国际股票市场联动的影响路径与机制研究

Research on the Influence Path and Mechanism of the International Stock Market Linkage

近年来国际上主要股票市场之间均呈现出一定程度的"同涨共跌"现象,股市联动效应日益显著,因此,了解国际证券市场的风险溢出效应及其传导机理已经成为投资决策与金融市场研究的重要课题。本文在厘清国际股市联动性变化的影响因素的基础上,深入考察了国际股票市场之间的联动关系及其内在机制,发现国际股市间的联动现象是由经济基础效应、市场传染效应和政策冲击效应等多种因素共同作用造成的结果。

In recent years,major stock markets in the world are showing a＂common fluctuate＂phenomenon to some extent,therefore,it has already been an important topic in the investment decisions and financial market research to understand the international securities market risk spillover effect and its conduction mechanism. In this paper,we clarified the influencing factors of the changes of international stock market linkages,further explored the relationship among international stock market and its internal mechanism,and found that international stock market linkage is jointly affected by multiple factors namely the economic base effect,market contagion and policy shocks.