我国股票市场与周边市场互动关系的VAR研究

VAR Research on Interaction of Domestic Stock Market with International Stock Market

采用协整的方法检验了上证指数与国外 6个主要指数的关系 ,得出上证指数只与道·琼斯指数、恒生指数、新加坡指数存在长期协整关系。利用VAR方法中脉冲响应分析和方差分解对这些指数进行了系统化定量 ,结果表明上证指数主要受自身波动影响 ,道·琼斯指数、恒生指数、新加坡指数对其影响较小 ,从而说明我国股票市场的国际化程度还不是很高 。

The method of cointergration is introduced to check up the relation between the index of Shanghai stock and those of six major foreign stocks. From this, it is indicated that Shanghai stock index is only long-term cointergrationally related with those of Dow Jones, Hangseng and Singapore. By using IRF(impulse response function) and VDP(variance decomposition perception) from VAR, it is implied that the index of Shanghai stock is affected mainly by itself, while Dow Jones, Hangseng and Singapore indexes have little influence on it. This shows that the domestic stock market has not reached the international level and is only slightly affected by the international market.