“一带一路”沿线国家(地区)股市联动性研究  

The Research on the Linkage of Stock Markets along the Belt and Road Initiative

作　　者：刘光彦 王秋梅 LIU Guang-yan;WANG Qiu-mei(Shandong Technology and Business University,Yantai 264005,China)

机构地区：[1]山东工商学院金融学院,山东烟台264005

出　　处：《山东工商学院学报》2021年第1期68-78,102,共12页Journal of Shandong Technology and Business University

摘　　要：随着全球经济交流不断加深,各国股票市场之间的联动性也在不断增强。采用DCC-GARCH模型对“一带一路”沿线17个国家(地区)股市在2000年1月5日至2019年5月23日期间的联动性进行研究。研究结果表明,中国香港地区与内地股市的动态相关系数最高,其次是新加坡、马来西亚、印度尼西亚、菲律宾和俄罗斯,而印度、斯里兰卡、拉脱维亚、罗马尼亚、以色列、波兰、立陶宛、爱沙尼亚、黎巴嫩等国家与中国股市的联动性低。对于股市之间联动性的研究,为投资人在全球范围内进行资产配置、在股票市场分散投资、规避风险提供了很好的参考。随着“一带一路”倡议的不断完善以及中国资本市场的对外开放不断深入,未来中国与“一带一路”沿线国家的股市联动性会进一步增强。With the deeper communication of the global economy,the linkages have been enhanced constantly between the stock markets of various countries. This paper uses the DCC-GARCH model to study the linkage between the stock markets of 17 countries(regions) along the "Belt and Road" between January 5, 2000 and May 23, 2019. The results of the study show that Hong Kong, China, and the mainland stock market have the highest dynamic correlation coefficients, followed by Singapore, Malaysia, Indonesia, Philippines, and Russia. However,lower linkage is shown for India, Sri Lanka, Latvia, Romania, Israel, Poland, Lithuania, Estonia, Lebanon with China’s stock market.The research on the linkage between the stock markets provides a good reference for investors to allocate assets globally, diversify investments in the stock market, and avoid risks. With the continuous improvement of the "Belt and Road" initiative and the deepening of China’s capital market opening up, the linkage between China and the countries along the "Belt and Road" will be further strengthened.

关 键 词：“一带一路” 联动性 股票市场 风险传染 

分 类 号：F830.91[经济管理—金融学]