论文部分内容阅读
上证指数作为我国股票市场的风向标,其对全球经济的影响力日益凸显。由于美元在国际金融市场的特殊地位,使我们很容易联想到它们之间的联动关系。通过上证指数和美国长期(10年期)国债价格的日度数据,考察美国长期国债价格走势是否与我国上证指数具有相关关系,同时观察美国长期国债价格走势是否可以准确预测中国股市未来的走势与方向。结果表明,在中国股市出现牛市或者金融危机到来的时候,上证指数与美国长期(10年期)国债价格没有协整关系,两者基本上互不影响;在中国股市牛市到来之前的一段时间内,美国长期国债价格与上证指数呈现出负相关关系,美国国债价格下降,中国股市繁荣;全球经济复苏时期,上证指数与美国长期国债价格呈现出正相关关系,导致投资者投资目标市场的分化;利用美国长期国债价格走势来预测中国股市的未来走势与方向,也许并非天方夜谭,但却难以达到预想的效果。
As the benchmark for China’s stock market, the Shanghai Composite Index has become increasingly influential in the global economy. Because of the special status of the U.S. dollar in international financial markets, it is easy to think of the linkage between them. Through the daily data of the Shanghai Composite Index and the long-term (10-year) treasury bond price of the United States, this paper examines whether the trend of the US long-term treasury bond is related to the SSE Index of China and observes whether the trend of the US long-term treasury bond can accurately predict the future trend of the Chinese stock market. direction. The results show that there is no cointegration between the SSE Index and the long-term US 10-year Treasury bond when the Chinese stock market appears a bull market or a financial crisis. Both of them basically do not affect each other. During the period before the Chinese stock market bull market arrives , The long-term US Treasury bond prices and the Shanghai Composite Index showed a negative correlation, the US Treasury bond prices fell, the Chinese stock market boom; the global economic recovery period, the Shanghai Composite Index and the United States long-term Treasury bonds showed a positive correlation between prices, leading investors to divide the target market; Using the long-term U.S. treasury bond price trend to predict the future direction and direction of China’s stock market may not be a fantasy, but it is hard to achieve the desired results.