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采用协整分析和向量自回归(VAR)模型,对上证综指和美国道指之间的联动性进行了实证研究。研究结果发现:在股权分置改革以后至金融危机发生以前,中、美两国股市存在联动关系;危机以后,中、美两国股市相对独立。从整体上看,截至目前为止中、美两国股市无显著的长期动态均衡关系,中国股市也无力引领美股。
Using cointegration analysis and vector autoregressive (VAR) model, empirical research is conducted on the linkage between the Shanghai Composite Index and the United States Dow. The result shows that there is a linkage between the stock market of China and the United States before the financial crisis occurs after the split share structure reform. After the crisis, the stock markets of China and the United States are relatively independent. Overall, so far, there is no significant long-term dynamic equilibrium between the stock markets of the two countries in China and the United States, and the Chinese stock market is unable to lead the US stock market.