摘要
通过对中国证券市场中主要行业与香港、美国和日本市场之间相关性的现状和变化趋势进行比较分析,研究结果表明:首先,尽管中国证券市场中各行业的国际相关性水平相对较低,但从总体上有增强的趋势;其次,不同行业国际相关性的差异化程度在逐步扩大,显示国际经济和金融因素对中国经济不同产业的影响差异性正在日益增加;再次,不同行业国际相关性的增长率也存在差异,金融和基础材料等行业的国际相关性具有相对较高的增长率。
The test was developed to analyze inter-market correlations among the main industries in China's stock market and three international stock markets, including Hong Kong, U.S. and Japan. The test results indicate three main conclusions. First, the international correlations of the industries are on the increase generally, while the correlation level is fairly low. Second, the gradual rise of correlation diversity among different industries implies that international economic and financial factors have different impacts on China's industries. Third, the test shows that there are some differences in international correlation growth rate among different industries. The international correlations of financials, basic materials, etc. have higher increasing rates relatively.
出处
《金融理论与实践》
北大核心
2007年第3期76-78,共3页
Financial Theory and Practice
基金
国家自然科学基金目"基于中国投资者的全球化动态投资组合管理模型"(项目批准号70671075)的资助
关键词
证券市场
相关性
行业特征
国际投资
stock market
correlation
industry feature
international investment