次贷危机前后中国内地与亚洲主要股票市场联动性分析

Before and after the Sub-Prime Crisis an Analysis of Co-Movement for China and Asia's Major Stock Markets

2007年美国房地产市场上引发了一场次贷危机,由这场危机开始引发了全球性的金融危机。本文通过协整检验和建立误差修正模型分析亚洲六个主要股票市场之间的关联关系,次贷危机前后各阶段检验结果表明六个市场之间存在协整关系。利用方差分解和格兰杰因果检验来确定短期影响因素,本文重点研究其他股市对中国内地股市的影响,结果表明,在次贷危机发生之前中国内地股市受其他经济体股市波动的影响较大,次贷危机之后中国内地股市对其他股市的影响变大。方差分解的结果说明中国内地股市的波动绝大部分来自于自身的冲击。

A sub-prime crisis took place in U.S.real estate market in 2007,to start with the crisis,a global financial crisis was triggered.The article analyses the incidence relations among six major stock markets of Asia by cointegration test and the establishment of error correction model.Throughout each study period,the results showed a cointegration relationship existed in six markets.Variance decomposition and Granger causality test were used to determine the factors of short-term impact.The article focuses on the impact of other stock markets on China stock market,the results showd that Prior to the subprime crisis,the China stock market is greatly influenced by the other stock markets and after the subprime crisis the other stock markets is greatly influenced by the China stock market.Variance decomposition results indicate that the fluctuation of mainland of China greatly trigged by itslef.