【摘要】 运用VAR模型、Granger因果检验、脉冲响应分析及Johansen协整检验对沪深300指数和世界主要股票市场指数的关联性进行检验和分析。实证结果表明,沪深300指数与世界主要市场股票指数存在短期相关关系,且与除日经指数以外的其他世界主要指数存在长期协整关系。世界主要市场股票指数对沪深300指数有较强的引导作用。因此得出我国股票市场指数与主要市场指数有一定的趋同性,我国资本市场与世界资本市场具有一定联动性,且受世界资本市场影响的结论。更多还原

【Abstract】 The paper tests and analyzes the linkage between Hushen300 and the primary foreign market stock indices by VAR model, Granger causality test,impulse response analysis and co-integration test.The empirical results indicate that the main stock market indices have a strong causal effect on the Husheng300 index,and there is a short-term correlation.Long-term co- integration relations also exist between them except for Nikkei Index.The primary foreign market stock indices have a strong causal effect on Husheng300 index.Thus,China′s stock market and the primary foreign stock markets have some identical tendencies.China′s capital market and the primary foreign capital markets have linkage and China′s capital market is also influenced by the global capital market.更多还原