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本文通过构建Kalman-filter-(T)GARCH模型,研究了亚洲、欧洲、拉美和澳洲4个区域中18个股票市场的世界一体化和区域一体化进程。研究发现:在1985至2009年的检验区间内,欧洲货币联盟成员国股票市场与欧洲的区域一体化水平显著地高于它们与美国的一体化水平,而亚洲、拉美和澳洲的大部分股票市场与美国的一体化水平显著地高于它们与各自区域的一体化水平;样本中大部分股票市场的一体化水平在2000年以后出现了“趋同”的现象;危机期间,外界因素对新兴经济体股市的冲击程度显著地大于对发达经济体股市的冲击;中国与亚洲区域股市的一体化水平在2008年9月以后超过了中国与美国股市的一体化水平,意味着区域因素对中国股市的影响占据了主导地位。
This paper studies the process of world integration and regional integration in 18 stock markets in four regions of Asia, Europe, Latin America and Australia through the construction of Kalman-filter- (T) GARCH model. The study found that during the 1985-2009 test interval, the regional integration of EMU stock markets in Europe and EU was significantly higher than their level of integration with the United States, while most of the stock markets in Asia, Latin America and Australia The level of integration with the United States was significantly higher than their level of integration with their respective regions; the integration level of most stock markets in the sample appeared “convergence” after 2000; during the crisis, The impact of the stock market in the economy was significantly greater than the impact on the stock markets in the developed economies. The level of integration of the stock markets in China and Asia surpassed the level of integration of the Chinese and U.S. stock markets since September 2008, implying that the regional factors influence the Chinese stock market The influence dominates.