金融危机背景下中港美股市联动性分析——基于收益率的实证研究

Analysis on Co-movement of Stock Markets of China,Hongkong and USA——Based on the Empirical Research of Yield Rate

在美国次贷危机引发全球金融危机背景下,基于2007年8月1日到2008年12月31日的日数据,对上证综合指数、香港恒生指数和美国道琼斯指数日收益率建立了VAR模型,并进行Granger因果关系检验、脉冲响应和方差分解等实证分析,结果表明:上证指数日收益率主要受道琼斯指数日收益率的影响,受恒生指数日收益率的影响不大,而且道琼斯指数日收益率前一期值对上证指数日收益率当期值有显著的正向影响。研究结果对管理当局制定相关金融政策以及投资者采取合理的投资策略有一定指导作用。

The USA sub - prime crisis has caused financial crisis all over the world. Under this background, based on the daily data from Aug. 2007 to Dec. 2008, this paper builds a VAR model on return rate of Shanghai Stock Composite Index, Hong Kong＇s Hang Seng Index and USA Dow Jones index. Further, it makes empirical analysis using Granger causality test, impulse response and variance decomposition. The result shows that Shanghai Stock Composite Index is obviously affected by Dow Jones index rather than Hang Seng Index. Dow Jones index has the remarkable positive influence on the next day＇s Shanghai Stock Composite Index. The result will benefit the financial authority and the investors.