证券市场间信息传递效应实证研究——兼论金融危机的影响

Empirical study on effects of information transmission among securities markets:referring to impact of current financial crisis

2007年在美国开始爆发的次贷危机至今已蔓延为全球性金融危机,世界各国和地区证券市场均受到了不同程度的影响.本文对近年来,特别是这一轮金融危机下中国内地、香港以及美国三地证券市场的信息传递效应进行了比较分析.研究结果表明,2003年以后三地证券市场的联动关系得到加强,它们之间存在长期协整关系;美国证券市场与中国内地和香港证券市场均存在Granger因果关系.同时,本文还通过事件研究法检验得出结论:中国内地证券市场对金融危机信息的反应能力和吸收信息的能力都不及香港和美国证券市场.究其原因,主要是中国内地证券市场发展尚不成熟,投资者自身素质还有待提升.

The outbreak of subprime lending crisis has spread into global financial crisis since 2007.Securities markets in different countries and regions are affected to varying degrees.This paper comparatively studies information transmission among Chinese mainland securities market、Hong Kong securities market and the US securities market in recent years,after this financial crisis in particular.The empirical results indicate that co-integration exists in the above mentioned markets since 2003 and the co-movement has been strengthened.The US securities market has Granger causality on Chinese mainland securities market and Hong Kong securities market.This paper also finds that Chinese securities market is inferior to HK and the US securities markets in reacting and absorbing information based on financial crisis by event study.That is because Chinese mainland securities market is not yet mature and investors＇ quality is supposed to need improving further.