中日股票市场联动性研究

Abstract:With the strengthening of relationship between China and Japan in the economic and financial fields，the linkage between China and Japan stock markets has become mora and more important. Based on the daily data of representative stock indexes from 2001 to 2020，this paper uses DCC-GARCH model and multiple linear regression model to explore the trend，degree and mechanism between China and Japan stock markets. The empirical results show that during the sample period，the linkage between China and Japan stock markets is fluctuating upward and has the characteristics of time-varying. The reason lies in the economic assimilation of China and Japan and the continuous improvement of the domestic financial market. Therefore，this paper puts forward some suggestions，such as strengthening the construction of rational investors，strengthening supervision to enhance the ability of stock market to resist risks，and deepening the reform in the financial sector.

收起