基于金融周期视角下股票市场的联动效应研究

世界经济全球化已成为趋势,发达经济体的股市之间以及发达经济体与新兴经济体股市之间的联动性也在经济全球化的趋势中更加紧密。各国金融领域以及金融市场间的快速融合,不断形成统一规范的金融行为准则,也使得全球金融周期性特征越来越明显。文章选取世界五个主要股票市场指数为研究对象,按照已有研究对全球金融周期的划分,将该样本区间分成了繁荣期、衰退期和正常期三个阶段,然后基于这三个阶段分析了在不同金融周期五国股票市场指数收益率联动效应。基于实证研究结论,认为美国和欧洲股市联动性较强,与亚洲股市联动性相对较弱,且美国和中国股市之间联动性最弱,基本捕捉不到下尾相关。相关实证结论有利于国际投资者的投资组合管理,也有助于各国股票市场的风险规避。

Research on the Linkage Effect of Stock Market from the Perspective of Financial Cycle

The globalization of the world economy has become a trend.The linkage between the stock markets of developed economies and the stock markets of developed and emerging economies is also closer in the trend of economic globalization.The rapid integration of financial fields and financial markets in various countries has continuously formed a unified and standardized code of conduct for financial behavior,which has also made the global financial cyclical characteristics more and more obvious.This paper selects the stock market index of the United States,Britain,Germany,Japan and China as the research object.According to the predecessors division of the global financial cycle,the sample interval is divided into three stages:prosperity period,recession period and normal period.Then based on these three stages,the linkage effect of the index returns of the five countries in different financial periods is analyzed.Based on the empirical research conclusions,the US and European stock markets are relatively strong,and the linkage with Asian stock markets is relatively weak,and the linkage between the US and China stock markets is the weakest,and the bottom-end correlation is basically not captured.Relevant empirical conclusions are conducive to the investment portfolio management of international investors,and also help the risk aversion of stock markets in various countries.