中美股市股价间联动性分析

Dynamics of Integration between Shanghai Stock Market and Stock Market in America

摘要: 随着经济的发展和公众投资意识的兴起，越来越多的人开始了股市投资，而经济全球化也促使了各地股市的联动性，而除了国内间股市具有联动性外，国际股市间的联动性也同样具有不可忽视。在时间序列中，同阶单整的两组变量，可能具有协整关系，而两组平稳的变量通过格兰杰因果检验，可以判断两者间是否具有因果关系。本文对美国证券交易所及上海证券交易所的联动性进行研究，首先选择上证综合指数和纳斯达克综合指数作为两个证券交易所的代表，对他们的单整阶数进行计算，接着判断两者间是否存在协整关系。通过计算后可得到两个指数的每日收益率，证明他们的平稳性，并通过格兰杰因果检验判断不同阶数滞后是否有因果关系之后，使用脉冲响应分析，最后经过异方差检验后，使用VAR模型(向量自回归模型)建模得出相应的模型。

Abstract: As the time went by, the economy has been developing and an increasing number of people begin to focus on investment, which leads to the dynamics of integration among different stock markets. Those problems on stock market become more and more important. In addition to the dynamics of integration between Shenzhen Stock Market and Shanghai Stock Market, the dynamics of inte-gration among international stock market are of great importance. Learnt from knowledge on Ap-plied Econometric Time Series, same order mono may have cointegration effect. If two time series are both stable, we can check whether the two time series have cause-and-effect relationship. This article will focus on the dynamics of integration between Shanghai Stock Market and Stock Market in America, Shanghai Composite Index and National Association of Securities Dealer Automated Quotations are chosen to represent two stock market prices. Then the order of the mono is calcu-lated and the result of cointegration will be judged. After calculating the Daily Yield Rate and proving that they are steady, Granger Causality Test can be used to test whether the Daily Yield Rate of Shanghai Composite Index and National Association of Securities Dealer Automated Quota-tions have cause-and-effect relationship. At last Unit Root Test, Vector Autoregressive Model can be built.