地缘经济割裂是否改变了国际股票市场联动性?

Has Geopolitical Economic Fragmentation Altered International Stock Market Comovement?

在当前地缘经济割裂的背景下,国际股票市场的运行面临新的挑战和变数。为了深入探讨全球经济在资本市场是否呈现分化态势,文章采用ARMA-GJR-GARCH模型并结合广义Granger因果检验,对全球18个主要股票市场之间的信息溢出效应进行了实证研究,测量信息溢出的传递方向和网络效率,旨在理解国际股票市场在当前环境下的联动性。研究结果显示,在地缘经济割裂的影响下,国际股票市场依然保持其特有的联动性。这种关联性呈现出传染性和依赖性两个维度,并且呈现多层面的特征。在均值溢出方面,亚洲股市对欧美股市的传染性较小,主要表现为依赖性;在方差溢出方面,美国股市仍然是金融风险传播的源头,而中国A股市场逐渐成为亚洲信息溢出的中心。值得注意的是,地缘经济割裂并没有改变这些关联性的基本格局。对于整体市场联系而言,国际股市之间的均值溢出效率和方差溢出效率存在着动态波动。这种波动不仅表现为长期的均值依赖性和危机时期短期的方差传染性,还呈现出均值溢出效率和方差溢出效率的周期性波动。这些研究结果揭示了国际股票市场在地缘经济割裂背景下的韧性,同时也凸显了全球经济在金融市场上仍然相互依赖的事实。这些经验发现为制定投资策略、进行风险管理以及推动全球经济治理提供了有益的指导。

In the current context of geopolitical economic fragmentation, the operation of international stock markets faces new challenges and uncertainties. In order to delve into whether the global economy is showing a trend of differentiation in capital markets, this paper employs the ARMA-GJRGARCH model combined with generalized Granger causality tests to empirically study the information spillover effects among18major global stock markets. The study measures the transmission direction and network efficiency of information spillover, aiming to understand the interconnectivity of international stock markets in the current environment. The research results indicate that, under the impact of geopolitical economic fragmentation,international stock markets still maintain their distinctive interconnectivity. This interconnectivity exhibits dimensions of contagion and dependence,displaying a multi-faceted nature. In terms of mean spillover, Asian stock markets show less contagion to European and American stock markets,mainly manifesting as dependence. On the other hand, in terms of variance spillover, the U.S. stock market remains the source of financial risk transmission, while the Chinese A-share market gradually becomes the center of information spillover in Asia. It is worth noting that geopolitical economic fragmentation has not altered the fundamental patterns of these interconnections. Regarding overall market linkage, there is dynamic fluctuation in mean spillover efficiency and variance spillover efficiency among international stock markets. This fluctuation is characterized not only by long-term mean dependence and short-term variance contagion during crisis periods but also by periodic fluctuations in mean spillover efficiency and variance spillover efficiency. These research findings reveal the resilience of international stock markets under the backdrop of geopolitical economic fragmentation, highlighting the ongoing mutual dependence of the global economy in financial markets. These empirical discoveries provide valuable guidance for formulating investment strategies, risk management, and advancing global economic governance.