全球金融危机前后境内外股票市场联动性实证分析

Empirical Research on Co-movement Between Domestic and Overseas Stock Markets and Its Mechanism

在梳理国际主要股票市场间联动性研究成果的基础上,本文采用1991-2011年数据,通过对各个时间区间的分析尤其是次贷危机引发的全球金融危机的前后比照,按照由表及里、由特征属性到变化趋势与影响机制的系统与动态分析的思想方法,对国内A股与美国、英国、德国、日本、香港股市之间的联动性进行了实证检验。结论表明:(1)2000年特别是2007年次贷危机以来,境内外主要股市联动性显著增强;(2)境内外股市相互冲击效果不断增大,传导速度加快;(3)在股市资金联动性不断加强的同时,波动幅度也随之扩大;(4)这种市场联动性内在机制是宏观经济(宏观)、资本市场政策和机制(中观)、行为金融情绪(微观)三位一体的互动。本文最后提出了相关政策建议和投资策略建议。

In this paper,based on prior researches on co-movement between international stock markets,we establish Granger causality model,vector auto-regression model,Anderson model,DCC-Garch model and regression model,using the data between the years 1991-2011 to test the co-movement mechanism between the domestic A-share market and stock markets abroad. Our results suggest that（ 1） the linkage between domestic and overseas stock markets became more apparent after the year 2000,especially after Subprime Crisis in the year 2007,（ 2） the effect of mutual impact between domestic and foreign stock markets,and its conducting speed increased,（ 3） market volatility went up as the co-movement between markets increased,（ 4） the inner mechanism is related to macro economy,capital market policies and mechanism,and investors＇ emotion. Based on above,the paper provides related suggestions for policy-makers and investors.