亚太地区股票市场的联动程度——基于次级贷冲击的研究

本文从长期关系、短期作用和方差分解方面,分析了次级贷危机前后亚太股市的联动程度。首先,协整检验表明,亚太股市存在长期均衡关系,但这种关系在次级贷危机前后发生了明显的结构转变。其次,Granger非因果检验表明,亚太股市在次级贷危机后,市场间短期作用大大加强。再次,我们定义了单个市场联动程度判断准则,并且结合方差分解发现,亚太地区股市在次级贷危机后单个市场独立性显著降低。总体而言,亚太地区股市在次级贷危机之后联动程度进一步加强,支持弱分割市场理论;美国股市是地区股市领导者;日本股市变化最大,次级贷危机后,市场独立性变得最弱;中国大陆股市也不断融入区域市场。建议政府和投资者对于本国(本地区)之外的实体经济和股市风险都要密切关注。

The Comovement of Asia-Pacific Stock Markets:A View on Subprime Loan Crisis

The paper analyzes the comovement of Asia-Pacific stock markets during pre-and-post subprime loan crisis period based on long-term relationship, short-term action and variance decomposition. Firstly, the cointegration test shows that there is a long-term equilibrium relationship in the region, and the relationship has a significant structure break after the crisis. Secondly, the Granger non-causality test shows that the short-term action in the markets has been enhanced greatly after the crisis. Thirdly, it introduces a criterion of comovement degree of single market, and employs the criterion with variance decomposition to analyze the markets, which indicates that the independence of the markets are significantly lower after the crisis. Overall, the comovement degree of Asia-Pacific stock markets has been further strengthened after the crisis, and the results support the weak segmented market hypothesis. Moreover, the US stock market is the regional leader, the Japan stock market, whose independence is the weakest, has the greatest change, and the Chinese mainland stock market has also been integrated into the regional markets. Governments and investors should pay attention to outside risks of real economy and stock market.