中美股市联动性成因及疫情期间联动性特点浅研究
A Superficial Study on the Causes and Characteristics of Co-Movement in Chinese and American Stock Markets during the Epidemic

文章首先对中美股市具有联动性这一陈述，做出默认描述及肯定。因此全文的重心在于对中美股市联动性的成因及其特点的研究。文献综述部分提出了联动性成因的两个理论基础——溢出效应和传染效应，以及影响联动性的各种因素。实证分析部分以2015年至今的中、美股市对数收益率作为研究对象，构建VAR模型和GARCH模型对中美股市间收益和波动溢出效应的大小和方向进行了实证研究，得出结论：美国股市对中国股市存在显著的收益和波动的溢出效应。最后通过定性分析，得出了一些疫情期间中美股市联动性特点的简单结论，并根据美股熔断期间的数据分析得出了美国股市对中国股市溢出效应的冲击效率、冲击强度和冲击时间。
Firstly, this paper makes a default description and affirmation to the statement that the Chinese and American stock markets have linkage. Therefore, the paper focuses on the causes and charac-teristics of the linkage between Chinese and American stock markets. In the literature review sec-tion, two theoretical bases of the causes of coactivity-spillover effect and contagion effect, as well as various factors affecting coactivity-are proposed. In the part of empirical analysis, the logarithmic return rate of Chinese and American stock markets from 2015 to now is taken as the research ob-ject, and the VAR model and GARCH model are constructed to carry out an empirical study on the size and direction of the return and fluctuation spillover effect between Chinese and American stock markets, and the conclusion is drawn that the US stock market has significant spillover effect of re-turns and fluctuations on Chinese stock market. Finally, through qualitative analysis, some simple conclusions on the characteristics of the linkage between Chinese and American stock markets during the episdemic period were obtained, and the impact efficiency, impact intensity and impact time of the spillover effect of the American stock market on Chinese stock market were obtained based on the data analysis during the circuit breaker period of the American stock market.