China, Japan and the US Stock Markets and the Global Financial Crisis
China, Japan and the US Stock Markets and the Global Financial Crisis
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中日美股市与全球金融危机
DOI：
10.1007/s10690-018-9237-6
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发表时间：
2018
影响因子：
1.7
通讯作者：
張艶
中科院分区：
文献类型：
--
作者：
張艶 (ZHANG;Yan);張艶;張艶
本文在重点分析全球金融危机对中国、日本和美国股市影响的同时，分析了这三个国家股票价格的波动性和联动性。此外，还研究了每个国家的宏观经济变量(实体经济变量和货币政策变量)与股价波动之间的关系。EGARCH模型的估计结果显示，虽然中国的股价波动远大于日美股价，但中国受到2007年全球金融危机的影响小于日美。对中国来说，上世纪90年代初，也就是股票市场刚刚建立不久，股价的波动比2007年全球金融危机发生时更大。此外，据透露，自全球金融危机以来，中日美三国股价的联动性有所增强。此外，格兰杰因果关系检验表明，中国的实体经济变量和货币政策变量不会影响中国的股价波动。
In this paper, while focusing on the impact that the global financial crisis had on the stock markets of China, Japan, and the United States, the stock-price volatilities and linkage between these three countries are analyzed. In addition, the relationships between macroeconomic variables (real-economy variables and monetary-policy variables) and stock price volatility in each country are investigated. The estimation results of the EGARCH model revealed that although China’s stock price volatility was far greater than those of Japanese and US stock prices, China was less affected by the global financial crisis in 2007 than Japan and the United States. For China, stock price volatility was greater in the early 1990s, shortly after the stock market had been established, than in 2007 when the global financial crisis occurred. Furthermore, it has been revealed that the linkage of Chinese, Japanese, and US stock prices has increased since the global financial crisis. Moreover, Granger causality testing revealed China’s real-economy variables and monetary-policy variables do not affect China’s stock price volatility.