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中国加入世界贸易组织以后,随着证券市场的发展和完善,随着国际收支平衡能力的加大,随着中国金融结构的更加稳健,国内资本市场开放已经作为一个热点问题,证券业的加速开放也必然会对资本场开放起到实质性的促动作用。我们可以通过观察回归系数的拐点来判别中国股市与美国市场(香港市场)的相关度变化的时间路径。 通过观察回归系数的变化,我们可以很容易地确定两个市场间走势相关性变化的时间路径。我们首先来观察上证指数和美国S＆P500之间相关性变化的时间路径。在所采取的样本区间1997年6月8日—2002年12月1日的273个观察点(周线收盘数据)中,估计出的系数变化路径明显地表现为两个上升波段和下降波段其拐点分别为第71、122、220点以及一个重要的正负临界点174点。这4个点在实际时间上分别对应为1998年10月25日、1999年10月31日、2001年11月4日以及2000年11月26日。我们可以看出2000年11月26日这一回归系数正负临界点之前,两个市场走势基本上是负相关的关系,而在此以后则逐步进入了正相关的阶段。需要说明的一点是:在对两个指数的波动率作最小二乘回归的结果发
With China’s accession to the World Trade Organization and the development and improvement of the securities market, with the expansion of the balance of payments ability, with the more robust financial structure in China, the opening up of domestic capital markets has been a hot issue and the acceleration of the securities industry Opening up will inevitably play a substantial role in opening up the capital market. We can determine the time course of the correlation between the Chinese stock market and the U.S. market (Hong Kong market) by observing the inflection point of the regression coefficient. By observing the changes in the regression coefficients, we can easily determine the time path for the change in the trend-correlativity between the two markets. We first look at the time path of the change in the correlation between the Shanghai Composite Index and the US S & P 500. In the sample interval of 273 observation points (weekly closing data) from June 8, 1997 to December 1, 2002, the estimated path of the coefficient variation is obviously manifested by two rising and falling bands The inflection points are respectively 71,122,220 points and an important positive and negative critical point of 174 points. The four points correspond to actual October 25, 1998, October 31, 1999, November 4, 2001 and November 26, 2000 respectively. We can see that before the regression coefficient of November 26, 2000, the positive and negative critical points, the two market movements are basically negatively related, and after that, they gradually entered a positive phase. The point to note is that after making the least squares regression on the volatility of the two indices