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dc.contributor.author游家兴
dc.contributor.author陈珍珍
dc.contributor.author郑挺国
dc.date.accessioned2012-12-27T07:25:59Z
dc.date.available2012-12-27T07:25:59Z
dc.date.issued2010-02
dc.identifier.citation厦门大学学报(哲学社会科学版),2010(2):21-28zh_CN
dc.identifier.issn0438-0460
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/14109
dc.description.abstract作为一个兼具经济一体化和股市快速发展双重特征的经济体,中国可以作为一个很好的研究样本来考察经济一体化与股市联动性二者之间的动态关系。运用多元GARCH模型和向量自回归模型剖析经济一体化对股市联动性所起的作用,结果表明,在1991至2007的17个年份中,在中国经济一体化进程的推进下,中国、美国和中国香港三地股市的联动性越来越强,中国证券市场日益溶入全球资本市场。进一步的研究还发现,金融自由化、贸易自由化和经济趋同化三个维度对股市联动性的影响具有差异性。Abstract:China, as an economy characterized by both economic integration and rapid development of stock markets, is an ideal sample for the study of dynamic relations between economic integration and stock market linkages. Looking into the impact of economic integration on stock market linkages through GARCH modeling and vector autoregression modeling, we conclude that during the 17 years between 1991 and 2007, with the impetus provided by China. s economic integration, linkages between stock markets in China, the USA and Hong Kong have become stronger and that China. s stock markets are increasingly integrated into the global capital market. Our evidence also confirms that three dimensions, i. e. financial liberalization, trade liberalization and economic convergence, influence stock market linkages differently.zh_CN
dc.description.sponsorship国家自然科学基金重点项目“公司财务管理若干基础问题研究”(70632001);国家统计科学研究计划项目“经济一体化统计测度及其对金融危机传染影响研究”(2009LY087)zh_CN
dc.language.isozhzh_CN
dc.publisher厦门大学学报(哲学社会科学版)2010(2)zh_CN
dc.subject经济一体化zh_CN
dc.subject金融自由化zh_CN
dc.subject贸易自由化zh_CN
dc.subject经济趋同化zh_CN
dc.subject市场联动性zh_CN
dc.subjecteconomic integrationzh_CN
dc.subjectfinancial liberalizationzh_CN
dc.subjecttrade liberalizationzh_CN
dc.subjecteconomic convergencezh_CN
dc.subjectmarket linkagezh_CN
dc.title经济一体化与证券市场联动性——基于相关经验数据的分析zh_CN
dc.title.alternativeEconomic Integration and Stock Market Linkages:Analysis of the data based on relevant experiencezh_CN
dc.typeArticlezh_CN


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