摘要
本文从因果关系的角度研究了中美股市之间的引导关系和动态特征,并通过设计格兰杰-F检验考察了股市联动的经济基础和传染现象。研究发现:2007年以后,美国股市对中国股市具有显著的引导关系;并且,美国股市的石油化工、原材料和金融行业对A股市场的相关行业具有独立于市场指数之外的引导关系;美国股市对中国股市的引导关系通常能够被经济基础所解释,但在2008年10月至2009年1月期间,美、中股市之间发生了传染现象。
This study examines the time-varying Comovement between the US and China stock markets.We find that the Granger Causality relation from the US to China is significant,and sector-specific shocks exhibit extra Causality relation for the Oil & Gas,Basic Materials,and Financials sectors.Although the Comovement between stock markets can generally be explained by economic fundamentals during the sample period,we find some evidence of contagion from Oct.2008 to Jan.2009.
出处
《金融评论》
2012年第5期70-77,124,共8页
Chinese Review of Financial Studies
关键词
股市
联动
传染
Stock Market
Comovement
Economic Fundamentals
Contagion
