我国股票市场指数与国际股票市场主要指数的联动性研究——基于协整分析

本文对2002—2009年中国股票市场与国际主要股票市场的每日收盘数据进行统计分析,运用相关性检验、协整检验和格兰杰因果关系检验实证了上证综合指数、深圳成分指数分别与香港恒生指数、道.琼斯指数、日经225指数、法国CAC40指数和伦敦金融时报指数之间存在相关、协整关系。进一步研究我国股票市场与国际股票市场的联动性,结果表明,国际股票市场对我国股票市场的影响越来越明显。这表明中国股票市场日趋成熟,逐渐与相对完善的国际股票市场接轨。

Study on Linkage between Chinas Stock Market Index and Main Index for International Stock Market:Based on Cointegration Analysis

This paper uses the daily closing data from main international stock markets and China＇s stock market from 2002 to 2009,and empirically investigates the correlations between Shanghai Composite Index as well as Shenzhen Component Index,and Hang Seng Index,Nikkei 225 Stock Index,Dow-Jones Index,Financial Times Index and French CAC40 index by the correlation test,cointegration test and Granger causality test.The results shows that Shanghai Composite Index and Shenzhen Component Index correlate and cointegrate respectively with Hang Seng Index,Dow-Jones Index,Nikkei 225 index,Financial Times Index and French CAC40 index.And the further research shows that the impacts of international stock market on China＇s stock market become increasingly evident,which indicates that China＇s stock market becomes more mature,and consistent gradually with international stock markets.