大中华经济区域股票市场联动性研究.pdfVIP

大中华经济区域的股票市场联动性研究i 西村友作ii 摘要：随着经济全球化的迅速发展，国际资本市场呈现出一体化趋势，证券价格的国际联动 关系日益显著。有鉴于此，本文主要着眼于中国港台湾股票市场之间的联动性，应用协整检 验与 Toda and Yamamoto(1995)提出的基于 LA-VAR 的Granger 因果检验对三者之间的关系进 行了实证分析。本文主要结论认为：（1）三者之间均不存在长期均衡关系；（2 ）中国与香港 股市之间存在单向关系；中国与台湾股市之间无因果关系。随着中国资本市场的逐渐开放， 证券价格的国际联动性亦将会提高，中国股市全球化的表现越来越突出。 关键词：股市联动性；LA-VAR ；协整 Empirical Analysis on the Stock Market Co-movement Relationship in the Chinese Economic Area Yusaku Nishimura Abstract: Along the way of globalization, cross-country capital market integration is underway and the co-movement of capital markets is becoming more evident. This paper mainly focuses on the co-movement relationship among the stock markets in the Mainland, Hang Kong and Taiwan. Utilizing the time series econometric techniques, such as co-integration test and Granger causality test based on the LA-VAR model proposed by Toda and Yamamoto (1995), the paper reveals some important features of the co-movement among these markets. The paper concludes that (1) there is no equilibrium relationship among the stock markets; (2) there is one-side relationship between the stock markets in the Mainland and Hang Kong and no relationship between the stock markets in the Mainland and Taiwan. Under the background of the implement of China’s “go-out” strategy, liberalization of international capital flow and enhancement of the market presence of foreign banks, China’s stock market index will commove with international stock market’s index and the integration process of international capital market will be further advanced. i 本文获得国家社会科学基金资助（08BJY155 ） ii 对外经济贸易大学 2006 级博士研究生（日本国家公派留学生）、通讯地址：北京市朝阳区和平街北口惠新 东街对外经贸大学 0 号楼 3203 房间、电话：010手机邮箱地址： xicun_youzuo@ 、研究领域：金融市场。 一、引言