美国股市与中国股市间溢出效应的实证研究

Study on interlinkage between US and China stock markets

为研究国际股市间的相关性,了解国际股市波动对中国股市的影响,采用基于小波多分辨分析的方法,研究了美国与上海、美国与香港股市日收益率之间的相关性.将日收益率的时间序列信号分解在不同频带上,比较各频率成分占原始信号的能量比.结果发现高频成分所占的能量比远大于低频成分,日收益率的波动主要由短期因素引起.高频成分的相关性分析表明,美国股市对香港股市存在强溢出效应,对上海股市则不存在溢出效应;上海股市几乎独立于全球股市之外.

For study the spillover effects between international stock markets, Chinese stock market movements under the effect of international stock market movements were analyzed. The interlinkages between the US and Shanghai and the US and HK stock market returns were studied by wavelet multiresolution analysis. The stock daily return time series signal was decomposed on different frequency bands to study the correlativity, and the energy proportions of different frequency components to the original signal were compared. The results show that the high-frequency detail components represent much more energy than the low-frequency smooth components, and that the movements in stock returns are mainly caused by the short-term factors. Interdependent analysis between the high-frequency detail components shows that the volatility spillover effects exist from the US to HK stock market, but does not exist from the US to Shanghai stock market, and the Shanghai stock market seems to be independence.