中美股市波动的联动性的实证分析  

The Analysis of Volatility Co-movement Relationship between Chinese Stock Market and American Stock Market

作　　者：王文磊[1] 胡日东[1] 

机构地区：[1]华侨大学商学院,福建泉州362021

出　　处：《莆田学院学报》2008年第4期40-44,共5页Journal of putian University

基　　金：福建省自然科学基金项目(S0650016)

摘　　要：用二元GARCH模型的方法建立了中美股票市场的波动模型,考察了中美两个股票市场从2002—2007年间的股指波动的联动性问题。结果显示:随着中国经济的不断开放,中国的股票市场的波动和美国股票市场的波动存在递增的联动性,且中国股票市场的波动对美国股票市场的波动的单方面影响尤其显著。分析了产生这种结果的原因。This paper uses bivariate-GARCH model to analyze the co-movement relationship between Chinese stock market and American stock market over the period of 2002 to 2007. The paper shows that with the development of China＇s economy, the correlation of the volatility between the two stock markets is an increased process, and furthermore, the unilateral effect from Chinese stock market＇s volatility to American stock market＇s volatility is notable. Based on the fact it also offers relevant suggestions.

关 键 词：中美股市 波动 联动性 二元GARCH 

分 类 号：F830.91[经济管理—金融学]