“大中华经济圈”股市联动性分析  

Co-movements of the Stock Markets of Shanghai,Shenzhen,Hongkong and Taiwan

作　　者：吴立广[1] 黄珍[1] 

机构地区：[1]暨南大学,广州510632

出　　处：《广东外语外贸大学学报》2010年第6期30-34,共5页Journal of Guangdong University of Foreign Studies

基　　金：广东省哲学社会科学规划基金项目的资助(项目编号:06E15)

摘　　要：本文采用2003年1月—2010年1月的股市指数,对大中华经济圈内的沪深港台四个股市的联动性进行了分析,研究了它们的相关性及其变化趋势,同时运用Granger因果检验及GARCH模型分析了收益和波动溢出效应。实证结果表明,沪深股市与香港的相关性低于沪深之间的相关性,沪深股市与台湾股市的相关性更低,意味着沪深与港台间的投资组合将优于沪深两市间的投资组合,沪深与台湾股市的投资组合更优于沪深与香港的投资组合。此外,港台股市都对沪深股市存在收益和波动溢出,但香港的溢出效应比台湾的溢出效应更明显。This paper is intended to analyze the co-movements of the stock markets of Shanghai,Shenzhen,Hongkong and Taiwan by examining the correlations as well as the return and volatility spillover with Granger causality test.The findings indicate that the correlation between Shanghai（and Shenzhen） and Hong Kong market is lower than that between Shanghai and Shenzhen market,and that the correlation between Shanghai or Shenzhen and Taiwan market is even lower.In addition,the stock markets of Shanghai and Shenzhen are influenced by both Taiwan and Hongkong market but are more obviously influenced by the latter,in terms of return and volatility spillover.

关 键 词：相关性 波动溢出 GRANGER因果关系检验 

分 类 号：F830.91[经济管理—金融学]