A股与美股、港股联动性的两次比较

Two Comparisons on the Dynamic Linkage Among China's Mainland,US and Hong Kong Stock Markets

本文采用协整模型和结构向量自回归模型(SVAR),对2006年6月—2008年6月金融危机时期与2014年6月—2015年9月A股动荡行情时期A股与美股、港股的联动性进行计量分析。研究结果表明,自金融危机后期以来,A股市场对美股与港股市场的激励响应效应均在增强。在此轮A股动荡时期,下行时期(2015年6月—2015年9月)A股市场对美股与港股市场的联动影响力较上行时期(2014年6月—2015年6月)强。通过两个特定意义时期的比较分析,得出国内A股市场的相关政策和监管启示。

This paperuses the co-integration model and structure vector auto-regressive model （SVAR） to con- duct a quantitative and comparative analysis on the correlation between A share market during the period of turmoil from June 2014 to September 2015 and the US and Hong Kong stock markets during the the financial crisis from June 2006 to June 2008. The results show that the incentive effect of A share market on the US and Hong Kong stock markets have been enhanced since the latter period of the financial crisis. In this round of A share market turmoil, the correla- tion between the descendingA share market, US and Hong Kong stock market from June 2015 to September 2015 is stronger than that of the rising period. In addition, through the comparative analysis on the correlation between the mainland and the overseas stock market during the two specific periods, this paper concludes with relevant policy and regulation illuminations for the A share market.