中美股票市场的联动关系研究--基于DCC-GARCH和DCC-MIDAS模型的分析

A Study on the Co-movement between Chinese and American Stock Markets--Based on DCC-GARCH and DCC-MIDAS Models

本文探究中美两国股票市场之间联动性的作用机制。通过实证研究发现中国和美国的股指收益率在所选样本区间内的确存在联动性。在不同的时间范围内,两国股市之间联动性的强弱有所差异,但大致呈同向变动,且长期联动比短期联动更稳定。全球范围内的重大事件及美国经济不确定性会对中美股市联动性产生显著影响,且后者为负向影响。

This paper explores the co-movement between Chinese and American stock markets.Through the empirical study,we fi nd that the stock index return rates of Chinese and American stock markets do have correlation in the selected sample range.In different time ranges,the correlation between the two stock markets is different but roughly in the same direction,and the long-term correlation is more stable than the short-term correlation.Major events in the world and economic uncertainty in the United States will also have a signifi cant impact on the co-movement of Chinese and American stock markets,and the latter has a negative impact.