CAJ | 학술논문

通过一般状态空间模型和VECM验证了东亚两大经济大国之间的股价指数的波动关系,为国际分散投资提供参考.通过对上证综合指数,上证B股指数和日经股票指数分时期进行单位根检验,结果表明一阶差分平稳,是一阶单整列,可以作协整分析.并且通过对其卡尔曼滤波进行线递推计算,以自适应方式跟踪时序列变化,利用残差进行VECM的计算,其结果表明只有上证B股对日经Topix有单向影响.
통과일반상태공간모형화VECM험증료동아량대경제대국지간적고개지수적파동관계,위국제분산투자제공삼고.통과대상증종합지수,상증B고지수화일경고표지수분시기진행단위근검험,결과표명일계차분평은,시일계단정렬,가이작협정분석.병차통과대기잡이만려파진행선체추계산,이자괄응방식근종시서렬변화,이용잔차진행VECM적계산,기결과표명지유상증B고대일경Topix유단향영향.
This paper introduces a General State Space Model to explain the co - movement of Japan's stock and China's stock volatility. Chinese markets trade A- shares for domestic investors and otherwise identical B-shares for foreign investors. For A-shares, we find that volatility declined steadily over the decade.Relative to world markets, we find no asymmetric volatility effect in China and less volatility persistence for B- shares. And, contrary to the global trend of increasing cross- country correlations, we find stationary correlations for the Chinese markets. A- shares indices never correlated with world markets and for B - shares indices, we find constantly low correlation with Japan (0-5%).