一般状态空间模型和东亚股票指数的波动

摘要

This paper introduces a General State Space Model to explain the co - movement of Japan's stock and China's stock volatility. Chinese markets trade A- shares for domestic investors and otherwise identical B-shares for foreign investors. For A-shares, we find that volatility declined steadily over the decade.Relative to world markets, we find no asymmetric volatility effect in China and less volatility persistence for B- shares. And, contrary to the global trend of increasing cross- country correlations, we find stationary correlations for the Chinese markets. A- shares indices never correlated with world markets and for B - shares indices, we find constantly low correlation with Japan (0-5%).%通过一般状态空间模型和VECM验证了东亚两大经济大国之间的股价指数的波动关系,为国际分散投资提供参考.通过对上证综合指数,上证B股指数和日经股票指数分时期进行单位根检验,结果表明一阶差分平稳,是一阶单整列,可以作协整分析.并且通过对其卡尔曼滤波进行线递推计算,以自适应方式跟踪时序列变化,利用残差进行VECM的计算,其结果表明只有上证B股对日经Topix有单向影响.