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本文通过方差分解和脉冲响应函数对中国股票市场、美国股票市场、香港股票市场和新加坡股票市场的收益率进行了实证研究,发现各个市场之间表现出一定的独立性,这在一定程度上说明通过国际股票市场所包含的信息并不能正确预测中国市场的股票的收益率,同时通过中国的股票市场的收益率信息也不能正确预测国际证券市场股票的有用信息。
In this paper, we use the variance decomposition and impulse response function to study the returns of China’s stock market, the U.S. stock market, the Hong Kong stock market and the Singapore stock market, and find that there is some independence between the various markets, which explains to some extent The information contained in the international stock market can not correctly predict the return rate of the Chinese stock market. Meanwhile, the information of the stock market in China can not correctly predict the useful information of the international stock market.