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2007年2月27日,中国股市的暴跌270余点引发了美国、欧洲日本及港台股市的大幅下挫。于是,关于中美股市是否存在联动性问题又一次成为人们关注焦点。本文先简要介绍协整相关理论,然后以中国和美国2007年1月1日至12月31日数据为研究样本分析了两国股市的联动性。结果表明,中国和美国股市不存在长期均衡关系,而相关研究表明欧美日本等发达国家则存在着股市联动性,这也说明了我国经济与世界经济的具有一定的独立性。
On February 27, 2007, a plunge of more than 270 points in the Chinese stock market triggered a sharp fall in the stock markets of the United States, Japan, Hong Kong and Taiwan in Europe. As a result, once again, the issue of the linkage between China and the United States stock market has become the focus of attention. This article first briefly introduces co-integration theory and then analyzes the linkage between the two countries’ stock markets based on the data from January 1 to December 31, 2007 in China and the United States. The results show that there is no long-term equilibrium relationship between China and the United States stock market. However, relevant studies show that the developed countries in Europe, the United States and Japan have the stock market linkage. This shows that our economy and the world economy have some independence.