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本文以2008年金融危机为转折点,将2006年6月1日～2009年3月27日分为两个阶段,运用Jo-hansen协整性检验和Granger因果检验方法,对中国内地、香港和美国三地股市的联动关系进行实证研究。研究发现金融危机的爆发加剧了市场波动,同时也加强了市场间相关性;而美国作为危机的根源地,也确实对其他市场产生了风险传染效应;另外,三地市场间的引导关系也发生了显著变化。
Taking the financial crisis in 2008 as a turning point, this article divides the period from June 1, 2006 to March 27, 2009 into two stages. By using Jo-hansen cointegration test and Granger causality test, this paper analyzes the financial crisis in China, Hong Kong and the United States An Empirical Study on the Linkage between the Three Stock Markets. The study found that the outbreak of the financial crisis exacerbated the market volatility and also strengthened the correlation between markets. As the root cause of the crisis, the United States did indeed have a risk contagion effect on other markets. In addition, the guiding relationship between the three markets also occurred Significant changes have taken place.