纽约股票市场对中国A股市场的影响

The Impact of New York Stock Markets on China's A - share Markets

首先,本文考察了纽约股市波动对中国A股市场的影响。一般认为,中国的A股市场由于严格的资本控制而免受外国影响。但是,通过月度、每周、每日的样本数据(1992年到2004年),经过季节性调整和汇率变动调整后,我们发现上海和深圳A股市场的变动与美国股票价格指数变动相一致。其次,我们考察国家贝塔值(country beta)在马尔可夫转换误差修正模型中的动态关系。对中国市场来说,国家贝塔值和错误纠正项的重要性紧密相连。在东亚金融危机之前,美国市场对中国A股市场的影响普遍存在,而东亚金融危机产生后,则是通过国家贝塔值来影响中国股市的收益。

In this paper we examine to what extent the Chinese A - share stock markets, protected from foreign influences by strict capital controls, are actually influenced by movements in New York share prices. We find that this is the case both in the short and in the long run. Over the longest available sample （January 1992 through October 2004） with monthly, weekly and daily frequencies we first find that the Shanghai and Shenzhen A -share market have been cointegrated with US share price indices （S＆P, Dow Jones or Nasdaq）. This evidence is robust to the seasonal adjustment of the data and the use of dollar indices instead of domestic ones. Second, we examine dynamic relationships within the framework of country betas and a Markov - switching error correction model. For both Chinese markets, the significance of the country beta and of the error correction term is regime - dependent. Prior to the East Asian crisis long run effects of the US market prevailed while short run influences took over subsequently.