【摘要】：本文闡述了美國次貸危機(jī)影響A股市場的傳導(dǎo)機(jī)制,并選取對(duì)數(shù)化的道瓊斯工業(yè)平均指數(shù)、紅籌股指數(shù)、上證指數(shù)為變量,以2007年1月5日～2008年10月24日為期間,通過相關(guān)性分析、單位根檢驗(yàn)、協(xié)整關(guān)系檢驗(yàn)和基于VECM的格蘭杰因果關(guān)系檢驗(yàn),結(jié)果發(fā)現(xiàn),危機(jī)期間的美國股市、香港股市與A股市場之間存在協(xié)整關(guān)系,而且美國股市是香港股市和A股市場的格蘭杰原因,同時(shí),香港股市是A股市場的格蘭杰原因。本文認(rèn)為,美國次貸危機(jī)引發(fā)了包括中國在內(nèi)全球資本市場深度調(diào)整,在全球資本市場高度聯(lián)動(dòng)性的背景下,積極構(gòu)建國內(nèi)資本市場長效穩(wěn)定機(jī)制,是防范金融危機(jī)的重要舉措。
[Abstract]:This paper expounds the transmission mechanism of the impact of the US subprime mortgage crisis on the A-share market, and selects the logarithmic Dow Jones Industrial average, the Red chips Index and the Shanghai Stock Exchange Index as variables, taking the period from January 5, 2007 to October 24, 2008 as the variables. Through correlation analysis, unit root test, co-integration test and Granger causality test based on VECM, it is found that there is a co-integration relationship between American stock market, Hong Kong stock market and A-share market during the crisis. And the U. S. stock market is the Granger reason for the Hong Kong stock market and A-share market, and the Hong Kong stock market is the Granger reason for the A-share market. This paper argues that the subprime mortgage crisis in the United States has triggered the deep adjustment of the global capital market, including China, and actively constructed the long-term stable mechanism of the domestic capital market under the background of the high degree of linkage of the global capital market. It is an important measure to prevent the financial crisis.
【作者單位】： 中南財(cái)經(jīng)政法大學(xué)金融學(xué)院;
【基金】：國家社科基金重大項(xiàng)目“構(gòu)建金融穩(wěn)定的長效機(jī)制:基于美國金融危機(jī)的政治經(jīng)濟(jì)學(xué)分析”(08&ZD035)
【分類號(hào)】：F832.51

【共引文獻(xiàn)】

相關(guān)期刊論文 前6條

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3 周s，

本文編號(hào)：2466028