摘要
本文阐述了美国次贷危机影响A股市场的传导机制,并选取对数化的道琼斯工业平均指数、红筹股指数、上证指数为变量,以2007年1月5日～2008年10月24日为期间,通过相关性分析、单位根检验、协整关系检验和基于VECM的格兰杰因果关系检验,结果发现,危机期间的美国股市、香港股市与A股市场之间存在协整关系,而且美国股市是香港股市和A股市场的格兰杰原因,同时,香港股市是A股市场的格兰杰原因。本文认为,美国次贷危机引发了包括中国在内全球资本市场深度调整,在全球资本市场高度联动性的背景下,积极构建国内资本市场长效稳定机制,是防范金融危机的重要举措。
First the paper analyses the conduction mechanism of the effect on A-share market of U. S sub-prime mortgage crisis;Afterwards takes the logarithm of DJIA, HSCCI, and SHI as variables and from 5 January. 2007 to 24 October 2008 as analysis phase, Conducts correlation test, unit root test, co-integration test and granger causality test based on VECM, concluding that U. S stock market, HK stock market and A-share market existed co-integration relation during the period. Furthermore, U. S stock market is granger causality of HK stock market and Ashare market, and that HK stock market is granger causality of A-share market.. Last the paper deems that The out- break of U. S sub-prime mortgage crisis initiated deep adjustment of global capital markets. The important measurements to safeguard financial crisis is to construct long-effective stable mechanism of domestic capital market under the background of high linkages of global capital markets.
出处
《经济管理》
CSSCI
北大核心
2010年第2期18-23,共6页
Business and Management Journal ( BMJ )
基金
国家社科基金重大项目"构建金融稳定的长效机制:基于美国金融危机的政治经济学分析"(08&ZD035)
关键词
次贷危机
联动
A股
引导
sub-prime mortgage crisis
co-movement
A-share
guide
