中国与东盟五国股票市场联动性分析

Interaction between China and ASEAN-5 Stock Markets

考虑到不断加强的中国与东盟间的经贸投资联系,研究了基于1999年8月31日至2016年12月31日中国与东盟五国股票市场的数据的联动性,结果发现上证综指与马来西亚、新加坡、菲律宾、印度尼西亚、泰国股票指数之间均不存在协整关系。进一步建立两变量向量自回归模型,进行格兰杰因果、脉冲响应以及方差分解检验,发现上证指数与新加坡股指互为因果关系,与泰国和马来西亚股指存在单向的因果关系,而与菲律宾、印度尼西亚股指不存在格兰杰因果关系。

As China is showing a closer relationship with ASEAN countries,the interaction between China and ASEAN-5 stock markets has drawn lots of interests. Based on data between 1999-08-31 and 2016-12-31,this research finds no respective cointergration between China and Malaysia,Singapore,the Philippines,Indonesia,and Thailand. Furthermore,we set up a two-variable vector auto-regressive model to do Granger causality test,impulse response and variance decomposition analysis. There is a bidirectional Granger causality between China and Singapore,no Granger causality between China and the Philippines or Indonesia,but a unidirectional causal relationship between China and Thailand or Malaysia.