中外股票市场收益率相关性分析及其影响路径分解

Analysis on the Correlation between the Return Chinese Stock Market and the Foreign Stock Markets

本文通过计算相关系数,研究了过去15年中国股票市场与国际股票市场收益率的相关性,发现在金融危机爆发的年份里,中外股票市场的收益率存在负相关关系。本文在此基础上利用面板数据回归模型,研究了影响中外股票市场收益率相关性的主要因素,发现出口路径会显著增强收益率的正相关性,对经济危机起到传导作用;外商直接投资路径会显著增强收益率的负相关性,对经济危机起到缓冲作用。建议政府在制定应对金融危机的政策时,积极利用外商直接投资的缓冲作用,同时不断引导出口企业增强国际竞争力,努力扩大内需,减少经出口路径传导至我国的外部冲击。

We studiy the correlation of the return between the Chinese stock market and the foreign stock markets for the past 15 years by using the pearson correlation coefficient. And we find a negative correlation between the Chinese stock market and the foreign stock markets during the period of financial crisis. Based on the panel model, we analyze the main factors that affect the correlation of return, finding that the export can significantly enhance the correlation of return, which transmits the economic crisis. FDI can significantly reduce the correlation of return, which buffers the economic crisis. It is suggested that in order to make fiscal and monetary policies, the government makes use of the buffer effect of FDI. At the same time, the government should lead the export companies to improve the global competence, and expand the domestic consumption demand in order to reduce the influence of foreign shocks transmitted by export.