研究了我国股票、货币及外汇三个金融子市场间相互演化的方式和机理.基于我国金融市场2000-01～2014-05期间的月度数据,选取能够反映各个市场特征的十九个重要指标进行了因果关系检验,从中选取了十二个既反映所在市场状况又与另外两个市场紧密联系的决策指标.在此基础上,构建了股票、货币及外汇市场综合指数,建立两个基于常微分方程理论的三市场非线性演化模型,并结合COMDE算法提出了模型的求解方法.最后进行了实证分析,实证结果表明,构建的综合指数较好地反映了市场波动;带约束非线性演化模型较好地刻画了三个市场的非线性演化结构;揭示了三个市场之间的相互影响关系.研究结果能够为政府和投资者提供决策咨询支持.%This paper studies the mechanism of mutual evolution in the stock market,money market and foreign exchange market in China.Based on monthly data from January 2000 to May 2014 in Chinese financial markets,the cause-effect relationships between 19 important indexes are tested,and 12 decision indexes which not only can reveal their market conditions but also are closely related to the other two markets are obtained.Then,this paper designs three composite indexes for the three markets respectively and proposes two nonlinear evolution models based on ordinary differential equation for the three markets.Furthermore,a COMDE algorithm is given to solve these models.The empirical results show that the three composite indexes can better reflect the fluctuations of the markets,and the constrained non-linear evolution model can better depict the non-linear evolution structure among the three markets and the interaction relationships.The results can provide decision supports for govemments and investors.
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