基于股市联动性视角下海峡两岸经贸关系研究

A Study on the Cross-Strait Economic and Trade Relations from the Perspective of Stock Market Linkage

作为经济的晴雨表,股市能够对经济状况作出最为直接的反映,而股市联动特征的变化可以体现经贸依赖性强度的变化。本文利用1993—2017年的数据,对上海和台湾股市的联动性进行多角度动态分析。结果显示,两岸股市存在一定的联动性,但在不同时期有所不同。1993—2008年间,两岸股市呈现弱相关性,期间还出现多次震荡。而自2008年开始,两岸股市相关性不断上升,尤其是在2010—2014年间,呈现出了较强的联动特征。2014年后,两岸股市联动性有所下降。进一步,本文结合贸易、投资等数据进行分析,发现两岸股市联动性的变化特征与两岸投资、贸易等的变化趋势基本一致,意味着两岸股市联动性可以从一个侧面反映两岸经贸依赖性的强弱,有助于对两岸经贸关系的历史变迁进行全景式分析。

As a barometer of the economy,the stock market can reflect the economic situation,and the change of the linkage characteristics of the stock market can embody the change of the intensity of economic and trade dependence. Based on the data from 1993 to 2017,this paper makes a multi-angle and dynamic analysis of the linkage between Shanghai and Taiwan stock markets. The empirical results show that there is a certain linkage between the two sides of the stock market,but is different in different periods. In 1993 to 2008,the cross-Strait stock markets showed weak correlation,during which there had been a number of shocks. However,the correlation between the two sides of the stock market has been rising since2008,especially during the years of 2010-2014,showing a strong linkage. But since 2014,the linkage has declined. Based on the analysis of the trade and investment data,the paper finds that the change characteristics of the cross-Strait stock market linkage are basically consistent with the trend of the cross-Strait investment and trade. This means that the linkage can,from one side,reflect the strength of their economic and trade dependence,and help to analyze the historical changes of their economic and trade relations.