国际证券市场联动程度的实证分析

20世纪80年代以来,通过国际证券投资分散风险已经形成一种可行手段,然而,随着全球经济一体化趋势的强化,国际证券市场也正在经历着一体化趋势,证券市场联动关系越来越明显,这必然会使国际投资多样化空间变小,进而会侵蚀掉国际多样化投资收益.有鉴于此,本文使用协相关参数分析、平稳性检验、多元协整检验、协整向量参数零配载限制检验、基于VECM的Granger因果性检验等计量技术测度国际证券市场联动程度,为国际证券投资提供量化参考.

The Empirical Study on the Degree of International Stock Market Co- movements

Since 1980s, the international security investment has been a teasible way to diversify risks. But with the integration of world economy followed by the same trend of international security markets, the co- movement of different stock markets seems to be more and more significant. This phenomenon will shrink the return space of international diversification. So this paper measures the degree of international stock markets co- movements using the methods of correlation, unit root test, co- integration test, zero - loading coefficient restriction test, Granger test based on VECM, in order to offer quantity references for international stock investment.