[1]张茂军a,b,吴小云a,等.中国股市和亚洲国家股市的联动效应研究[J].金融教育研究,2018,(01):16-25.
　ZHANG Maojuna,b,WU Xiaoyuna,et al.The Interaction Effect Study between Chinese Stock Market and Some Stock Markets in Asia Countries[J].,2018,(01):16-25.
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中国股市和亚洲国家股市的联动效应研究()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2018年01期
页码:
16-25
栏目:
金融理论探讨
出版日期:
2018-02-20

文章信息/Info

Title:
The Interaction Effect Study between Chinese Stock Market and Some Stock Markets in Asia Countries
文章编号:
2095-0098(2018)01-0016-10
作者:
张茂军a; b;  吴小云a; b;  秦文哲a; b
桂林电子科技大学 a.数学与计算科学学院; b.广西高校数据分析与计算重点实验室,广西 桂林 541004
Author(s):
ZHANG Maojuna; b;  WU Xiaoyuna; b;  QIN Wenzhea; b
a.School of Mathematics and Computing Science; b.Guangxi Colleges and Universities Key Laboratory of Data Analysis and Computation,Guilin University of Electronic Technology,Guilin,Guangxi 541004,China
关键词:
股票市场;  联动效应;  GARCH模型;  DCC-GARCH模型
Keywords:
stock market;  interaction effect;  GARCH model;  DCC-GARCH model
分类号:
F830.91
文献标志码:
A
摘要:
利用DCC-GARCH模型,研究中国与亚洲国家股票市场的联动效应。通过实证分析发现,中国股票市场与其他国家的股票市场之间具有较为明显的联动效应,其联动效应大小不同。中国股票市场与菲律宾股市联动效应最强,且长期处于正相关关系,其次是马来西亚、印度尼西亚、新加坡、韩国、新西兰、日本。除了日本股市,中国股市与其他国家的股票市场的动态相关系数大多数情况下呈现正相关关系。贸易作为经济基础的重要组成部分是中国和其他亚洲国家之间股市联动效应的主要原因之一,且贸易交易数量决定了股市之间联动效应的强弱。
Abstract:
The DCC-GARCH model is used to study the interaction effect between Chinese stock market and some stock markets in Asia countries.Through empirical analysis,China's stock market has an obvious interaction effect with other countries' stock market,and its interaction effect size is different.It is found that there is the strongest interaction effect between the Chinese stock market and the Philippine stock market,and the long term is positive correlation,followed by Malaysia,Indonesia,Singapore,Korea,New Zealand and Japan.In addition to the Japanese stock market,the dynamic correlation coefficient between China's stock market and other countries' stock markets is positively correlated in most case.As an important component of the economic foundation,trade is one of the main reasons for the interaction effect between China and other Asian countries,and the trade volume determines the strength of the interaction effect between the stock market.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2017-07-09
基金项目:国家自然科学基金项目(71461005); 广西创新项目资助(2016YJCX48,201510595264,YCSW2017143)
作者简介:张茂军(1977-),男,山西忻州人,博士,教授,研究方向为金融统计; 吴小云(1994-),女,广西南宁人,本科生,研究方向为金融统计; 刘庆华(1990-),女,广西平乐人,硕士研究生,研究方向为应用统计。
更新日期/Last Update: 2018-02-20