【摘要】 随着互联网通信技术的发展,电子化金融交易机制为金融投资的全球化提供了信息平台。在金融全球化和经济全球化的大趋势下,全球证券市场的之间的相互影响不断加强,美国等发达国家和新兴经济发展中国家之间的证券市场联动性也在加强。在此背景下,选取G20成员国代表性股票的每日收盘数据作为研究对象,运用VAR模型中的Granger因果检验和非对称ARCH模型二种方法,比较了金融危机前后美国与其他G20成员国股市联动性的变化。二种模型的实证结果均表明:全球股指之间存在着明显的联动性。并基于以上实证结果得到了具体联动性分析结论的统计因果网络(SCN)图,即美国与各成员国的股指因果影响网络图。我们发现两种模型的SCN图基本一致,还从非对称ARCH模型得到的SCN比较了金融危机前后美国与其他成员国的基于均值和方差联动性关系。更多还原

【Abstract】 With the advent of Internet telecommunication technologies,electronic financial trading exchange mechanism has enabled the globalization of financial investment and trading.Under the big trend of economic and financial globalization,intermarket influence of international stock markets have become more and more significant.The dynamic linkage between developed economies such as USA and emerging developing economies have also been strengthed.This paper documents an investigation on the intermarket influences between the benchmark stock indices of the USA and 16 of G20 member countries on the daily basis.Two quantitative econometric models are used-VAR with Granger causality test and asymmetric ARCH model.Based on test results of these models,Statistical Causal Networks(SCN) are generated,representing the asymmetric statistical causal relationships between these stock indices.This approach is applied to two different periods:one before and one after the global financial crisis of 2007-2008.The results from the pre-and post-crisis periods are compared.The result of comparison turns out that the US stock market has become more vulnerable of impacts from other international stock markets.更多还原