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采用线性及非线性Granger因果检验的方法,对中国大陆股票市场和世界其他主要股票市场之间不同阶段的信息溢出现象进行了实证研究.通过比较Granger(1969)线性因果检验和Hiemstra and Jones(1994)非线性因果检验,发现中国大陆市场和世界其他主要股票市场之间存在非线性信息溢出效应;随着中国大陆市场改革的深入和全球经济一体化的发展,信息溢出的程度也在提升;在建立风险预警机制时,需要充分考虑其他市场的信息.
An empirical study of the information spillover between different stages of the stock market in China and other major stock markets in the world is conducted by using linear and nonlinear Granger causality tests.Through comparing the Granger (1969) linear causality test and Hiemstra and Jones (1994) ) Non-linear causality test found that there is a non-linear information spillover effect between the mainland China market and the rest of the world’s major stock markets. With the deepening of market reforms in Mainland China and the development of global economic integration, the level of information spillover is also on the rise. At The establishment of risk early warning mechanism, the need to fully consider the information in other markets.