【作者】 李胜楠；

【导师】 王光伟；

【作者基本信息】 苏州大学 ， 金融（专业学位）， 2013， 硕士

【摘要】 从20世纪80年代以来，金融自由化和经济一体化使得国际资本流动趋势愈发明显。股票市场历来被称为国民经济的“晴雨表”，作为金融市场的重要组成部分，往往会在一定程度上以股票价格的联动性对世界经济的波动作出反应。20世纪90年代初，中国的上海证券交易所和深圳证券交易所先后正式成立。此后经过二十余年的发展，沪深两市迅速壮大并在我国的金融市场中占据十分重要地位。2007年以来，次贷危机先是在美国境内爆发开来，后来演变为严重的金融危机，并引发了去全球范围内的经济衰退，导致全球资本市场的极大波动，我国作为新兴的发展中国家之一，对外开放程度不断提高，因此也在本轮金融危机中受灾严重。本文以金融危机为时代背景，在总结和学习国内外学者相关研究的基础上，对股市联动性的基础理论进行了阐述，并对中美股市联动的内在机理进行详细分析，依据金融危机爆发到席卷全球再到各国应对危机的全过程进行时间分段，运用VAR模型、ADF检验、Johansen检验、Granger因果检验、脉冲响应函数以及方差分解等，对上证综指和标普500指数进行系统的实证分析，并结合理论分析得出结果。在金融深化和信息科学技术高度发达和迅速发展的今天，金融危机对中国大陆和美国股市的影响是不可小觑的。从金融危机以来，两国股市联动性大大加强，数次出现剧烈震荡行情，这与我国资本市场的不断开放和发展离不开，但金融危机的影响更是难以逃脱干系。本文就中国大陆和美国股市间联动性的研究随尚有缺陷，但希望能为我国资本市场的未来发展方向和成熟完善提供参考。更多还原

【Abstract】 Since the1980s, financial liberalization and economic integration has made the trendof international capital flow increasingly obvious. Stock market has traditionally beenreferred to as the "barometer" of the national economy, as an important part of the financialmarkets tend to some extent, correlated with stock price react to fluctuations of the worldeconomy. In the early1990s, China’s Shanghai Stock Exchange and Shenzhen StockExchange has formally established. After more than20years of development, Shanghaiand Shenzhen two city have been growing rapidly and occupies very important position infinancial market in China. Since2007, the Subprime Crisis broke out first in the UnitedStates, and later evolved into a serious financial crisis, and led to global economicrecession, lead to great fluctuation in the global capital market. As our country is now oneof the emerging developing countries and opening to the outside world enhancesunceasingly on degree, therefore it is the worst-hit in the financial crisis.Based on the background of financial crisis, this article summarized and studieddomestic and foreign scholars on the basis of related research, on the basis of stock marketcorrelation theory, expounded the inner mechanism of China and America on stock marketlinkage, then make a detailed analysis on the basis of the whole process of time segment ofthe financial crisis, using VAR model, ADF test, Johansen test, Granger causality test,impulse response function and variance decomposition, etc., the writer focused on theShanghai composite index and the S&P500index system of empirical analysis, andcombining with theoretical analysis to obtain the results.United States is to be reckoned with. Since the financial crisis, stock market linkagesbetween the two countries strengthen greatly, several volatility market occurred. It isclosely related to the continuously open and development of the capital market in China, but the financial crisis is more difficult to escape. In this paper, the studies of correlationbetween the stock market in mainland China and the United States still have defects, but Ihope for providing a reference on the future direction of development and mature of capitalmarket in China.更多还原