金融危机下沪深股市联动性的实证研究

An Empirical Analysis of Co-Movement for Shanghai and Shenzhen Stock Markets under the Financial Crisis

张虎(Hu Zhang) ； 黄婧(Jing Huang)

《Journal of Data Analysis》 6卷2期 (2011/04) Pp. 1-18

https://doi.org/10.6338/JDA.201104_6(2).0001

摘要

本文以沪深两地股票市场指数数据为样本，对沪深股市之间的联动效应进行了检验且分“牛市”与“熊市”两个阶段对危机前后进行了对比分析。首先，建立了VAR模型利用协整检验、格兰杰因果检验、脉冲响应函数、误差方差分解等方法分析了沪深股市收益率的联动关系；其次，利用向量GARCH和格兰杰因果检验方法检验了沪深股市的波动的溢出效应。结果显示，我国沪深股票市场收益率的联动性很大，且存在不对称效应表现为沪市处于主导地位，此次危机对两市的联动性有所加强。沪深股市的收益率之间的影响不对称，“牛市”里两市之间存在双向的均值溢出效应。而在“熊市”阶段却只存在沪市对深市的单边均值溢出效应，且沪市波动对自身和深市的贡献都很大，而反过来深市波动对自身和沪市的贡献都很小。

關鍵字

联动性 ； 格兰杰因果检验 ； 脉冲响应 ； 方差分解 ； 溢出效应

並列摘要

This paper use the index data of Shanghai and Shenzhen stock market to examine the co-movement between this two markets. We separately examine the co-movement in the stage before and after this financial crisis and make a comparative analysis between the two stages. First, we examine the rates co-movement of the two markets based on VAR models, Co-integration test ,Granger causality test, the Impulse response function and Variance decomposition. Then, we test the volatility spillover effects of Shanghai and Shenzhen Stock Market based on VGARCH models and Co-integration test. As the results show, the rates linkage of the two markets is strong and exist asymmetric effect. Shanghai market occupy the dominant position. This financial crisis strengthen the linkage between the two markets. In bull market, the rates linkage is two-way, but is one-way in bear market. The contribution of the variance of Shanghai stock market is significant both in bull market and bear market, but the contribution of Shenzhen stock market is not significant.

並列關鍵字

co-movement ； Granger causality test ； Impulse response function ； Variance decomposition ； Spillover effect

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