金融危机影响下中、美股市联动效应分析  

作　　者：熊美懿[1] 刘传哲[1] 

机构地区：[1]中国矿业大学管理学院,江苏徐州221008

出　　处：《特区经济》2010年第4期117-118,共2页Special Zone Economy

摘　　要：本为选取2005年初至2009年末的标准普尔500指数和沪深300指数,以次贷危机为界分为两个时间段,分别检验中、美股市的联动效应。结论表明,中、美股市波动存在联动效应,但金融危机减弱了中、美股市的长期共同趋势,并使联动效应的传导机制发生变化。在金融危机之后,中国股票市场与美国股票市场趋向分离。This paper selected the standard poor＇s 500 and ShanghaiShenzhen 300 indexes from the year 2005 to 2009, then divided the samples into two parts on the basis of The subprime mortgage crisis, Finally testified the connected effect between the Chinese and American stock market. The conclusion shows： the connected effect did exist, but the Financial Crisis weakended the common tendency and changed the transmission mechanism of the connected effect. After all, the connected effect between the Chinese and American stock market reduced.

关 键 词：金融危机 联动效应 协整检验 

分 类 号：F224[经济管理—国民经济] F831.51F832.51