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本文选取2000~2015年全球40支股票指数日收盘价,通过建立收益率网络和DCC-MVGARCH模型波动率网络对中国股票市场国际联动性进行实证分析。研究表明,随着经济全球化的加深,全球股市收益率和波动率联动逐渐增强;全球金融危机和欧债危机期间,收益率联动网络具有小世界性;中国与全球股市长期处于割裂状态,但在全球金融危机期间与其他市场联系加强。在全球经济形势复杂多变的情况下,中国应针对性采取措施促进股市发展,以分享全球金融一体化利益。
This paper selects the daily closing prices of the 40 stocks index from 2000 to 2015, and establishes an empirical analysis of the international linkage of China’s stock market through the establishment of the yield network and DCC-MVGARCH model volatility network. The research shows that with the deepening of economic globalization, the global stock market returns and volatility linkage gradually increased; during the global financial crisis and the European debt crisis, the rate of return linkage network has a small world; China and the global stock market long-term in a fragmented state, but Interact with other markets during the global financial crisis. Given the complex and volatile global economic situation, China should take appropriate measures to promote the development of the stock market in order to share the benefits of global financial integration.