国际证券市场联动程度实证分析_陈漓高.pdfVIP

# 124 # 数量经济技术经济研究2006 第11 期 国际证券市场联动程度的实证分析 1 1 2 陈漓高 吴鹏飞 刘 宁 ( 11 南开大学国际经济研究所; 21 中国人民银行营业管理部) 20 世纪80 代以来, 通过国际证券投资分散风险已经形成 一种可行 手段, 然而, 随着全球经济一体化趋势的强化, 国际证券市场也正在经历着一体化 趋势, 证券市场联动关系越来越明显, 这必然会使国际投资多样化空间变小, 进而 会侵蚀掉国际多样化投资收益有鉴于此, 本文使用协相关参数分析平稳性检 验多元协整检验协整向量参数零配载限制检验基于VECM 的Granger 因果 性检验等计量技术测度国际证券市场联动程度, 为国际证券投资提供量化参考 国际证券市场 基于VECM 的Granger 因果性检验 联动 协整 F83115 A The Empirical Study on the Degree of International Stock Market Co movements Abstract: Since 1980s, the international sec rity investment has been a feasible w ay to diversify risks1 B t w ith the integration of w orld economy follow ed by the same trend of international sec rity markets, the co movement of different stock markets seems to be more and more significant1 T his phenomenon w ill shrink the ret rn space of international diversification1 So this paper meas res the degree of international stock markets co movements sing the methods of correlation, nit root test, co integration test, zero loading coefficient restriction test, Granger test based on VECM , in order to offer q antity references for international stock investment1 Key ords: International Stock M arkets; Granger T est Based on VECM ; Comovement; Co integration , : , , , , 国际证券市场联动程度的实证分析 # 125 # ( International CAPM , IntCAPM ) ( Inter- national Arbitrage Pricing T heory, IAPT ) , Stehle ( 1977) IntCAPM Err nza Losq ( 1985) Cho, E n Senbet ( 1986) IAPTBekaert Harvey ( 1995) IntCA PM , , , , , , ,