中美股市价格收益波动关联性的研究  

The Research on the Relationship of Stock Price Volatility between China and the United States

作　　者：陈柳[1] 

机构地区：[1]安徽工业大学,安徽马鞍山243032

出　　处：《铜陵学院学报》2013年第4期38-40,共3页Journal of Tongling University

基　　金：安徽省"千人联合培养"资助项目(20120057)

摘　　要：随着经济和资本市场的全球化,各国股市之间的相互影响变得越来越大。为了研究中美股市自金融危机爆发后价格收益波动的关联性,可以选取上证综指和标准普尔500作为研究样本,绘出中美股市的走势图,研究两者的联动性,运用协整检验对上证综指和标准普尔500进行实证检验和分析。结果表明,中美股市价格收益波动存在一定程度的关联性。With the globalization of the economy and capital market, the interaction between the stockmarkets of different countries is becoming more and more strong. In order to study the relationship of stock price volatility between China and the United States in the sub-prime crisis, we select the Shanghai Composite Index and the S ＆ P 500 Index as the research sample to draw the graph of the stock market and study the correlation of the stock markets of the two countries. The co-integration test found that the Shanghai Composite In-dex and the S＆P 500 Index exists in a stable cointegration relationship.

关 键 词：中美股市 价格收益 波动 关联性 

分 类 号：F830.91[经济管理—金融学]