非同步交易与信息传导：中美股市关系研究

 中美股市之间存在非同步交易问题，直接利用收盘价建模会得到偏误的结果，因此本文利用隔夜收益率和开市收益率对非同步交易下的中美股市信息传导模式进行研究。研究发现，两国股市开市收益率变化均表现出波动聚集特征，而且均只在开盘时对另一方市场的交易信息作出反应，其中，我国股市开盘时受到的美国股市的影响，大大强于我国股市对其开盘的影响；并且随着次贷危机的发生，这种影响愈加明显。但中美两国股市开市交易期间的相互影响均不显著，不存在收益和波动性的信息传导关系。

Nonsynchronous Trading and Information Transmission:A Study on the Relationship between Chinese and American Stock Markets

There are nonsynchronous trading problems between Chinese and American stock markets,which makes models directly using close indexes lead to errors,thus the paper researches information transmissions between Chinese and American markets under nonsynchronous trading with overnight and daytime returns.The results show that there exist volatility clustering effects in daytime returns of the two countries' stock markets,and each market only responds to the trade information of the other one when it opens.The ef...