国际间资本市场联动效应的理论解读与实证研究

Theoretical Comprehension and Empirical Study of Linkage Effect of International Capital Market

通过基于投资套利视角的理论模型阐述了资本市场之间产生联动溢出效应的作用机制,利用考虑股市涨跌非对称效应的均值波动模型考察了中美两国股票市场之间的联动效应,包括均值溢出效应、ARCH/GARCH型波动溢出效应和股市涨跌产生的非对称溢出效应。结果显示,中美股票市场在均值层面不存在显著的溢出关系,但在波动层面则具有多重显著的溢出关系。同时,中美两国股票市场上升或下降对中国股票市场的波动性和中美股票市场联动关系也有着不同影响。

With the help of the theoretical model set up from the visual angle of the investment interest arbitrage,we expound the acting mechanism of the linkage spillover effect produced between the capital markets.Using the mean volatility model considering the asymmetric effect from the ups and downs of the stock market,we investigate the linkage effect between Chinese and American stock markets,including the mean spillover effect,ARCH/GARCH type volatility spillover effect and the asymmetric spillover effect produced by the ups and downs of the stock market.The results show that there is no significant spillover relation between Chinese and American stock markets,but at the volatility layer,there is multiple significant spillover relation.At the same time,the ups and downs in the Chinese and American stock markets have diverse impacts on the volatility of the Chinese stock market and linkage relation between Chinese and American stock markets.