摘要
为克服VAR、SVAR模型拟合优度较低的问题,选取中国股市三大股指(上海证券交易所综合股价指数、深圳证券交易所成份股股价指数及创业板指数)的日收益率平稳时间序列进行研究;选取中国新冠疫情大爆发期间的2020年1月20日作为分界点,分段研究疫情前后股市收益率的联动性变化。研究发现:在99%的置信度上,中国三大股指日收益率之间仅有当期影响;通过Chow突变点检验发现,疫情前后中国三大股指日收益率联动性发生了显著的变化,表明疫情对中国资本市场的影响是显著的、持续的;疫情发生后,上海证券交易所综合股价指数、深圳证券交易所成份股股价指数对其他两个指数的影响均加强,但创业板指数对上海证券交易所综合股价指数、深圳证券交易所成份股股价指数的影响减弱。
In order to overcome low goodness of fit of VAR and SVAR models,the stable time series of daily returns of the three major stock indexes of China’s stock market were analyzed,namely Shanghai Stock Exchange Composite Index,Shenzhen Stock Exchange Component Stock Index and GEM Index.January 20,2020,the day when the COVID-19 broke out in China,was taken as the dividing point to study the linkage changes of stock market returns before and after the epidemic.It was found that the current impact between the daily returns of the three major China’s stocks existed at 99%confidence;a Chow mutation point test showed that the linkage of the daily returns of China’s three major stocks had changed significantly before and after the epidemic,indicating that the significant and sustainable impact of the epidemic on China’s capital market;after the outbreak,Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Stock Index respectively had strengthened impact on the other two indexes,but the impact of GEM Index on Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Stock Index has weakened.
作者
刘惠惠
唐鹏鹏
LIU Huihui;TANG Pengpeng(College of Business,Liming Vocational University;Quanzhou Branch of Industrial Securities Co.,Ltd.,Quanzhou 362000,China)
出处
《黎明职业大学学报》
2023年第1期30-36,共7页
Journal of LiMing Vocational University
