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中国股票市场国际联动性研究
引用本文:李岸,粟亚亚,乔海曙.中国股票市场国际联动性研究[J].数量经济技术经济研究,2016(8):113-127.
作者姓名:李岸  粟亚亚  乔海曙
作者单位:湖南大学金融与统计学院;全国社会保障基金理事会,湖南大学金融与统计学院,湖南大学金融与统计学院
基金项目:本文受国家社科基金重点项目“我国清洁能源对传统能源替代的机制与政策研究”(14AGL016)的资助。
摘    要:本文选取2000~2015年全球40支股票指数日收盘价,通过建立收益率网络和DCC MVGARCH模型波动率网络对中国股票市场国际联动性进行实证分析。研究表明,随着经济全球化的加深,全球股市收益率和波动率联动逐渐增强;全球金融危机和欧债危机期间,收益率联动网络具有小世界性;中国与全球股市长期处于割裂状态,但在全球金融危机期间与其他市场联系加强。在全球经济形势复杂多变的情况下,中国应针对性采取措施促进股市发展,以分享全球金融一体化利益。

关 键 词:复杂网络  DCC  MVGRACH  股市联动

Co movement between Chinese and GlobalStock Market:A Network Approach
Li An,Su Yaya and Qiao Haishu.Co movement between Chinese and GlobalStock Market:A Network Approach[J].The Journal of Quantitative & Technical Economics,2016(8):113-127.
Authors:Li An  Su Yaya and Qiao Haishu
Institution:College of Finance and Statistics, Hunan University;NCSSF,College of Finance and Statistics, Hunan University and College of Finance and Statistics, Hunan University
Abstract:This paper investigates the co-movement between Chinese and global stock market using daily closing prices of the most representative 40 stock index from 4th January 2000 to 31st December 2015.The analysis utilizes the Pearson correlation network of return and the dynamic conditional correlation (DCC-MVGARCH) network of volatility. It revealed three significant findings. First, as the global economic integration deepening, the linkage of global stock market returns and volatility gradually increased. Second, during the global financial crisis and the European debt crisis, returns linkage network showed the characteristic of small world. Third, Chinese stock market has been in a state of isolation, except during the global financial crisis. China should take well-targeted measures to promote the stock market globalization and resist stock market risk facing the persistently complex and volatile economy worldwide.
Keywords:Complex Network  DCC-MVGRACH  Stock Market Linkage
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