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东亚股市一体化实证分析——基于2008年金融海啸 被引量：1

Empirical Analysis of Impact of 2008 Global Financial Tsunami on East Asia Stock Market Integration
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摘要 通过运用协整检验、VAR模型、残差相关系数、格兰杰因果检验与方差分解,研究了2008年全球金融海啸对东亚股票市场的一体化影响,在实证分析中也考虑了美国股票市场与东亚股票市场的相互联系.最终发现2008年全球金融海啸促进了东亚股票市场的一体化,然而这种一体化的提高只是金融海啸期间的暂时现象.美国股票市场在金融海啸之前、期间与之后对东亚股票市场都有重大影响. This paper examines implication of 2008 global of East Asia stock market by using co-integration test, granger causality test and variance decomposition. We pay between US stock market and east Asia stock market befo nancial tsunami. The empirical analysis reveals that 2008 ened the integration of east Asia stock market. Howeve phenomenon. US stock market strongly influenced east and after 2008 global financial tsunami.
作者 余诚
机构地区 上海交通大学安泰经济与管理学院
出处 《陕西科技大学学报（自然科学版）》 2012年第2期126-133,共8页 Journal of Shaanxi University of Science & Technology
关键词 股票市场一体化 2008年全球金融海啸 VAR模型 stock market integration 2008 global financial tsunami VAR model
分类号 F831 [经济管理—金融学]
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参考文献10

  • 1吴凌芳.东亚股票市场的一体化及其趋势——基于股指趋同性的分析[J].特区经济,2010(7):114-116. 被引量：3
  • 2周云帆,东亚地区主要股票市场联动效应的研究基于金融危机大规模爆发前后样本分析[J].哈尔滨金融高等专科学校学报,2010,(2):61-65.
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二级参考文献7

  • 1Arie Dekker, Kunal Sen and Martin R. Young. Equi ty Market Linkages in the Asia Pacific Region A comparison of the Orthogonalised and Generalised VAR Approaches[J]. Global Fiance Joural, 2001,(12): 1-33.
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陕西科技大学学报（自然科学版）
2012年 第2期

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