摘要
中美股票市场联动关系的正确认识,有助于从容应对复杂的国际国内形势,防范金融风险的传递。本文以中国上证综指和美国道琼斯工业平均指数为变量,选取2003年7月9日到2018年5月31日样本数据,考虑重大事件的影响,将数据分为三个阶段运用Copula函数进行分析,同时,也对中欧、中英、中日股市之间的联动性进行对比分析。研究发现,中美股市三个阶段之间的相关系数分别为0、3. 75%、14. 81%,表明其联动性在逐渐增强;中欧、中英的相关系数分别为18. 54%、16. 65%,表明其联动性高于中美股市,中日相关系数为13. 39%,要弱于中美股市的联动性。根据研究结论,提出金融监管以国际视野预警和防范金融风险,投资者的套利组合策略要充分考虑中国和发达国家股市逐渐增强的联动性,均衡发展同发达国家或地区的经济和贸易关系。
The correctly understanding of the relationship of the stock markets between China and the United States is conducive to calmly dealing with the complex international and domestic situation and preventing the transmission of financial risks. This paper took the Shanghai Composite Index and the Dow Jones Industrial Average Index as variables,chose the data from July 9,2003 to May 31,2018 as sample data,and took the impact of major events into account,then divided the data into three phases to be analyzed by Copula function. At the same time,the paper also makes a comparative analysis of the linkage of the stock markets between China and Europe,China and Britain,China and Japan. The study found that the correlation coefficients of the three stages between Chinese and the American stock market were 0,3. 75% and 14. 81% respectively,which reveal that the linkage had been gradually strengthening,the correlation coefficients between Chinese and European stock markets and between China and the United Kingdom are 18. 54% and16. 65%,respectively,which indicate that the linkage is higher than that between China and the United States. The correlation coefficient between China and Japan is 13. 39%,which is weaker than that between China and the United States. According to the conclusion of this study,it is proposed that financial supervision should be carried out by early warning from an international perspective and prevention of financial risks. The investors’ arbitrage portfolio strategy should fully consider the increasing linkage of the stock markets between China and developed countries,then economic and trade relations with developed countries or regions should be developed in a balanced way.
作者
曾胜
罗松
陈振国
ZENG Sheng;LUO Song;CHEN Zhen-guo(Yangtze Upriver Economic Research Center, Chongqing 400067, China;School of Finance, Chongqing Technology and Business University, Chongqing 400067, China)
出处
《重庆工商大学学报（社会科学版）》
2019年第3期13-20,共8页
Journal of Chongqing Technology and Business University：Social Science Edition
基金
国家社科基金项目(15BJL045)
关键词
COPULA函数
中美股市
联动关系
Copula function
the stock market of China and the United States
linkage relationship
