外围股市、能源、黄金和汇率对上证指数的影响  

Determinant Factors of Shanghai Stock Market

作　　者：陈洁[1] 张定胜[1] 

机构地区：[1]中央财经大学中国经济与管理研究院,北京100081

出　　处：《首都经济贸易大学学报》2011年第6期43-51,共9页Journal of Capital University of Economics and Business

基　　金：教育部科技创新工程重大项日培育资金项目<信息在金融市场中传导机制的仿真和建模分析>(项目编号708015)

摘　　要：随着中国加入WTO、QDII和QFII实施以及人民币汇率机制形成,中国资本市场与国际资本市场之间的联系日益紧密。文章选取2005～2011年上证综指、道琼斯工业指教、美国原油期货价格、美国黄金期货价格和美元与人民币汇率的日收盘价作为研究对象,运用GJR-GARCH模型,研究外围股市、能源、黄金期货和汇率对上证综指日收益率的影响。结果表明,上证综合指数收益股价收益率存在不对称现象,但不存在杠杆效应。美国股市和美国原油价格对上海股市存在正向影响,黄金期货收益序列的波动性与上证综指的均值收益负相关,美元/人民币汇率收益与上证综指波动率负相关。With China＇s accession into the WTO, the implementation of QDII ＆ QFII, and the establishment of RMB exchange rate mechanism, China＇s capital market and international capital market has been closing togeth- er. In this case, it is necessary to study effect of the periphery stock market, the international commodity futures and the U. S. dollar against the RMB exchange rate on China＇s stock market. Selecting SSEC index, CL Crude Oil Light Sweet, GC Gold 100 Troy Oz. COMEX and the U. S. dollar/RMB exchange rate during 2005 -2011, we u- ses GJR - GARCH model to study their relationship. We find SSEC returns exists asymmetry, but no leverage effects. The United States stock market and the energy price have positive influence on the Shanghai stock mar- ket. Gold futures return volatility has negative influence on the SSE Composite index SSEC mean return. The U. S. dollar/RMB exchange rate returns has negative influence on the SSE Composite index volatility too.

关 键 词：股票市场 联动 溢出效应 

分 类 号：F832[经济管理—金融学]