【作者】 靳莉莉；

【导师】 高莹；

【作者基本信息】 东北大学 ， 金融学， 2007， 硕士

【摘要】 随着经济一体化的迅速发展,世界经济逐渐趋同的现象及世界资金流动性加快的现象越来越突出,而且这种现象已在各国的证券市场上有所表现。一国股票市场是否与世界主要股票市场具有一定的关联性,也成为股票市场成熟程度的标志之一。从国际证券市场角度来看,在全球经济一体化的形势下,各国股票价格的关联程度也较以往更加紧密,主要股票市场指数呈现出越来越明显的共同趋势。由于沪深300指数这只统一两市指数的诞生,就可以用沪深300指数代表中国股票市场考察该指数与其他股票市场之间的关联性,以及世界主要股票市场指数之间的关联性,进而更准确反映国际证券市场之间的关联性。本文运用VAR模型、Granger因果检验、脉冲响应分析及Johansen协整检验对沪深300指数这只统一两市指数世界主要股票市场指数之间的关联性进行检验和分析。实证结果表明,主要股票指数中道琼斯指数和德国法兰克福指数对其他股票市场指数具有一定的决定性作用,金融时报指数,日经指数和恒生指数具有一定的影响力,澳大利亚股票指数受其他股票指数的影响较多,而且主要市场指数之间存在着长期的协整关系。在此基础上又得知沪深300指数与世界主要市场股票指数在短期有一定的关系,且与世界主要指数有长期的协整关系。世界主要市场股票指数中除日经指数外都对沪深300指数有较强的引导作用。从这些结论可以看出国际经济一体化的同时,国际证券市场也有一定的趋同性,美国和德国的证券市场对国际证券市场具有一定的影响力,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关联性,且受世界资本市场影响。更多还原

【Abstract】 As the rapid development of economic integrative, the phenomenon of the world’s economic integration and the expedition of world’s capital fluidness. It has been shown in the stock market that the economies all over the world have a same trend. It is the symbol of maturity of stock markets that the stock market of one country has relation with that of other countries. From the viewpoint of international security markets, the world’s primary stock markets have stronger relations among each other gradually. Because of the naissance of HS300 index, we can use the index study the relations of the world’s primary stock indexes. We can get well and truly relations of the world’s primary stock indexes.The paper tested and analyzed the relations between HS300 index and the world’s primary stock indexes by VAR model, Granger causality test, impulse response analysis and Johansen co-integration test. The empirical results indicate that HS300 index has short-term relations with the world’s primary stock indexes and long-term co-integration relations with the world’s primary stock indexes. The world’s primary stock indexes Granger cause HS300 index significantly except Nikkei Index. The Dow index and the Dax index in the world’s primary stock indexes have deciding force to other indexes. FTSE100 index, Nikkei225 index, Hang Seng index also have an effect in the world. Auland index is influenced by other indexes. As the rapid development of economic integrative, the world’s primary stock markets also incline to integrative. American stock market and Germanic stock market have more influence to the world’s stock market. Thus, China’s stock market has the same tendency with the world’s primary stock markets in a certain extent. The capital market in China possesses a linkage with the world’s capital markets and is influenced by them.更多还原