市场间相互冲击、收益率传导及跨市场资产配置策略——中国内地、中国的香港地区、美国三地市场检验

Inter-market Shocks,Return Transmission and Cross Market Asset Allocation Strategy——Tests Based on Region of China and U.S. Markets

本文以中国内地、中国的香港地区和美国三地市场的指数收益率为样本,利用结构VAR模型对这一系统中市场之间的相互冲击和影响建模。实证结果表明,2004年开始中国内地对外部市场影响逐步增强;2008年以后,外部市场对中国内地市场的影响则开始显著增强。结果还证实了中国的香港市场在中国内地与美国两地市场关联性中的中间市场角色。同时,某市场受到的外部冲击在横截面上能够显著预测该市场未来收益率,基于此所构建的动态资产配置组合显著优于静态及各市场单独组合。

This study investigates the inter-market shocks among Chinese mainland, Hong Kong SAR of China and U. S. stock markets by using the structural VAR models. The results reveal that the impact of Chinese mainland market on other two markets began to increase from 2004, and after 2008 the impact of external markets on Chinese mainland market has enhanced significantly. This study also confirms the important role of Hong Kong SAR of China market as the intermediate channel of return transmission between Chinese mainland ond U. S. markets. The dynamic asset allocation strategy based on the models improves significantly.