中美两国三地股指的同步性与传导机制---基于次贷危机以来道琼斯、恒生和上海综合指数日数据

赵果庆;田存志

系统工程理论与实践 ›› 2011, Vol. 31 ›› Issue (6) : 1029-1038.

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系统工程理论与实践 ›› 2011, Vol. 31 ›› Issue (6) : 1029-1038. DOI: 10.12011/1000-6788(2011)6-1029
论文

中美两国三地股指的同步性与传导机制---基于次贷危机以来道琼斯、恒生和上海综合指数日数据

    赵果庆1, 田存志2
作者信息 +

The co-movements and transmission mechanism of stock indexes in three places of Sino-America: Based on Dow Jones, Hang Seng, Shanghai Composite Index daily data since the sub-prime mortgage crisis

    ZHAO Guo-qing1, TIAN Cun-zhi2
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文章历史 +

摘要

运用一般到特殊的建模方法, 以美国次贷危机以来的道琼斯、恒生和上海综合指数日数据建立中美两国三 地股指的动力学系统模型.结果表明, 三地股指系统具有非线性传导机制, 有一个不动点吸引子, 具有 较高的同步性.可视化冲击实验显示, 三地股指系统是一个受控系统, 只有中美两国股市形成向上合力, 那么就会产生同步效应, 三地股指才能尽快走出低谷.

Abstract

According to the special-to-general modeling, this paper built a non-linear dynamic model (D3NLDS) with daily stock index data of Dow Jones, Heng Sheng, and Shanghai Composite Index since the sub-prime mortgage crisis. We found that, the system of stock index in these three places is a non-linear co-integration one, which exits one fixed points attractor and shows a high Co-movements. Visual shock-response shows that, the stock-index system of these three places is a controlled system, as long as China and US stock market efforts upward force. It will produce synchronization effects, the three indexes can be expected to bottom out as soon as possible.

关键词

中美两国三地股指 / 同步性 / 非线性传导机制 / 冲击响应

Key words

stock indexes in three places of Sino-America / co-movements / nonlinear transmission mechanism / shock-response

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导出引用
赵果庆 , 田存志. 中美两国三地股指的同步性与传导机制---基于次贷危机以来道琼斯、恒生和上海综合指数日数据. 系统工程理论与实践, 2011, 31(6): 1029-1038 https://doi.org/10.12011/1000-6788(2011)6-1029
ZHAO Guo-qing , TIAN Cun-zhi. The co-movements and transmission mechanism of stock indexes in three places of Sino-America: Based on Dow Jones, Hang Seng, Shanghai Composite Index daily data since the sub-prime mortgage crisis. Systems Engineering - Theory & Practice, 2011, 31(6): 1029-1038 https://doi.org/10.12011/1000-6788(2011)6-1029
中图分类号: F830.91   
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