摘要
为了克服传统格兰杰因果检验等方法在研究股市相依结构时存在的不足,文章构建了时变Copula-ARMANAGARCH模型,研究了中美股指及中国主要股指间的动态相依结构及其突变影响因素。研究发现,中国主要股指间的动态相依关系存在显著差异,中美两国主板间和创业板间的联动关系密切,其相依结构具有显著的突变特征。其中,国际因素对中美股指间的相依结构具有正向影响,对国内股指的相依结构影响不显著;国内因素对国内股指相依结构的影响是正向的,对中美股指间的相依结构影响是负向的,中美两国股票市场表现为非对称的相依结构。
To overcome the drawbacks of methods such as Granger causality test in analyzing the interdependence of stock markets,this paper employs the time-varying Copula-ARMA-NAGARCH to study the dynamic interdependence and mutation factors between China and U. S. stock indices. The empirical results show that the dynamic interdependence has significant difference between main indices in China,the interdependence structure has a significant mutation between China and U. S. markets,and the interdependence between main board and GEM board is close. The empirical results show that the degree of correlation is discrepant between main indices in China,the interdependence structure has a significant mutation between China and U.S. markets,and the interdependence between main board and GEM board is close. International factors generate positive impact on the interdependence between China and U. S. stock indices,but have no significant effect on the interdependence of domestic stock indices. Domestic factors have a positive impact on the interdependence of domestic stock indices,but have a negative effect on the interdependence between China and U. S. stock indices. This shows that China and U. S. stock markets have an asymmetric interdependence.
出处
《北京工商大学学报（社会科学版）》
CSSCI
北大核心
2016年第2期80-90,共11页
JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES
基金
国家自然科学基金项目"全球化条件下流动性冲击金融系统稳定的传导扩散机制及其监控研究"(71273048)
国家自然科学基金项目"资产价格波动与实体经济:影响机制及其动态均衡研究"(71473036)
