摘要
运用2002—2017年股指收益率样本,借助时差进行研究设计,考察中国股市与世界主要股市的动态相关性,进而分析中国股市国际影响力的变化。研究结果表明:由于开盘收盘之间存在较长的时差,中国股市对欧美股市的影响主要表现为前者收盘对后者开盘的影响;中国股市的国际影响力存在明显的阶段性变化。总体而言,近年来中国股市的国际影响力逐渐增强。结合历史事件、世界形势等背景分析发现:早年间中国股市国际影响力的变化主要受到金融危机、欧债危机等重大事件影响,近年来中国股市国际影响力的增强主要是中国经济世界影响力不断提升、中国股市不断发展壮大等因素所致。
Using the data of stock index returns during 2002-2017,this paper studies the dynamic correlation between China’s stock market and other major stock markets in the world by means of time difference and then analyzes the changes in international influence of China’s stock market. We have the following results.(1)Due to the long time difference,the impacts of China’s stock market on European and American stock markets are mainly reflected in the impacts of the former’s closing on the latter’s opening;(2)the international influence of China’s stock market exhibits substantial changes during different periods,and is by and large increasing;(3)In light of historical events,the world situation and other factors,it is found that the changes in the international influence of China’s stock market in early years was mainly affected by major events such as financial crisis and debt crisis,while its increase in recent years results from China’s economic growth and the development of China’s stock market.
出处
《东南大学学报（哲学社会科学版）》
CSSCI
2019年第3期53-63,147,共12页
Journal of Southeast University(Philosophy and Social Science)
基金
国家自然科学基金(71301072)
教育部人文社会科学研究一般项目(17YJC79006)阶段性成果
