本文从因果关系的角度研究了中美股市之间的引导关系和动态特征,并通过设计格兰杰-F检验考察了股市联动的经济基础和传染现象。研究发现:2007年以后,美国股市对中国股市具有显著的引导关系;并且,美国股市的石油化工、原材料和金融行业对A股市场的相关行业具有独立于市场指数之外的引导关系;美国股市对中国股市的引导关系通常能够被经济基础所解释,但在2008年10月至2009年1月期间,美、中股市之间发生了传染现象。 This paper studies the guiding relationship and dynamic characteristics of Sino-American stock market from the perspective of causation, and investigates the economic basis and contagion of stock market linkage by designing Granger-F test. The study finds that after 2007, the United States stock market has a significant guiding relationship with the Chinese stock market. Moreover, the petrochemical, raw materials and financial sectors in the U.S. stock market have a guiding relationship independent of the market index in the relevant sectors of the A-share market. Guiding relations with China’s stock markets can usually be explained by economic fundamentals, but between October 2008 and January 2009, the contagion took place between the United States and China’s stock markets.