次贷危机后的中、美股市联动性分析

采用协整分析和向量自回归(VAR)模型,对上证综指和美国道指之间的联动性进行了实证研究。研究结果发现:在股权分置改革以后至金融危机发生以前,中、美两国股市存在联动关系;危机以后,中、美两国股市相对独立。从整体上看,截至目前为止中、美两国股市无显著的长期动态均衡关系,中国股市也无力引领美股。

China and American stock market relative analysis in subprime crisis

In this paper,we use co-integration analysis and vector auto-regression （VAR） model to test if there＇s a linkage between the Shanghai Composite and the U.S Dow Index.The results shows that：there was such a linkage between the two countries＇ stock markets among the time when china＇s share merger reform began to the time when the world＇s financial crisis broke out;after the crisis,China and the U.S.stock markets are relatively independent.Overall,China and the U.S.stock markets so far has no significant long-term dynamic equilibrium relations.