中、印、美股市联动差异性研究  

Difference of Co-movement Effect among China,India,the US Stock Market

作　　者：雷钦礼[1] 陈晓蒙[1] 

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《统计与信息论坛》2017年第4期41-50,共10页Journal of Statistics and Information

基　　金：国家社会科学基金重点项目<技术进步偏向及其效应的统计测算与计量经济分析>(13ATJ001)

摘　　要：基于扩散视角和跳跃视角探究了中、印、美股市联动行为。基于扩散视角,美国和印度股市与中国股市有明显的单向收益溢出效应,中美之间有明显的波动溢出效应,但是中印之间却不存在这种关系。从非对称影响的结果来看,只存在印度股市和美国股市与中国股市单向的非对称影响。基于跳跃视角,中印、中美股市的平均跳跃幅度和平均方差贡献率,与其跳跃强度相比联动性更高,中印联合跳跃比率相关系数和中美联合跳跃比率相关系数都处于较高水平,同时稳健性检验的结果表明结论整体具有一致性。Based on the diffusion perspective and jump perspective,we explore China,India,the US stock market co-movement effect,including spillover effects and co-jump behavior of China,India,the US stock market.Based diffusion perspective,the United States and India and China stock markets have significant return spillover effects,a significant volatility spillover effect between China and the US,but China and India did not have the relations.From the results of the asymmetric effect point of view,the Indian stock market and the US stock market have only one-way asymmetric impact of on Chinese stock markets.Based on the jumps perspective,the average jump amplitude and mean variance contribution rate of China and India as the same with the average jump amplitude and mean variance contribution rate of China and the US stock market is strong compared to the strength of jump,the joint jumping ratio correlation coefficient between the Indian stock market and the China stock market as big as the US stock market and the China stock market.

关 键 词：BEKK 股市联动性 波动溢出 收益溢出 联合跳跃 

分 类 号：F114.4[经济管理—国际贸易]