我国股票市场与国际市场的联动性研究——对次贷危机时期样本的分析

本文通过构建回归模型,考察了次贷危机前后我国股票市场与世界股票市场联动性的动态变化过程,并且与巴西股票市场进行了比较分析,从而对我国市场与国际市场的互动进行了客观的评价。实证结果表明,总体上我国股票市场与国际市场的联动性不强,并且时而为"即期联动",时而为"滞后联动",联动方式不确定。然而,次贷危机发生后.我国与国际市场的联动性有逐渐增强的趋势,尤其是与英国、香港地区等市场的联动在不断提高。这主要是由于次贷危机使国内外投资者的预期形成机制和投资理念发生了变化。

A Study on Linkage between China and Foreign Stock Markets

By constructing regression model,this paper focuses on the dynamic process and mechanism of the linkage between China's stock market and markets worldwide during recent sub-debt crises.It also takes the Brazilian market as a counterpart for comparison,by which we can make an objective estimation on the interaction between the markets native and abroad.According to the empirical results,our market has generally a weak correlation with the international markets. Sometimes the correlation appears to be"spot-linked"while sometimes to be"lag-linked",which means the correlations fluctuates over time.However,after the sub-debt crises outbreak,the correlation between our market and markets abroad seems to be strengthened,especially with markets of Britain and Hong Kong.And the paper attributes such trend to the change of native and foreign investors'expectation formation mechanism and investment philosophy.