亚太地区间资本市场联动效应实证分析——以中国内地、中国香港、日本和美国股市为例

Empirical Analysis on the Co-movement Effects Inter-Asia-Pacific Regional Capital Markets——Case Study on the Stock Market of China's Mainland,HK,Japan and the U.S.

在经济一体化程度不断加深背景下考证了不同地区间资本市场是否存在联动效应,对投资者优化投资策略和监管当局制定金融政策具有重要的理论指导意义。以股市为例,构建了上证指数、恒生指数、道琼斯指数和日经指数的四元VAR模型,并进行了脉冲响应和方差分解分析。结果表明,中国内地、中国香港、美国和日本资本市场之间存在长期稳定的协整与联动关系,美国和中国香港先行于中国内地资本市场变化而变化,美国远大于中国香港和日本对中国内地资本市场波动的影响。

We build the Shanghai Composite index,Hang Seng index,the Dow Jones index and the Nikkei＇s quaternary VAR model,then analyze the impulse response and variance decomposition.The results show that China Mainland,Hong Kong,U.S.and Japan＇s stock market have a long-term stability cointegration and co-movement relations,U.S.and Hong Kong capital market change ahead of the China Mainland,U.S.stock market＇s contribution rate to Mainland＇s volatility is much larger than that of Hong Kong and Japan market.