经济与管理研究
經濟與管理研究
경제여관리연구
Research on Economics and Management
2012年
12期
91~101
,共null页
动态相关性 股市制度 FDI 双边贸易 金融危机
動態相關性 股市製度 FDI 雙邊貿易 金融危機
동태상관성 고시제도 FDI 쌍변무역 금융위궤
Dynamic Correlation ; Stock Market System ; FDI ; Bilateral Trade ; Financial Crisis
本文运用DCC—GARCH模型，考察了中国股市与亚洲、北美和欧洲3个区域24个经济体股市间的动态相关性。研究发现中外股市的动态相关性有增强趋势，且与亚洲市场的相关性水平高于其他区域市场。在此基础上利用面板数据回归模型，探讨了影响中外股市动态相关性的主要因素。基本结论是，中国股市制度越完善，市场越开放，中外股市相关性就越强。FDI因素和双边贸易因素则会减弱中外股市的相关性。亚洲金融危机期间，中国股市走势相对独立。次贷危机和欧债危机期间，中外股市相关性有所增强。
本文運用DCC—GARCH模型，攷察瞭中國股市與亞洲、北美和歐洲3箇區域24箇經濟體股市間的動態相關性。研究髮現中外股市的動態相關性有增彊趨勢，且與亞洲市場的相關性水平高于其他區域市場。在此基礎上利用麵闆數據迴歸模型，探討瞭影響中外股市動態相關性的主要因素。基本結論是，中國股市製度越完善，市場越開放，中外股市相關性就越彊。FDI因素和雙邊貿易因素則會減弱中外股市的相關性。亞洲金融危機期間，中國股市走勢相對獨立。次貸危機和歐債危機期間，中外股市相關性有所增彊。
본문운용DCC—GARCH모형，고찰료중국고시여아주、북미화구주3개구역24개경제체고시간적동태상관성。연구발현중외고시적동태상관성유증강추세，차여아주시장적상관성수평고우기타구역시장。재차기출상이용면판수거회귀모형，탐토료영향중외고시동태상관성적주요인소。기본결론시，중국고시제도월완선，시장월개방，중외고시상관성취월강。FDI인소화쌍변무역인소칙회감약중외고시적상관성。아주금융위궤기간，중국고시주세상대독립。차대위궤화구채위궤기간，중외고시상관성유소증강。
By using DCC - GARCH model, this paper studies the dynamic correlation between and 24 stock markets from Asia, North America and Europe. We find that the dynamic correlation foreign stock markets is increasing, and the correlation between China＇s and Asian market is higher China＇s stock market between China＇s and than other markets＇. Then we use panel data regression model to explore the influence factors of this correlation. The more perfect and open China＇s stock market system is, the stronger the correlation is. But FDI and bilateral trade weaken it. We also find that during the Asian financial crisis, China＇s stock market performed relatively independent, while the correlation between China＇s and Foreign stock markets has been enhanced during the subprime mortgage crisis and the European debt crisis.
