中美股市联动的时变效应研究——基于突发公共危机视角  

The Time-varying Effect of China and US Stock Market Interaction:A Perspective of Unexpected Public Crisis

作　　者：段黛玮 沙文兵[1] DUAN Daiwei;SHA Wenbing(School of International Economics and Trade,Anhui University of Finance and Economics,Bengbu,Anhui 233000)

机构地区：[1]安徽财经大学国际经济贸易学院,安徽蚌埠233000

出　　处：《上海立信会计金融学院学报》2023年第3期31-43,共13页Journal of Shanghai Lixin University of Accounting and Finance

基　　金：国家社会科学基金重点项目(16AJL012)。

摘　　要：新型冠状病毒感染疫情的暴发重创全球实体经济,世界各地金融市场也出现异常剧烈波动。在全球化和人民币国际化的背景下,A股与全球股市的联系日益紧密。新冠疫情的暴发呈现区域不对称性与时间不同步性,文章采用DCC-MGARCH和TVP-SV-VAR两个时变系数模型,分析2020年1月-2022年4月的中美股市联动效应。研究发现,中美股市联动存在显著时变特征,且在疫情初期双向风险溢出较强;中国暴发疫情时期,中美股市出现反向挂钩,而在美国暴发疫情时期,中美股市正向响应;港股和离岸人民币市场有助于防范国际金融市场风险输入。在后危机时代,突发公共危机依然有暴发的可能性。因而,我国在持续推进资本市场开放中,需始终秉持宏观审慎的原则,防范外部风险输入。The outbreak of COVID-19 pandemic has had a devastating impact on the global economy and financial markets.Under the background of globalization and RMB internationalization,the connection between the A-share market and global stock markets is growing closer.The outbreak of the pandemic is characterized by regional asymmetry and temporal asynchronicity.Therefore,the paper uses two time-varying coefficient models(DCC-MGARCH and TVP-SV-VAR),to analyze the China-US stock market linkages from January 2020 to April 2022.It is found that the China-US stock market linkages exhibit significant time-varying characteristics.In the early stage of the pandemic,the two-way risk spillover was strong.During the outbreak of the pandemic in China,the China-US stock markets exhibited a negative correlation,while during the outbreak of the pandemic in the United States,the two markets responded positively.The Hong Kong stock market and the offshore RMB market can help to prevent the spillover of risks from international financial markets.Thus,in the post-crisis era,there is still a possibility of the outbreak of sudden public crises.Therefore,China needs to always uphold the principle of macroprudential regulation in the process of continuous opening up of capital markets,and prevent the spillover of external risks.

关 键 词：中美股市联动 新冠疫情 时变效应 金融风险 人民币国际化 

分 类 号：F832.51[经济管理—金融学]