东亚股票市场的一体化及其趋势——基于股指趋同性的分析

Asian stock market's integraion and trend——analysis basing on stock index homoplasy

伴随着国际资金的频繁流动,东亚金融市场成为国际证券投资的主要地区。东亚各国和地区为了使其股票市场健康稳定发展,采取了一系列措施增强其区域内股票市场的一体化程度。本文通过Johansen协整,方差分解等方法,分析了当前东亚股票市场的股票指数与两大国际股票市场(美国和日本)股票指数的趋同性,以此为基础讨论东亚股票市场的全球一体化程度与区域一体化程度。本文研究发现,东亚股票市场的一体化程度不高,但其全球化程度高于其区域化程度。

As the capital flows frequently through the world,East Asia becomes the main area of international equity investment area.Thus,much attention was put on how much the stock markets of East Asia were affected by international stock market,so as to the degree of East Asia stock market integration.In order to find the degree of integration of East Asia stock market,this paper analyzes the comovement between East Asia stock markets and the two main international stock markets （America and Japan） by Johansen test,Granger Causality test,variance decomposition.The findings are as follows： the integration of East Asia stock market is not high,but its global integration is higher than its regional integration.