摘要
对2005年以来中国股市与汇市间的关联性进行实证研究,全样本分析结果支持了"股票导向理论",即我国股市对外汇市场存在着显著的单向外溢效应,包括收益外溢、冲击外溢、波动外溢、股市对汇市的非对称交叉外溢。但是,基于子样本的研究结果表明,我国股市与汇市间的上述外溢效应在金融危机前后发生了显著的变化:金融危机前支持流量导向理论,而金融危机后支持股票导向理论,这种变化与金融危机后国际资本更加注重在全球范围内优化配置资产密不可分,这客观上增强了我国股市与汇市的关联性。
this paper investigates the relationship between exchange rate and stock market in China.While the results based on whole sample support the 'stock oriented theory',ie. there exist uni-directional spillover effects from SM to FEM,including return spillover,shock & volatility spillover and cross-market spillover,the analysis based on two sbusamples divided by the brokeout of financial crisis turns out different significantly before and after Oct 18,2007. Specifically,the pre-crisis subsample analysis supports 'flow oriented theory',but the after-crisis subsample analysis confirms the 'stock oriented theory '. The above change reflects the spread of international diversification of asset allocation which in turn increases the interdependence between exchange rate and stock market in China.
出处
《暨南学报（哲学社会科学版）》
CSSCI
北大核心
2015年第7期143-154,164,共12页
Jinan Journal(Philosophy and Social Sciences)
基金
辽宁省教育厅科学研究一般项目<公司治理视角下辽宁省上市公司技术创新能力计量分析>(批准号:W2015047)
辽宁工程技术大学工商管理学院预研基金项目<新常下中国股市汇市与房市间的时变关联性研究>(批准号:15gsyy02)
