人民币国际化背景下中国—东盟股市动态收敛性研究  

Dynamic Convergence of the China-ASEAN Stock Market in the Context of RMB Internationalization

作　　者：蔡幸[1] 李小好[2] Cai Xing;Li Xiaohao(School of Finance and Insurance,Guangxi University of Finance and Economics, Nanning,Guangxi 530001 ,China;Central University of Finance and Economics,Beijing 100081,China)

机构地区：[1]广西财经学院金融与保险学院,广西南宁530001 [2]中央财经大学金融学院,北京100081

出　　处：《金融经济学研究》2019年第2期139-146,共8页Financial Economics Research

基　　金：国家社会科学基金重点项目(14AJY022);广西高等学校数理金融高水平创新团队及卓越学者计划(桂教人【2014】号);广西哲学社会科学规划研究项目(13EJL001)

摘　　要：基于2010年9月1日至2017年12月30日数据,运用滚动的多变量协整技术对人民币国际化启动以来中国与东盟五国股票市场之间动态收敛性进行的检验发现,中国与东盟国家股市一体化进程具有明显的时变特征。迹检验结果发现,人民币国际化启动之初,其国际化进程较快,中国与东盟国家股市动态收敛性呈现增强趋势;人民币国际化进程遇挫之后,中国与东盟国家股市动态收敛性明显减弱。速度调整系数表明,伴随人民币国际化进行的一系列国内金融改革和开放在一定程度上促进了中国与东盟国家股市动态收敛性的增强。基于此,为了深化中国-东盟区域金融合作,有必要加快推进人民币国际化进程,探索国际资本市场联通与监管的国际合作。Based on data for the period from September 1,2010 to December 31,2017,this study employs a rolling multivariate cointegration approach to examine the dynamic convergence of the stock markets of China and five countries from the Association of Southeast Asian Nations(ASEAN) since the launch of RMB internationalization.The results show that the stock market integration of China and the ASEAN countries exhibits significant time-varying characteristics.The RMB internationalization process was rapid in the beginning,and the dynamic convergence of the Chinese and ASEAN stock markets shows an intensifying trend.After the RMB internationalization was set back,the dynamic convergence of these stock markets weakened significantly.The speed adjustment coefficient indicates that a series of domestic financial reforms and the RMB internationalization strengthened the dynamic convergence of the aforementioned stock markets,to some extent.Therefore,in order to deepen the financial cooperation between China and the ASEAN countries,it is necessary to accelerate the process of RMB internationalization and explore interconnection and cooperation of supervision between international capital markets.

关 键 词：人民币国际化 滚动协整 动态收敛性 

分 类 号：F832.5[经济管理—金融学]