汇率波动性与股市收益率联动性--来自国际样本的经验证据

Exchange Rate Volatility and Stock Market Synchronization:the International Evidence

本文对1995—2011年全球33个主要股票市场收益率的联动性以及影响因素进行了分析。在控制了贸易联系以及金融一体化程度的影响基础上，我们重点考察了双边汇率波动性对双边股票市场收益率联动性的影响。分析结果表明，贸易联系、金融一体化程度与股市收益率联动性之间呈现出正向相关关系，而汇率波动性的提高将降低股票市场收益率之间的联动性。汇率制度弹性的增强有助于减弱一国股票市场与其它国家股票市场的联动性。本文研究对我国金融市场抵御外部冲击、降低市场传染具有重要的政策参考价值。

This paper examines the dynamic and determinants of the bilateral stock market return correlationsbetween the 33 largest stock markets over the period 1995 ~ 2011. Controlling for possible endogenous biaswhen using the bilateral trade linkages and international financial integration as the explanatory variables, thispaper focuses on the impact of exchange rate volatility on the stock market synchronization. We find that tradelinkages and monetary integration contribute to higher stock market co - movement. The exchange rate volatilityhas a negative impact on the bilateral stock market return correlations. This finding is robust when we add theexchange rate regime as additional explanatory variable. A more flexible exchange rate regime can reduce thestock market synchronization. This paper provides the policy guidance for the stock market stability and prosperity at the present stage.