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本文阐述了美国次贷危机影响A股市场的传导机制,并选取对数化的道琼斯工业平均指数、红筹股指数、上证指数为变量,以2007年1月5日～2008年10月24日为期间,通过相关性分析、单位根检验、协整关系检验和基于VECM的格兰杰因果关系检验,结果发现,危机期间的美国股市、香港股市与A股市场之间存在协整关系,而且美国股市是香港股市和A股市场的格兰杰原因,同时,香港股市是A股市场的格兰杰原因。本文认为,美国次贷危机引发了包括中国在内全球资本市场深度调整,在全球资本市场高度联动性的背景下,积极构建国内资本市场长效稳定机制,是防范金融危机的重要举措。
This article expounds the conduction mechanism of the U.S. subprime mortgage crisis affecting the A-share market and selects the logarithmic Dow Jones Industrial Average, the Red Chip Index and the Shanghai Composite Index as variables. The period from January 5, 2007 to October 24, 2008 , Through the correlation analysis, unit root test, cointegration test and Granger Causality Test based on VECM, the result shows that during the crisis there exists a cointegration relationship between American stock market, Hong Kong stock market and A stock market, and the United States stock market Hong Kong stock market and A-share market Grange reason, while the Hong Kong stock market is A-share market Grange reason. This paper argues that actively building a long-term and stable mechanism in the domestic capital market under the background of the subprime mortgage crisis in the United States triggered a deep adjustment in global capital markets including China and a high degree of synergies in global capital markets is an important measure to prevent the financial crisis.