摘 要

从1978年改革开放以来的40年间，中国经济高速蓬勃发展。去年至今，中国和美国已然开展了长期的贸易战争，中国股票市场的价格指数也随之产生剧烈震荡，对于国家来说，在新的经济形势下，健全市场机制，完善宏观调控政策，建设市场监管制度，作为宏观的经济目标是极为重要的。

通过对数据建立VAR模型，对我国和国际上几大股票市场价格指数与收益率分别建立模型，并且对其进行协整分析和格兰杰因果检验，判断他们之间存在的关系，最终发现我国股票市场与国际股票市场之间没有长期的均衡，但是国际股票市场收益率对我国股票收益率形成了解释。我国股票市场与美国、欧洲股票市场存在较强的联动性；亚洲股票市场对我国股票市场的影响并不突出。说明近年来，我国股票市场越来越受到国际金融市场波动的影响，与国际金融市场的协同性越来越高。

联系实际的经济意义，建议我国金融市场的监管者要密切注意国际股市的动态；建议投资者分散投资组合，降低投资风险；建议经济政策制定者继续加大开放的力度，优化经济结构。

关键词：股票市场价格指数；协整；VAR模型；格兰杰因果关系检验

Abstract

In the 40 years since the reform and opening up in 1978, China's economy has been booming at a high speed. Since last year, China and the United States have launched a long-term trade war, and the price index of China's stock market has also undergone severe shocks. For the country, in the new economic situation, it is extremely important to improve market mechanism, improve macro-control policies and build market supervision system as macro-economic objectives.

Through the establishment of VAR model based on data, the paper establishes models for price index and return rate of several major stock markets in China and the world respectively, and carries out co-integration analysis and Granger causality test to judge the relationship between them. Finally, it is found that there is no long-term equilibrium between China's stock market and international stock market, but there is no long-term equilibrium between China's stock market and international stock market. The rate of return of international stock market explains the rate of return of China's stock market. There is strong linkage between China's stock market and American and European stock markets, while the influence of Asian stock market on China's stock market is not prominent. In recent years, China's stock market has been more and more affected by the fluctuations of international financial markets, and the coordination with international financial markets has become higher and higher.

Considering the actual economic significance, it is suggested that the regulators of China's financial market should pay close attention to the dynamics of the international stock market; that investors diversify their portfolios to reduce investment risks; and that economic policymakers should continue to strengthen opening up and optimize the economic structure.

Key words: Stock Market Price Index; Cointegration; VAR Model; Granger Causality Test

目 录

1 绪论 1

1.1引言 1

1.2本文的研究背景及意义 1

1.3国内外研究现状 2

1.4我国股票市场指数波动的描述性分析 3

1.5本文的研究思路、内容结构 4

1.5.1本文的研究思路 4

1.5.2本文主要内容结构 4

1.6本文的创新点与不足 4

1.6.1本文的创新点 4

1.6.2本文的不足 5

2研究的相关理论基础 6

2.1 ADF单位根检验 6

2.2协整检验 6

2.3.1 EG协整检验 6

2.3.2 Johansen协整检验 7

2.3 VAR模型 7

2.4格兰杰因果检验 7

3中国市场与国际市场协同性关系的实证研究 9

3.1数据的选取和预处理 9

3.2与世界五大股票指数关系的实证研究 11

3.7.1 VAR模型的建立 11

3.7.2 Johansen协整检验 13

3.3 与香港恒生指数关系的实证研究 13

3.2.1 ADF单位根检验 13

3.2.2 EG协整检验 17

3.2.3格兰杰因果检验 17

3.2.4检验结论 18

3.4 与日经225指数关系的实证研究 19

3.3.1 ADF单位根检验 19

3.3.2 EG协整检验 19

3.3.3格兰杰因果检验 20

3.3.4检验结论 21

3.5 与道琼斯指数关系的实证研究 21

3.4.1 ADF单位根检验 21

3.4.2 EG协整检验 22

3.4.3格兰杰因果检验 23

3.4.4检验结论 24

3.6 与英国富时指数关系的实证研究 24

3.5.1 ADF单位根检验 24

3.5.2 EG协整检验 24

3.5.3格兰杰因果检验 25

3.5.4检验结论 26

3.7 与法国CAC40指数关系的实证研究 26

3.6.1 ADF单位根检验 26

3.6.2 EG协整检验 27

3.6.3格兰杰因果检验 28

3.6.4检验结论 29

3.8本章小结 29

4 结论与建议 30

4.1 总结 30

4.2 政策建议 30

参考文献 31

致谢 33