统计研究 ›› 2010, Vol. 27 ›› Issue (5): 41-47.

• 论文 • 上一篇    下一篇

非同步交易与信息传导:中美股市关系研究

赵华 徐甪   

  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2010-05-15 发布日期:2010-05-15

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

Zhao Hua & Xu Lu   

  • Received:1900-01-01 Revised:1900-01-01 Online:2010-05-15 Published:2010-05-15

摘要: 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。

关键词: 非同步交易, 隔夜收益率, 信息传导

Abstract: 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 effect that American stock market makes on the opening of Chinese stock market is much stronger than that Chinese stock market makes on the opening of American stock market, and this effect have been strengthen since the sub-prime crisis. But the mutual effects of Chinese and American stock markets between daytime trade periods are not significant, and there are not information transmissions in mean or in volatility.

Key words: Nonsynchronous trading, Overnight return, Information transmission