CAJ | 학술논문

中美股市之间存在非同步交易问题,直接利用收盘价建模会得到偏误的结果,因此本文利用隔夜收益率和开市收益率对非同步交易下的中美股市信息传导模式进行研究。研究发现,两国股市开市收益率变化均表现出波动聚集特征,而且均只在开盘时对另一方市场的交易信息作出反应,其中,我国股市开盘时受到的美国股市的影响,大大强于我国股市对美国股市开盘的影响,并且随着次贷危机的发生,这种影响愈加明显。但中美两国股市开市交易期间的相互影响均不显著,不存在收益和波动性的信息传导关系。
중미고시지간존재비동보교역문제,직접이용수반개건모회득도편오적결과,인차본문이용격야수익솔화개시수익솔대비동보교역하적중미고시신식전도모식진행연구。연구발현,량국고시개시수익솔변화균표현출파동취집특정,이차균지재개반시대령일방시장적교역신식작출반응,기중,아국고시개반시수도적미국고시적영향,대대강우아국고시대미국고시개반적영향,병차수착차대위궤적발생,저충영향유가명현。단중미량국고시개시교역기간적상호영향균불현저,불존재수익화파동성적신식전도관계。
There are nonsynchronous trading problems between Chinese and American stock markets,which makes models directly using close indexes lead to errors,thus the paper researches information transmissions between Chinese and American markets under nonsynchronous trading with overnight and daytime returns.The results show that there exist volatility clustering effects in daytime returns of the two countries＇ stock markets,and each market only responds to the trade information of the other one when it opens.The effect that American stock market makes on the opening of Chinese stock market is much stronger than that Chinese stock market makes on the opening of American stock market,and this effect have been strengthen since the sub-prime crisis.But the mutual effects of Chinese and American stock markets between daytime trade periods are not significant,and there are not information transmissions in mean or in volatility.