次贷危机前后中国内地与亚洲主要股票市场联动性分析Before and after the Sub-Prime Crisis an Analysis of Co-Movement for China and Asia's Major Stock Markets
仪垂林,张翠玉
摘要(Abstract)：
2007年美国房地产市场上引发了一场次贷危机,由这场危机开始引发了全球性的金融危机。本文通过协整检验和建立误差修正模型分析亚洲六个主要股票市场之间的关联关系,次贷危机前后各阶段检验结果表明六个市场之间存在协整关系。利用方差分解和格兰杰因果检验来确定短期影响因素,本文重点研究其他股市对中国内地股市的影响,结果表明,在次贷危机发生之前中国内地股市受其他经济体股市波动的影响较大,次贷危机之后中国内地股市对其他股市的影响变大。方差分解的结果说明中国内地股市的波动绝大部分来自于自身的冲击。
关键词(KeyWords)： 次贷危机;联动性;Granger因果检验;方差分解;股票市场;联动性分析
基金项目(Foundation):
作者(Author): 仪垂林,张翠玉
DOI: 10.13269/j.cnki.ier.2010.05.012
参考文献(References)：
- [1]Aggarwal,R.,and R.Pietra,1998,“The Relationship between the US.and Four Asian Stock Markets”,ASEAN Economic Bulletin,6(1):110—117.
- [2]Hung,B.W.,and Cheung,1995,“Interdependence of Asian Emerging Equity Markets”,Journal of Business Finance and Accounting,22:281—288.
- [3]Janakiramanan,S.,and S.L.Asjeet,1998,“An Empirical Examination of Linkages between Pacific-Basin Stock Markets”,Journal of International Financial Markets,Institutions and Money,8:155—173.
- [4]Cha,B.,and O.Sekyung,2000,“The Relationship between Developed Equity Markets and the Pacific-Basin's Emerging Equity Markets”,International Review of Economics and Finance,9:299—322.
- [5]S.P.Tay and Z.Zhu,2002,“Correlation in Returns and Volatilities in Pacific-Rim Stock Markets”,Open Economics Re-view,11:27—47.
- [6]Rosylin Mohd.Yusof,and M.Shabri Abd.Majid,2000,“Who Moves the Malaysian Stock Market among the United States,Japan,and the South China Growth Triangle”,International Review of Financial Analysis,9(3):281—297.
- [7]张福,赵华,赵媛媛.中美股市协整关系的实证分析[J].财经论坛,2004(2).
- [8]陈漓高,吴鹏飞,刘宁.国际证券市场联动程度的实证分析[J].数量经济技术经济研究,2006(11).
- [9]周珺.我国大陆股票市场与周边主要股票市场的联动分析[J].证券经纬,2007(1).
- [10]高铁梅.计量经济分析方法与建模——Eviews应用及实例[M].北京:清华大学出版社,2006.