中美股市波动的联动性的实证分析

The Analysis of Volatility Co-movement Relationship between Chinese Stock Market and American Stock Market

用二元GARCH模型的方法建立了中美股票市场的波动模型,考察了中美两个股票市场从2002—2007年间的股指波动的联动性问题。结果显示:随着中国经济的不断开放,中国的股票市场的波动和美国股票市场的波动存在递增的联动性,且中国股票市场的波动对美国股票市场的波动的单方面影响尤其显著。分析了产生这种结果的原因。

This paper uses bivariate-GARCH model to analyze the co-movement relationship between Chinese stock market and American stock market over the period of 2002 to 2007. The paper shows that with the development of China＇s economy, the correlation of the volatility between the two stock markets is an increased process, and furthermore, the unilateral effect from Chinese stock market＇s volatility to American stock market＇s volatility is notable. Based on the fact it also offers relevant suggestions.