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随着经济全球化与中国经济的不断发展,我国在世界经济中的地位和影响力日益提升,在此背景下本文旨在考察我国资本市场的溢出效应与国际影响力.文章基于CopulaDCC-GARCH模型和一种新的结构变点检测方法,对于入世以来我国股市国际影响力的总体特征、结构特征、时变性及突变性进行了全面考察,结论如下:1)总体上而言,我国股市对于国际股市的影响力是逐步提升的;从国别结构上看,与亚洲股市的联动最为紧密,其次是金砖国家,对于欧美股市也有比较显著的影响力.2)我国股市的溢出效应和国际影响力具有时变性,并存在3-4个变点,这些特征与我国的经济金融基本面因素相关.这表明我国股市承载了经济体的相关信息,并具有影响国际市场的能力.
With the economic globalization and the continuous development of China’s economy, our country’s status and influence in the world economy are increasingly rising. In this context, this article aims to examine the spillover effect and international influence of our country’s capital market.Based on CopulaDCC-GARCH model And a new method to detect the change point of the structure. The author has conducted a comprehensive survey of the overall characteristics, structural features, time-varying and mutation of the international influence of China’s stock market since the accession to the WTO. The conclusions are as follows: 1) Generally speaking, The impact of the stock market is gradually improved; from the perspective of country structure, the linkage with the Asian stock markets is the most closely followed by the BRICS countries, and there is also a significant influence on the stock markets in Europe and the United States.2) The spillover effect and international influence in China’s stock market There are time-varying forces and 3-4 changing points, which are related to the economic and financial fundamentals of our country, which shows that the stock market in our country carries the relevant information of the economy and has the ability of influencing the international market.