| 中国股市和美国股市的联动性分析 |
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| 引用本文： | 曾艳.中国股市和美国股市的联动性分析[J].韶关学院学报,2014(4):10-14. |
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| 作者姓名： | 曾艳 |
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| 作者单位： | 韶关学院数学与信息科学学院,广东韶关512005 |
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| 基金项目： | 国家自然科学基金（61305036）;广东省自然科学基金（S2013010015944）. |
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| 摘 要： | 为分析中关股市之间的联动性。针对两国主要股票指数，建立VAR模型，运用脉7中响应函数和方差分解进行研究．结果表明：美国股市波动对中国股市有一定的影响，但中国股市波动对美国股市的影响较小，中美股市存在一定的联动性．
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| 关 键 词： | 联动性 vAR模型 脉冲响应函数 方差分解 |
The study on co-movement between China stock market and America stock market |
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| ZENG Yan.The study on co-movement between China stock market and America stock market[J].Journal of Shaoguan University(Social Science Edition),2014(4):10-14. |
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| Authors: | ZENG Yan |
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| Institution: | ZENG Yan (College of Mathematics and Information Science, Shaoguan University, Shaoguan 512005, Guangdong, China.) |
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| Abstract: | The paper studies the co-movement between China stock market and America stock market by comparing the two stock indexes, and establishing the VAR model and impulse response function, and by variance decomposition analysis. The research results show that the America stock market volatility in China stock market has a certain impact, while the Chinese stock market volatility has little effect on the America stock market. The stock market of China and America have a certain correlation. |
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| Keywords: | co-movement VAR model impulse response function variance decomposition |
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