QFII及QDII制度引入后的中美股市联动性研究  

The Study on the Stock Market Co-movement between China and America after the Introduction of QFII and QDII

作　　者：潘文荣[1] 刘纪显[1] 

机构地区：[1]江西财经大学金融与统计学院,江西南昌330013

出　　处：《江西财经大学学报》2010年第1期5-10,共6页Journal of Jiangxi University of Finance and Economics

摘　　要：中国股市最近几年得到了迅速的发展,特别是2002年11月QFII制度及2006年4月QDII制度引入后,中国股市与国际主要股市的联动性也随之增强。美国股市作为全球最发达的股市,对中国股市与美国股市间的联动性研究具有重要的意义。通过采用相关分析和单位根、协整、格兰杰因果检验、误差修正模型等方法对中美股市在QFII及QDII制度实施后的联动性进行研究,研究结果表明,中国股市与美国股市之间的联动性正在逐步加强,投资者可以根据双方的股市的变化来预测股市的发展趋势。这一结论进一步表明,如何应对危机、保持中国股市的稳定已成为政策制定者迫切需要解决的课题。China stock market has been witnessing fast development in recent years,particularly since the introduction of QFII in November,2002 and of QDII in April,2006.Accordingly,the international comovement between the Chinese stock market and the major international stock markets is increasing.As the world’s most developed stock market,the American stock market has great significance in terms of the research on the international co-movement between the Chinese stock market and the major international stock markets.Using the correlation analysis,the unit-root test,the co-integration test and the Granger-causality test,the paper makes an analysis of the co-movement between China stock market and the American market after the introduction of QFII and QDII.It is found that the co-movement relationship is steadily increasing and that the investor can predict the trend of the market according to the fluctuations of the co-movement markets,which suggests that it is an imperative issue now for the decision-makers to find out how to handle the stock market crisis and maintain the stability of Chinese stock market.

关 键 词：联动性 中美股市 QFII QDII 

分 类 号：F830.91[经济管理—金融学]