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ci dai wei ji dui zhong mei gu shi lian dong xing de ying xiang fen xi
Author(s): 
Pages: 33
Year: Issue:  9
Journal: Economic Tribune

Keyword:  次贷危机股市联动性协整关系格兰杰因果检验;
Abstract: 本文实证研究了受次贷危机影响的中国内地股市、香港股市与美国股市之间的联动关系.研究结果显示,次贷危机前后中美股市三大股指间长期均衡关系和格兰杰因果关系均有所改变,次贷危机发生后的一段时间内不再有波动协同关系,沪深300股指充当了标准普尔500股指的先行指标.最后文章对所得结论进行了分析与解释,并得出一定启示.
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