中国同发达国家及金砖国家股市联动性比较研究  

Comparative Study on the Linkage of Stock Marketsbetween China and Developed Countries and Brics Countries

作　　者：冯永琦[1] 赵佳楠 FENG Yong-qi;ZHAO Jia-nan(School of Economics, Jilin University, Changchun Jilin 130012)

机构地区：[1]吉林大学经济学院,吉林长春130012

出　　处：《湖南财政经济学院学报》2020年第2期13-23,共11页Journal of Hunan University of Finance and Economics

基　　金：国家社会科学基金项目“‘一带一路’背景下离岸人民币海外循环机制研究”(项目编号:17CJY063)。

摘　　要：随着中国对外开放程度的不断加深,中国与境外金融市场的关联程度也在不断加深。通过GARCH-BEKK模型,以2008年全球金融危机和沪港通开通为两个节点,分三个阶段对2005年5月股权分置改革开始至2018年11月期间中国股市同金砖国家以及主要发达国家股市之间的联动关系进行分析。研究结果表明:主要发达国家股市对中国股市波动溢出效应呈现不断增强趋势,但中国股市对主要发达国家股市的波动溢出效应稍呈现减弱趋势;金砖国家股市与中国股市之间波动溢出效应呈现不断增强趋势;2008年全球金融危机和沪港通开通对中国与这些国家股市联动关系也产生一定影响。在中国金融市场开放过程中,应时刻不忘防范外部市场带来的金融风险,并提升中国金融市场对国际市场的影响力。As China's degree of opening up to the outside world continues to deepen,China's connection with overseas financial markets has also deepened.Through the GARCH-BEKK model,taking the global financial crisis in 2008 and the opening of the Shanghai-Hong Kong Stock Connect as two nodes,the reform of the split-share structure from May 2005 to November 2018 has been carried out in China,and also the analysis on the linkage relationship between developed country stock markets.The results show that the major spillover effects of the stock markets of major developed countries on China’s stock market have shown an increasing trend,but the volatility spillover effects of Chinese stock markets on the stock markets of major developed countries have shown a slight weakening trend.The global financial crisis and the opening of the Shanghai-Hong Kong Stock Connect in 2008 also affected China's linkage with the stock markets of these countries.In the process of opening up the Chinese financial market,we must always keep in mind the financial risks brought by external markets and enhance the influence of Chinese financial markets on the international market.

关 键 词：股市联动性 金砖国家 发达国家 波动溢出效应 GARCH-BEKK模型 

分 类 号：F831.6[经济管理—金融学]