基于时变系数回归的中美股市收益率联动效应研究
I
ABSTRACT
The goal of this dissertation is to investigate the stock return co-movements
between China and the US from January 2005 to April 2016. SSE (Shanghai Stock
Exchange) Composite Index and NYSE (New York Stock Exchange) Composite
Index are selected as the representatives of the overall stock prices in China and the
US. In order to test both the whole market co-movements and specific sector
co-movements, collect total composite index and sector composite index (in Finance,
Health Care, Nature Resource). After calculating rates of return, conducting stationary
tests and doing descriptive analyses, use time-varying coefficient regression to
produce the empirical research. In time-varying models, assume stock return in one
country is an explanatory variable of the return in the other, while the parameter i.e.
the two-way effect is changing all the time. The fluctuations of the parameter would
clearly show the dynamic interdependency of stock return between two markets over
time. Besides, by running regressions in both directions, it is possible to compare and
test the possible asymmetric effect.
The empirical results indicate four main conclusions. (1) Stock return linkages
do exist between China and the US. Current returns in two markets affect each other.
However the interrelationship would change over time. (2)The interdependency
between two markets is asymmetric. US stock market has stronger impacts on China
than the opposite direction. And US impacts on China is smooth and less volatile.
(3)Co-movements between China and the US, both in total and in sectors, have
experienced similar cycles in the last ten years. These changing cycles are closely
concerned with financial crises. The 2008 subprime crisis and 2011 financial crisis
dramatically weakened the stock correlations. (4) Total co-movement reflects the
average level of sector co-movements. The dependency levels of different sectors
vary greatly. Significant linkage effects of stock returns exist in finance and nature
resource, while health care sector in SSE and NYSE have few correlation.
The co-movement mechanism between Chinese and the US stock market would
significantly influence the regulatory decision making of our government and the
investment decision making of our investors. For the government, it is necessary to
recognize the characteristics and patterns of the stock linkage. Since high levels of
co-movement do play a catalytic role in the spread of the financial crisis, when the
overall co-movement level between China and the US is detected to be too high, the
government should take measures to guard against abnormal volatility and prevent the
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