。主要结论如下:
第一,我们首先检验了中国股票市场和美国股票市场之间收益率联动性,本文利用VAR中的格兰杰因果关系检验、冲击反映函数和预测误差方差分解来分析中国股票市场和美国股票市场之间收益率联动性,笔者发现:1)在中国和美国股市的格兰杰因果关系检验表明,存在美国股市到中国B股市(上海B、深圳B)的单向因果关系,美国股市的波动会在中国B股市上反映出来,但是相反方向却没有这种现象。还有,美国股市和中国A股市之间不存在格兰杰因果关系。2)在中国和美国股市的冲击反映函数和误差方差分解检验表明,对美国的冲击中国B股市场比A股市场更敏感反应。出现这种现象的原因是中国B股市场的特征有关,则中国B股市场对境外投资者开放。
第二,我们检验了中国股票市场和美国股票市场之间收益率和波动率的联动,本文利用GARCH类模型对股价收益率和波动率的联动性进行了实证研究。笔者发现:1)美国股市(S&P500和纳斯达克)的收益率变化对中国股市(A股和B股)的收益率有很大的影响。中国股市的收益率也不能影响美国股市的收益率。2)虽然美国股市的波动变化对上海股市的波动有很大的影响,但是上海股市的波动也不能影响美国股市的波动。还有美国股市的波动变化对深圳股市的波动有很大的影响。深圳股市也会影响纳斯达克指数,但是深圳股市的波动也不会影响S&P500指数的波动。
第三,中国和美国股票市场之间联动性的原因分析。国家之间股价指数联动性的原因有两种解释。第一是传播,又称为溢出效应(Spillover Effect)。第二是传染效应(Contagion Effect)。所以本文首先定义溢出效应和传染效应,然后采用两阶段最小二乘法(TSLS:Two-stage Least Squares)来分析股价联动性的原因。笔者发现:1)中国A股股票市场(上海和深圳)和美国股票市场(S&P和NASDAQ)之间联动性的原因就是溢出效应。2)中国B股股票市场(上海和深圳)和美国股票市场(S&P和NASDAQ)之间联动性的原因就是传染效应。出现这种现象的原因是中国股票市场的开放程度、股票市场的规模等一些因素有着密不可分的关系。众所周知,因为中国股票市场分割了A股市场和B股市场,所以美国股票市场的影响力对中国B股比A股更强一点。这个意味着,即使中国国内的微观与宏观环境没有发生变化,一旦外国发生了危机,中国B股市就会遭受猛烈冲击。
第四,中美同时上市股票之间信息传导。在财务理论中,关于美国存托凭证(ADR)和原股(Underlying Stocks)之间信息传导研究常见。但是,关于中国上司公司的ADR研究几乎没有。有鉴于此,本文目的在于考察美国和中国两地同时上市股票之间信息传导关系。因此本文首先研究了中国公司在美国上市的浪潮,接着中国公司在美国上市的现状;然后,采用MA(1)-GARCH(1,1)模型实证分析。笔者发现:1)信息同时传导模型结果:原股收益率会在ADR收益率上反映出来,而相反方向也有这种现象。还有,原股波动率会在ADR波动率上反映出来,而相反方向也有这种现象。这些结果意味着原股和ADR之间存在着相互互动关系。2)信息滞后传导模型结果:原股收益率不会影响ADR收益率,而相反方向也有这种现象。但是,原股的波动率会影响ADR的波动率预测,而相反方向却没有这种现象,则ADR的波动率不会影响原股的波动率预测。总之,我们的研究发现,中国原股和美国ADR之间存在着信息同时传导效应。
According to international finance globalization, Major international stock markets appear together rise or together down, so global investor attention to Co-Movement in stock market. The Co-movement is found not only in U.S., Japan, U.K and German in the advance country but also Korea, Singapore and Mexico in the Emerging Market.
Specially, this study focuses on empirical test. This Thesis examines the stock return and volatility co-movements between China stock market and U.S. stock market, analyzing the phenomenon, the dynamic evolving process and the reason. The main results are as follow.
