中美股票市场信息冲击的非对称性调整特征与联动性效应--基于门限协整的误差修正模型

Asymmetric Adjustment Characteristic and Comovement of the Information Shocks between China and U.S.'s Stock Markets——Based on Error Correction Model with Threshold Cointegration

美国是世界上最大的经济体,其股票市场的代表性和国际影响不言而喻。研究中美股票市场信息冲击的非对称性调整特征与联动性效应对于科学认识中国股票市场具有重要的参考价值。因此,本文以上证指数和S&P500指数为研究对象,通过四种门限自回归的误差修正模型分析中美股票市场间的联动效应和非对称性调整特征。实证结果表明:美国股票市场对中国存在显著的单向联动效应以及短期均衡关系;与美国股市相比,中国股票市场表现为显著的非对称性调整特征,对正向信息冲击反应速度较快,而市场对负向信息反应的效率较低。

The United State is the largest economy in the world, and it is self-evident that U.S.'s stock market has a strong representative and being the world's leading role. Studying asymmetric adjustment characteristic and comovement of the information shocks between China and U.S.'s stock markets has important reference value to scientifically understand China's stock market. So this paper uses four threshold auto regression error correction models to analysis the comovement and asymmetric adjustment between China and the US's stock market. The empirical results show that the US's stock market has a one-way linkage effects and shortterm equilibrium relationship on China's stock market. China's stock market shows significant asymmetry adjustment feature compared to the US's stock market. The China's stock market expresses a faster response on the positive information impulse, while the efficient of market on the negative information impulse is low.