中外股市波动及连动效应研究:1990～2005

与海外成熟市场相比较,中国证券市场仍属于新兴市场。使用C-GARCH模型探讨中国证券市场、海外成熟证券市场1990～2005年15年间的波动状况,运用脉冲响应函数分析中国证券市场与海外证券市场之间的连动效应,我们得出如下结论:无论在长期还是短期,中国证券市场波动都趋向于平缓,但趋近平衡的速度仍低于海外成熟市场。而且,中国证券市场对外部冲击的抵抗能力要低于海外成熟市场,市场整体稳定性亟需进一步增强。

The Volatility of Linkage of Stock Market in China and Foreign Countries: 1990-2005

Compared with mature overseas counterpart,China's stock market is still of emerging market.After examining through C-GARCH the volatility of stock market in China and foreign countries from 1990 to 2005 and analyzing the linkage between the two with the help of impulse response function,this paper concludes that both in long and short term,the volatility of China's stock market is becoming increasingly mild,though the speed of approaching equilibrium is still smaller than mature foreign markets.What's more,the resistance of China's stock market against external impact is not as strong as its foreign counterpart and the overall market stability has to be further improved.