First, This thesis investigates the stock return co-movements between stocks in the China and U.S., This study utilizes Vector Auto-Regression (Granger Causality Test, Impulse Response Function, Variance Decomposition) to investigate stock return co-movements between stocks in the China and U.S., We found that 1) From Granger Causality Test stock return in each index, we found that the S&P and NADAQ index have significant predictive power over the China B share market (Shanghai B and Shenzhen B). But China B index have not significant predictive power over the U.S. stock market. Also, we found not exit co-movement between China A share market and U.S. stock market. 2) From Impulse Response Function, Variance Decomposition, we found that the impact U.S. stock on the China B share market is greater than China A share market. These results are consistence with those of the Granger Causality results.
Second, This study investigates whether mean and volatility co-movement between China and U.S. stock market. We employ EGARCH model to test the conditional mean and volatility co-movement between China and U.S. stock market. We found that 1) U.S. stock returns affect China stock returns but not vice versa. U.S. stock market only affects stock prices in China. 2) U.S. stock volatility affect Shanghai stock volatility but not vice versa. Also U.S. stock volatility affects Shenzhen stock volatility.
Third, we had analysis reason for the co-movement between China and U.S. stock market. There are two the reason. One is Spill-over effect, the other is Contagion effect. We employ Two-stage Least squares analysis reason for the co-movement. We found that 1) The reason for the co-movement between China A share and U.S. stock is spill over effect. 2) The reason for the co-movement between China B share and U.S. stock is Contagion effect.
Fourth, We investigates the pricing information between NYSE listed Chinese ADRs and their underlying shares by using MA (1)-GARCH (1.1). We found that 1) Contemporaneous Spillover model results: Both Underlying share and ADRs not only stock returns but also in the volatility of the returns response significantly to the change of each market. 2) Lagged Spillover model results: we found that it showed insignificant responses to mean between Underlying share and ADRs. But Underlying share volatility affect ADRs volatility but not vice versa.
作为一个来自韩国的留学生,本研究突出特点是侧重于实证研究。本文运用多种方法对中国股市与美国股市之间联动性问题进行研究,从不同的角度和侧面去研究、发现和论证中国股市与美国股市之间联动性问题。主要结论如下:
第一,我们首先检验了中国股票市场和美国股票市场之间收益率联动性,本文利用VAR中的格兰杰因果关系检验、冲击反映函数和预测误差方差分解来分析中国股票市场和美国股票市场之间收益率联动性,笔者发现:1)在中国和美国股市的格兰杰因果关系检验表明,存在美国股市到中国B股市(上海B、深圳B)的单向因果关系,美国股市的波动会在中国B股市上反映出来,但是相反方向却没有这种现象。还有,美国股市和中国A股市之间不存在格兰杰因果关系。2)在中国和美国股市的冲击反映函数和误差方差分解检验表明,对美国的冲击中国B股市场比A股市场更敏感反应。出现这种现象的原因是中国B股市场的特征有关,则中国B股市场对境外投资者开放。
第二,我们检验了中国股票市场和美国股票市场之间收益率和波动率的联动,本文利用GARCH类模型对股价收益率和波动率的联动性进行了实证研究。笔者发现:1)美国股市(S&P500和纳斯达克)的收益率变化对中国股市(A股和B股)的收益率有很大的影响。中国股市的收益率也不能影响美国股市的收益率。2)虽然美国股市的波动变化对上海股市的波动有很大的影响,但是上海股市的波动也不能影响美国股市的波动。还有美国股市的波动变化对深圳股市的波动有很大的影响。深圳股市也会影响纳斯达克指数,但是深圳股市的波动也不会影响S&P500指数的波动。
第三,中国和美国股票市场之间联动性的原因分析。国家之间股价指数联动性的原因有两种解释。第一是传播,又称为溢出效应(Spillover Effect)。第二是传染效应(Contagion Effect)。所以本文首先定义溢出效应和传染效应,然后采用两阶段最小二乘法(TSLS:Two-stage Least Squares)来分析股价联动性的原因。笔者发现:1)中国A股股票市场(上海和深圳)和美国股票市场(S&P和NASDAQ)之间联动性的原因就是溢出效应。2)中国B股股票市场(上海和深圳)和美国股票市场(S&P和NASDAQ)之间联动性的原因就是传染效应。出现这种现象的原因是中国股票市场的开放程度、股票市场的规模等一些因素有着密不可分的关系。众所周知,因为中国股票市场分割了A股市场和B股市场,所以美国股票市场的影响力对中国B股比A股更强一点。这个意味着,即使中国国内的微观与宏观环境没有发生变化,一旦外国发生了危机,中国B股市就会遭受猛烈冲击。
