我国与主要国际证券市场传导路径及其效应研究

Study on the Transmission Channels Between Chinese and International Securities Markets and Their Effects

文章运用因子分析和SEM模型相结合研究了我国证券市场与主要国际市场之间的相互传导路径和传导效应问题。研究发现:我国证券市场对主要国际市场的总传导和直接传导效应均弱于他们对我国的传导,我国证券市场尚不具备影响国际证券市场的能力;美国是世界证券市场波动的主要来源国,对各国的传导以直接传导为主,间接传导为辅;我国证券市场对美日英发达国家的间接传导路径多于他们对我国的传导路径,同时呈分散传导状态;美日中的相互间接传导效果要比我国与英国相互间接传导高,在各国对我国的直接传导中,其强弱排序为美国、日本和英国,因此我国证券市场国际化应从美日市场寻求突破口;我国对美日英证券市场传导的间接效应大于直接效应,相反,美日英对我国传导的直接效应大于间接效应,具有非对称性;我国与美日英证券市场存在时间上的阶段性协整关系。

The transmission channels between China's securities market and major international securities markets and their effects were investigated by means of factor analysis and SEM model.The findings indicate that the total and direct transmission effects of China's securities market on major international securities markets are weaker than their transmission effects on China,suggesting that China's securities market fall short in its ability to influence international securities market;the United States is the main source of fluctuations in global securities markets.The transmission effects of the United States on other countries are mainly in the form of direct transmission and to a lesser extent,in the form of indirect transmission;the indirect transmission channels from China's securities market to their counterparts in developed countries like the US,Japan and the UK are more than the transmission channels from these countries to China,meanwhile which are decentralization;the indirect transmission effects among the US,Japan and China are higher than the effects between China and the UK.The US has the greatest direct transmission effects on China,followed by Japan and the UK.Therefore,breakthroughs should be sought from the US and Japan markets to internationalize China's securities market;China's indirect transmission effects on the securities market in the US,Japan and the UK are greater than its direct transmission effects,while the direct transmission effects of the US,Japan and the UK on China are greater than their transmission effect,suggesting an asymmetric relationship;in a temporal dimension,China's securities market has a periodic co-integration relationship with their counterparts in the US,Japan and the UK.