成熟金融市场与新兴金融市场间的传导性研究

运用BVAR计量模型研究Granger因果关系,通过因果关系研究成熟金融市场与新兴金融市场之间的传导性,再通过脉冲响应函数进一步验证因果关系的结论;并实证分析上涨和下跌过程中成熟金融市场与新兴金融市场间传导性的变化特征.实证研究表明:在整个样本期,香港股市与新加坡股市互相传导,日本股市与韩国股市互相传导,美国股市对其他股市单向传导,中国沪市对韩国股市单向传导.中国沪市对新加坡股市单向传导.中国沪市对香港股市单向传导;下跌时期六个股市间的传导关系比上涨时期更为复杂,更加强烈.

Researching Conductivity of Developed Market and Emerging Market

This paper not only uses the bivariate vector autoregressive(BVAR) model to get though Granger-Causality discussing the conductivity relationship of Developed Market and Emerging Market and get though impulse response function to further verifying the conclusions of causality,but also empirically analyze changing character of conductivity relationship between rising period and down period.The empirical results show that in the whole sample period Hongkong stock market and Singapore stock market mutually con...