第四,中美同时上市股票之间信息传导。在财务理论中,关于美国存托凭证(ADR)和原股(Underlying Stocks)之间信息传导研究常见。但是,关于中国上司公司的ADR研究几乎没有。有鉴于此,本文目的在于考察美国和中国两地同时上市股票之间信息传导关系。因此本文首先研究了中国公司在美国上市的浪潮,接着中国公司在美国上市的现状;然后,采用MA(1)-GARCH(1,1)模型实证分析。笔者发现:1)信息同时传导模型结果:原股收益率会在ADR收益率上反映出来,而相反方向也有这种现象。还有,原股波动率会在ADR波动率上反映出来,而相反方向也有这种现象。这些结果意味着原股和ADR之间存在着相互互动关系。2)信息滞后传导模型结果:原股收益率不会影响ADR收益率,而相反方向也有这种现象。但是,原股的波动率会影响ADR的波动率预测,而相反方向却没有这种现象,则ADR的波动率不会影响原股的波动率预测。总之,我们的研究发现,中国原股和美国ADR之间存在着信息同时传导效应。
According to international finance globalization, Major international stock markets appear together rise or together down, so global investor attention to Co-Movement in stock market. The Co-movement is found not only in U.S., Japan, U.K and German in the advance country but also Korea, Singapore and Mexico in the Emerging Market.
Specially, this study focuses on empirical test. This Thesis examines the stock return and volatility co-movements between China stock market and U.S. stock market, analyzing the phenomenon, the dynamic evolving process and the reason. The main results are as follow.
First, This thesis investigates the stock return co-movements between stocks in the China and U.S., This study utilizes Vector Auto-Regression (Granger Causality Test, Impulse Response Function, Variance Decomposition) to investigate stock return co-movements between stocks in the China and U.S., We found that 1) From Granger Causality Test stock return in each index, we found that the S&P and NADAQ index have significant predictive power over the China B share market (Shanghai B and Shenzhen B). But China B index have not significant predictive power over the U.S. stock market. Also, we found not exit co-movement between China A share market and U.S. stock market. 2) From Impulse Response Function, Variance Decomposition, we found that the impact U.S. stock on the China B share market is greater than China A share market. These results are consistence with those of the Granger Causality results.
Second, This study investigates whether mean and volatility co-movement between China and U.S. stock market. We employ EGARCH model to test the conditional mean and volatility co-movement between China and U.S. stock market. We found that 1) U.S. stock returns affect China stock returns but not vice versa. U.S. stock market only affects stock prices in China. 2) U.S. stock volatility affect Shanghai stock volatility but not vice versa. Also U.S. stock volatility affects Shenzhen stock volatility.
Third, we had analysis reason for the co-movement between China and U.S. stock market. There are two the reason. One is Spill-over effect, the other is Contagion effect. We employ Two-stage Least squares analysis reason for the co-movement. We found that 1) The reason for the co-movement between China A share and U.S. stock is spill over effect. 2) The reason for the co-movement between China B share and U.S. stock is Contagion effect.
Fourth, We investigates the pricing information between NYSE listed Chinese ADRs and their underlying shares by using MA (1)-GARCH (1.1). We found that 1) Contemporaneous Spillover model results: Both Underlying share and ADRs not only stock returns but also in the volatility of the returns response significantly to the change of each market. 2) Lagged Spillover model results: we found that it showed insignificant responses to mean between Underlying share and ADRs. But Underlying share volatility affect ADRs volatility but not vice versa.
引文
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