CAJ | 학술논문

随着世界经济一体化的推进和金融全球化的发展，国际资本市场间的联系愈发紧密，而研究最具成熟资本市场标志的美国股市与作为新兴市场代表的中国股市之间的联动关系具有重大意义。可以沪深300股指和道琼斯工业平均指数作为考察对象，利用协整检验考察中美两国股市的长期均衡关系，并运用Granger因果关系检验和DCC-GARCH 模型分析两股市在短期的收益均值和波动率溢出效应，进一步地，再用分位数回归分析研究极端情形下的股市联动性。研究结果表明，中美股市不存在长期均衡关系；在短期，美国股市对中国股市存在显著的均值溢出和波动溢出，且在极端情形下影响更为显著。
수착세계경제일체화적추진화금융전구화적발전，국제자본시장간적련계유발긴밀，이연구최구성숙자본시장표지적미국고시여작위신흥시장대표적중국고시지간적련동관계구유중대의의。가이호심300고지화도경사공업평균지수작위고찰대상，이용협정검험고찰중미량국고시적장기균형관계，병운용Granger인과관계검험화DCC-GARCH 모형분석량고시재단기적수익균치화파동솔일출효응，진일보지，재용분위수회귀분석연구겁단정형하적고시련동성。연구결과표명，중미고시불존재장기균형관계；재단기，미국고시대중국고시존재현저적균치일출화파동일출，차재겁단정형하영향경위현저。
With the development of world economic integration and financial globalization,the relationship between the international capital markets are more and more closely.So the research on the Co-movement between China’s and U.S.stock markets,which as a representative of the mature market and the emerging market respectively,is of great significance.Based on the CSI 300 and the Dow Jones industrial average index,the paper uses the co-integration test to examine long-term equilibrium relationship between two markets,and uses the Granger causality test and DCC-GARCH model to analyze the mean and volatility spillover effects of the stock markets in the short term.Further,by using the quantile regression to research the stock markets’co-movement on extreme circumstances.The empirical results indicate that there is no long-term equilibrium relationship between stock market of China and the U.S.,while in the short term,there is significant mean spillover and volatility spillover from U.S.to China’s stock market ,and the effect is stronger on extreme circumstances.