金融自由化、贸易强度与股市联动——来自中美市场的证据  

Financial Liberalization,Trade Intensity and Stock Market CoMovement——Evidence from the Stock Markets in China and the U.S.

作　　者：龚金国[1] 史代敏[2] 

机构地区：[1]西南财经大学统计学院 [2]西南财经大学

出　　处：《国际金融研究》2015年第6期85-96,共12页Studies of International Finance

基　　金：国家社会科学基金青年项目(12CTJ007);国家自然科学基金面上项目(71171166);教育部人文社会科学研究西部和边疆地区项目(11XJC910001);中央高校基本科研业务费重点研究基地项目"金融数量研究中心"(JBK120405)的阶段性成果

摘　　要：本文从金融自由化、贸易强度、市场传染等理论角度分析了股票市场联动性的内在机制,并进行了实证检验。结果表明,中国金融自由化不是中美股市联动的原因,反而还具有微弱的抑制作用;贸易强度是中美股市联动的主要因素;随着贸易强度的不断增加,中美股市从过去的"彼此独立"阶段过渡到近几年的"相互依存"阶段,或许正是由于中国金融自由化微弱的阻碍作用,使得中美股市的联动性还处于相对较低的正相依水平。This paper investigated the co-movement of stock markets through a comprehensive discussion of the effectfrom financial liberalization, trade intensity and market contagion. The results show that trade intensity is the maindeterminant of the co-movement between China and the U.S, while the financial liberalization, surprisingly, exhibits aninsignificant negative effect to the correlation. Further, with the increase of the trade intensity between China and the U.S,there is an increasingly strong correlation between the two stock markets. Nevertheless, the dependence between these twomarkets is low, which might be caused by the negative effect from the financial liberalization.

关 键 词：中国金融自由化 贸易强度 股票市场联动 

分 类 号：F831[经济管理—金融学]