入世以来中国证券市场动态国际一体化研究

Dynamic International Integration for Chinese Stock Market since Accession to the WTO

本文运用滚动协整等方法检验中国与全球六个主要发达证券市场之间的动态协整关系。研究发现中国证券市场国际一体化已隐约出现,但不确定性大,而且国际化关系不对等。协整一致的相互引导关系已基本形成,虽然彼此间的同步关系还仅停留在周期分量上。入世后中国证券市场国际一体化水平显著提高,但在美欧金融危机期间没有得到延续。进一步推进中国市场国际一体化应根据自身发展特点和国际金融形势变化及时调整策略,确保在分享全球化利益的同时风险最低。

This paper examines the dynamic convergence between Chinese and six major developed stock markets using rolling cointegration. We find that the international integration for China＇ s stock market has loomed with uncertainty and asymmetry. Granger causalities of Cointegration between China and developed markets have basically formed, however their synchronous relationships have existed in periodic components. The international integration has improved significantly after China entering WTO, but does not go on during the current financial crisis originating from the Unite States and Europe. To further promote the financial integration process, China should adjust strategies to ensure sharing the interests of globalization at the lowest cost based on her own market natures and the international financial situation.