摘要
通过多变量协整理论 ,检验香港股票市场和世界上主要的股票市场—美国、英国股票市场的联动关系。结果表明 ,在 1 993年 1月至 1 995年 1 2月期间 ,香港市场与这些世界主要发达国家市场存在着弱的协整关系 ;而在 1 999年 6月至 2 0 0 2年 5月 ,香港股市与美、英股市之间不存在着协整关系。这一结果意味着分散投资于美、英市场与香港市场存在着长期的获利机会。
This article examines linkages between the Hong Kong stock market and the major world stock markets of the US and the UK, by estimating the multivariate cointegration model. In this study, the Hong Kong stock market was found to be at least weakly cointegrated with the major developed markets over period of 01/01/1993 to 29/12/1995, but more interestedly there is no cointegration between them over the period of 01/06/1999 to 31/05/2002. These results seem in line with the fact that the Hong Kong market has some structural change before and after the 1997 power transfer, which ensure the robustness of the methodologies. The fact that the US and the UK market are not pairwise cointegrated with the Hong Kong market, implies that there exist potential long-run benefits in risk reduction from diversifying in US and UK stocks and Hong Kong stocks without sacrificing too much on investment returns.
出处
《华北科技学院学报》
2004年第2期97-100,共4页
Journal of North China Institute of Science and Technology
关键词
香港股市
美
英股市
联动性
Hong Kong stock market
stock markets of the US and the UK
Linkages
