基于DAG-SEM模型的中美股票市场间信息溢出研究

以中美贸易战为背景,研究美国股票市场、中国A股市场与香港股票市场的动态溢出效应。运用DAG-SEM模型和信息指数模型的静态和动态分析法测度市场间波动率信息溢出的方向、强度以及动态变化过程。研究发现:在贸易战期间,美股、港股和A股之间的溢出强度均增加。中国内地股市与美国股市呈双向信息溢出,标普500指数与沪深300指数的“方向交替”多于道琼斯与沪深300指数。特别地,贸易战白热化阶段,即2018下半年至2019上半年,中国内地股市对香港股市的信息溢出强于美国股市,成为港股信息溢出的主要传导者。

Research on Information Spillover between Sino-US Stock Markets Based on DAG-SEM Model

Based on the Sino-US trade war, this paper studies the dynamic spillover effects of the American stock market, the Chinese A-share market and the Hong Kong stock market. The static and dynamic methods of information index model and DAG-SEM model are used to measure the direction, intensity, and dynamic process of information spillover of volatility between markets. It is found that during the trade war, the spillover intensity between the stock markets of the two countries and domestic sub-markets increases. There is a two-way information spillover between the Chinese mainland stock market and the US stock market, and the “direction alternation” between the S&P 500 index and the CSI 300 index is more than the Dow Jones index and the CSI 300 index. In particular, in the white-hot stage of the trade war, that is, from the second half of 2018 to the first half of 2019, the information spillover of the Chinese mainland stock market to the Hong Kong stock market is stronger than that of the American stock market, becoming the main conductor of Hong Kong stock information spillover.