中国A股市场与世界主要股市的非对称相依性  

Asymmetric Dependence between the Chinese A Stock Market and the World's Major Stock Markets

作　　者：陈建宝 禚铸瑶[3] 崔振 CHEN Jian-bao;ZHUO Zhu-yao;CUI Zhen(Marco-economic Research Center,Xiamen University,Xiamen 361005,Fujian;College of Mathematics &Informatics,Fujian Normal University,Fuzhou 350117,Fujian;School of Economics,Xiamen University,Xiamen 361005,Fujian;Beinjing Bond Financing Department,Haitong Securities Co.,Ltd.,Beijing 100033,China)

机构地区：[1]福建师范大学数学与信息学院,福建福州350117 [2]厦门大学宏观经济研究中心,福建厦门361005 [3]厦门大学经济学院,福建厦门361005 [4]海通证券股份有限公司北京债券融资部,北京100029

出　　处：《厦门大学学报（哲学社会科学版）》2018年第6期62-73,共12页Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)

基　　金：国家社科基金项目"半参数变系数空间自回归模型的理论及应用研究"(16BTJ018);教育部人文社会科学重点研究基地重大项目"集聚经济下的中国地方政府财税行为研究"(15JJD790029);福建省自然科学基金项目"几类新的变系数空间自回归模型的估计和应用研究"(2017J01396);福建省高校创新团队培育计划;福建师范大学创新团队(IRTL1704)

摘　　要：当前,中国市场正逐步成为全球最重要的股票市场之一,中国A股市场与国际股票市场之间的联系变得越来越紧密,各市场间的相互关系也变得越来越复杂。基于Zheng等(2012)提出的广义相关测度(GMC),可实证研究中国A股市场与世界主要股票市场(美国、英国、德国、日本和中国香港)之间的非对称相依性。结果表明:中国A股市场与世界主要股票市场间呈现出显著的非对称相依性。整体而言,外围股票市场对中国A股市场的影响强于中国大陆股票市场对外围股票市场的影响;但随着时间的推移,中国A股市场与世界主要股票市场间的相依性正逐步加强,且对外围股票市场的影响能力亦在增强。Using the generalized measurement of correlation (GMC)proposed by Zhang et.al (2012),we study the asymmetric dependence between the Chinese A stock market and the world's major stock markets (the U.S.,Britain, Gennany,Japan and Hong Kong).The research results show that there exists significant asymmetric dependence between Chinese A stock market and the world's major stock markets.Overall,the influence of periphery stock markets on the Chinese A stock market is stronger than the influence the other way around.However,the dependence between China's stock market and the world's major stock markets has gradually strengthened with the passage of time,and the influence of China's stock market on periphery stock markets is also on the rise.

关 键 词：A股 股票市场 广义相关测度 非对称相依性 

分 类 号：F830.91[经济管理—金融学]