摘要
为了研究中美股市之间的相关性,笔者基于中国股票市场的上证综指和美国股票市场的标准普尔500指数数据,运用计量经济学工具进行分析。结果表明,中国股市与美国股市的相关性很弱,但是随着我国资本市场的不断发展与开放,中美股市之间的相关性越来越大。2006年以后,中美股市间存在长期均衡关系,具有协整性。由因果检验得知,美国股市波动导致我国股市变动,而我国股市波动对美国股市的影响很小。
In order to study the correlation of American and Chinese stock markets,the data of Shanghai composite index in Chinese stock market and the data of Standard Poor 500 index in American market are analyzed by the use of the econometrics tool.It is shown by the results that the correlation between American and Chinese stock markets is weak,but this correlation will become larger and larger with the continuous development and openness of China capital market.After the year 2006,there has been the long-term equilibrium relationship between two stock markets,having the co-integration.It is informed from the causality test that the volatility of American stock market usually leads to variety of Chinese stock market,while the volatility of Chinese stock market only has little effect on American stock market.
出处
《西安石油大学学报（社会科学版）》
2010年第4期27-31,共5页
Journal of Xi’an Shiyou University:Social Science Edition
关键词
股价指数
相关性
协整检验
stock price index
correlation
co-integration test
