【摘要】：從20世紀(jì)80年代以來，金融自由化和經(jīng)濟(jì)一體化使得國際資本流動趨勢愈發(fā)明顯。股票市場歷來被稱為國民經(jīng)濟(jì)的“晴雨表”，作為金融市場的重要組成部分，往往會在一定程度上以股票價格的聯(lián)動性對世界經(jīng)濟(jì)的波動作出反應(yīng)。20世紀(jì)90年代初，中國的上海證券交易所和深圳證券交易所先后正式成立。此后經(jīng)過二十余年的發(fā)展，滬深兩市迅速壯大并在我國的金融市場中占據(jù)十分重要地位。2007年以來，次貸危機(jī)先是在美國境內(nèi)爆發(fā)開來，后來演變?yōu)閲?yán)重的金融危機(jī)，并引發(fā)了去全球范圍內(nèi)的經(jīng)濟(jì)衰退，導(dǎo)致全球資本市場的極大波動，我國作為新興的發(fā)展中國家之一，對外開放程度不斷提高，因此也在本輪金融危機(jī)中受災(zāi)嚴(yán)重。 本文以金融危機(jī)為時代背景，在總結(jié)和學(xué)習(xí)國內(nèi)外學(xué)者相關(guān)研究的基礎(chǔ)上，對股市聯(lián)動性的基礎(chǔ)理論進(jìn)行了闡述，并對中美股市聯(lián)動的內(nèi)在機(jī)理進(jìn)行詳細(xì)分析，依據(jù)金融危機(jī)爆發(fā)到席卷全球再到各國應(yīng)對危機(jī)的全過程進(jìn)行時間分段，運用VAR模型、ADF檢驗、Johansen檢驗、Granger因果檢驗、脈沖響應(yīng)函數(shù)以及方差分解等，對上證綜指和標(biāo)普500指數(shù)進(jìn)行系統(tǒng)的實證分析，，并結(jié)合理論分析得出結(jié)果。 在金融深化和信息科學(xué)技術(shù)高度發(fā)達(dá)和迅速發(fā)展的今天，金融危機(jī)對中國大陸和美國股市的影響是不可小覷的。從金融危機(jī)以來，兩國股市聯(lián)動性大大加強(qiáng)，數(shù)次出現(xiàn)劇烈震蕩行情，這與我國資本市場的不斷開放和發(fā)展離不開，但金融危機(jī)的影響更是難以逃脫干系。本文就中國大陸和美國股市間聯(lián)動性的研究隨尚有缺陷，但希望能為我國資本市場的未來發(fā)展方向和成熟完善提供參考。
[Abstract]:Since 1980's, financial liberalization and economic integration have made the trend of international capital flow more obvious. The stock market has always been called the barometer of the national economy. As an important part of the financial market, it often responds to the fluctuation of the world economy with the linkage of the stock price to a certain extent. China's Shanghai Stock Exchange and Shenzhen Stock Exchange have been formally established. After more than 20 years of development, the Shanghai and Shenzhen stock markets have grown rapidly and occupied a very important position in our financial market. Since 2007, the subprime mortgage crisis has first erupted in the United States and then turned into a serious financial crisis. And caused the global economic recession, leading to the global capital market fluctuations, China as one of the emerging developing countries, the degree of opening to the outside world continues to improve, so also in this round of financial crisis seriously affected. Taking the financial crisis as the background of the times, on the basis of summarizing and studying the relevant research of domestic and foreign scholars, this paper expounds the basic theory of stock market linkage, and analyzes in detail the internal mechanism of the stock market linkage between China and the United States. According to the time segment of the whole process from the financial crisis breaking out to the whole world and then to the countries to deal with the crisis, the VAR model is used to test the Johansen test of Granger causality, impulse response function and variance decomposition, etc. The empirical analysis of Shanghai Composite Index and S & P 500 Index is carried out systematically, and the results are obtained by combining the theoretical analysis. With the financial deepening and the highly developed and rapid development of information science and technology, the impact of the financial crisis on the stock market in mainland China and the United States cannot be underestimated. Since the financial crisis, the linkage between the two countries' stock markets has been greatly strengthened, and several times have seen violent fluctuations, which is inseparable from the continuous opening and development of China's capital markets, but the impact of the financial crisis is even more difficult to escape. In this paper, there are still some defects in the study of the interaction between Chinese mainland and American stock markets, but we hope to provide a reference for the future development and maturity of China's capital market.
【學(xué)位授予單位】：蘇州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F837.12

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