中国内地股市与国际股市相互联动吗?——以金融危机和欧债危机为背景

Do China's Stock Markets Have Closer Linkage with the International Stock Markets: Under the Financial Crisis and European Debt Crisis

本文以沪深指数、恒生指数、标准普尔指数和DAX指数为对象,以金融危机和欧债危机为分界点,分析四个股市在危机前后的联动性及其差异。研究表明:金融危机前,标准普尔指数对沪深指数的冲击不明显,危机后,冲击影响程度加深;次贷危机前,沪深指数受DAX指数的冲击不明显,危机后,冲击影响程度加深。同时,沪深指数的冲击没有对标准普尔指数和DAX指数带来显著的影响,但在国际金融危机发生后,其影响变得稍大一些。金融危机发生前,沪深指数与其他股票指数的动态相关系数明显小于金融危机后的系数,而且金融危机后股票指数波动率的联动性加强。美国股票市场引领其他市场的涨跌,是四个股票市场波动的发源地。

The paper analvses whether there is contagion among Shanghai ＆ Shenzhen stock market index, DAX index Heng Seng index and Standard ＆ Poor＇s index with the financial crisis and european debl crisis as the cut -off point. Before lhe financial crisis, the impact of Slandard ＆ Ponr＇s index on Shanghai ＆ Shenzhen index is very. weak, whereas ＇after the crisis, lhe imlmel becomes ranch stronger. And lhe effecl of DAX index on Shanghai ＆ Shenzhen index is almost similar. At the same lime, though the shocks of Shanghai ＆ Shenzhen index on Standard ＆ Poor＇s index and DAX index is a little obvious after the crisis, lull it is very weak during the Ihree periods. Before the financial crisis in the United Slates, the dynamic correlalion coefficient among Shanghai ＆ Shenzhen index and other indexes are significantly less than dmt after lhe filmncial crisis. The U.S. stock markets lead olher markets rising and falling, and il is the volatility center of four stock markets.