国别股市长期联动的影响因子剖析——以中美股市为例

Analysis of Factors on Long-term Linkage between International Markets——Taking China-US Market-Linkage as an Example

在资本市场对外开放的浪潮下,跨国投资者迫切需要熟悉国际间主要股票市场的联动关系及其背后的驱动因素。以中美股市联动为例,采用DCC-GARCH方法量化两国股票市场的长期联动关系,然后从两国的经济联系、经济运行差异、外部冲击等方面发掘这种关系背后的驱动力。研究发现,中美两国间双边贸易依存度、金融开放度、经济周期差异度、汇率形成机制以及外部冲击都对两国股市联动关系产生影响。建议明晰各因素对股市联动的助力和阻力作用有助于跨国投资者更好地构建投资组合,规避投资风险。

With the outward openness of capital market in for cross- national investors to learn much about the linkages China, there is urgent need between international stock markets, as well as the factors behind. We take China-US market-linkage as an example, using DCC-GARCH method to quantify the long-term dynamic linkage between countries, and then analyze the factors behind the linkage, from the aspects such as the linkage of economies, the difference between them, and outside impacts. We conclude that, the trade dependence between China - US, China＇ s financial openness, the economic cycle difference between two countries, exchange rate mechanism, and outside impact could affect the linkage between China and US. Clarifying how these factors promote or impede the linkage is helpful for cross-country investors to construct portfolio and avoid risk.