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随着世界经济一体化的推进和金融全球化的发展,国际资本市场间的联系愈发紧密,而研究最具有成熟资本市场标志的美国股市与作为新兴市场代表的中国股市之间的联动性具有重大意义。特别是在金融危机之后,中美股市的联动性可能呈现出新的特征。笔者选取上证综合指数和标准普尔500指数作为研究对象,利用DCC-GARCH模型分析两股市的收益均值和波动率溢出效应,进一步,分析两股市的联动关系。研究结果表明,在金融危机之后,中美股市存在一定的联动性,但这种联动关系不稳定,表明中国股市尚未完全成熟。
With the promotion of world economic integration and the development of financial globalization, the links between international capital markets have become more and more closely. The linkage between the U.S. stock market that studies the most mature capital market mark and the Chinese stock market as an emerging market representative has Great significance. Especially after the financial crisis, the linkage between China and the United States stock market may show new characteristics. The author selects the Shanghai Composite Index and the S & P 500 index as the research object, uses the DCC-GARCH model to analyze the return averages and volatility spillover effects of the two markets, and further analyzes the linkage between the two stock markets. The results show that after the financial crisis, there is a certain linkage between China and the United States stock market, but the unstable linkage shows that the Chinese stock market has not yet fully matured.