CAJ | 학술논문

随着中国加入WTO，中国股市逐步融入全球资本市场。在金融危机席卷全球的背景下，研究中美股市的联动关系对于关注市场风险传染、维护国家金融安全有重要的参考价值。本文首先从“经济基础假说”和“市场传染假说”理论层面分析了股票市场联动的传导机制，然后以2001年12月12日到2009年1月23日上证指数与道琼斯指数的日交易数据为样本，分阶段检验了中美股市的联动特征。主要结论是：第一，中国股市与美国股市不存在长期的均衡关系，走势相对独立。第二，在价格和波动溢出方面，中国股市对美国股市的引导作用很弱。在QDII实施之后，美国股市对中国股市的开盘价和收盘价均有显著的引导作用，美国股市对中国股市的波动溢出呈现不断增强之势。第三，分位数回归显示出美股收盘收益率对上证开盘收益率的影响呈现U型曲线，在极端条件下美股变动对中国股市的冲击更显著。本文的研究结论具有稳健性。
수착중국가입WTO，중국고시축보융입전구자본시장。재금융위궤석권전구적배경하，연구중미고시적련동관계대우관주시장풍험전염、유호국가금융안전유중요적삼고개치。본문수선종“경제기출가설”화“시장전염가설”이론층면분석료고표시장련동적전도궤제，연후이2001년12월12일도2009년1월23일상증지수여도경사지수적일교역수거위양본，분계단검험료중미고시적련동특정。주요결론시：제일，중국고시여미국고시불존재장기적균형관계，주세상대독립。제이，재개격화파동일출방면，중국고시대미국고시적인도작용흔약。재QDII실시지후，미국고시대중국고시적개반개화수반개균유현저적인도작용，미국고시대중국고시적파동일출정현불단증강지세。제삼，분위수회귀현시출미고수반수익솔대상증개반수익솔적영향정현U형곡선，재겁단조건하미고변동대중국고시적충격경현저。본문적연구결론구유은건성。
The paper presents an empirical study to explore comovement between the stock market of China and US. The paper collects the open price and close price of Shanghai Stock Exchange Composite Index （SSEC） and Dow Jones Industrial Average Index （DJIA）. The samples are from December 12, 2001 to January 23, 2009. The samples are divided into four subsamples by important events, which are QFII, reformation of Renminbi＇s exchange rate, QDII. There exists no cointegration between the two markets. By fulfilling the Granger causality test and considering the non-synchronous trading problem, the results show that stock price changes in the US have remarkable impact on that in China at the latter part of the period. More specifically, price changes in the US can be used to predict the price of China＇s stock market on next day. Based on the DCC-Multiple GARCH model, the evidences show that there is stronger volatility spillover from US to Chinese stock market. Chinese stock＇s open return influenced by US close return is reflected as a left-down-and-fight-up U curve by using quantile regression model. The return relationships between the two stock markets are robust after using rolling windows techniques. Finally, some advices and policy suggestions are put forward.