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中美股市联动性研究 被引量:6

A Study on the Linkage of China-U.S. Stock Market
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摘要 2018年以来,中美股市共振效应明显加强,股市相关性显著提升。中国股票市场的走势,尤其是开盘价的波动幅度,在很大程度上受到前一日夜间美国指数走势的影响。本文研究2013年以来中美股市之间的联动性变化,以期为提前预判我国股票市场的涨跌提供一定的参考,从而及时采取有效措施维持市场的平稳有序,确保资本市场健康发展。 Since 2018, the resonance effect of China-US stock markets has been significantly strengthened, and their correlation has remarkably improved. The trend of the Chinese stock market, especially the volatility of the opening price, was largely influenced by the trend of the US index the night before. Through data description and quantitative empirical research, this paper explores the linkage between China and the US stock markets since 2013, provides reference to predict the rise and fall of China's stock market, so as to take effective measures to maintain a stable market sequence in time and ensure the healthy development of the capital market.
作者 李怡芳
出处 《金融市场研究》 2018年第8期1-9,共9页 Financial Market Research
关键词 联动性 波动率指数 实证检验 Linkage Volatility Index Empirical Test
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