摘要
随着世界经济一体化,全球股市逐步呈现彼此联动的态势。不论是短周期波动、中周期波动,还是长期趋势,上证综指与道琼斯指数在各层对应波动成分间都存在着统计显著的双向Granger因果联动机制。不论是短线投机还是长期投资,投资者都很难通过在中美两国资产组合配置获得风险降低的好处。从联动作用机制来看,中美股市间不仅存在着"经济基础效应",而且存在"市场传染效应"。中美股市间的全面联动对我国相关监管部门关于金融风险防范,保障我国金融安全提出了更高的要求。
The integration of global economy has prompted the comvements of stock markets in the world.In terms of short-term,medium-term fluctuations or long-term tendency,there exists a significant bidirectional Granger causality and comovement mechanism in the various frequencies between Shanghai Stock Exchange Composite Index(SSEC) and Dow Jones Industrial Average Index(DJIA).Whether it is short-term speculation or long-term investment,investors can hardly benefit from asset allocation and portfolio by reducing risks.From the perspective of comovement mechanism,there are correlations between China and the US stock markets in terms of both economic base effect and contagion effect.The comovement between China and U.S stock markets poses greater demands on management and supervision department in areas of financial risk management and financial security.
出处
《福州大学学报（哲学社会科学版）》
CSSCI
北大核心
2012年第2期36-44,112,共9页
Journal of Fuzhou University(Philosophy and Social Sciences)
基金
福建省社会科学规划项目(2010C010)
福州大学科技发展基金社科育苗基金项目(09SKY01)
福州大学引进人才基金项目(022246)
