摘要：随着中国在国际贸易市场及金融市场的地位逐渐提升、中美政治经贸领域摩擦加剧，对中美股市之间的收益溢出关系的研究有利于引导投资者制定合理稳健的投资策略，亦有利于政府机关洞悉中美金融市场相辅相成的联系。2020 年，全球新型冠状病毒肺炎疫情爆发，第一季度重创了全球股市，引起亚美欧三个大洲数个国家的股指大范围下跌。本文通过实证研究确认了中国股市和世界主要股市之间的相关性的强度和双向溢出传播途径，并进一步分析了新冠疫情对各个市场以及中美股市相关性的影响。 

 

关键词：中国股市 美国股市 溢出关系 全球疫情 

 

目 录

摘 要

Abstract

Contents

1Introduction-1

2Theoretical Background-2

2.1Formation of Spillover Effects-2

2.2The U.S. and China Stock Market During Pandemic-3

3Hypothesis and Predictions-4

4Methodology and Data-6

4.1Descriptive Statistic: Performances of the Two Markets-8

4.2Linear Regression Model: Regression Regardless of the Epidemic 11

4.3Refined Regression Model with a Dummy Variable: Regression During the Epidemic-11

5Empirical Results-12

5.1U.S. Market Impacts on Chinese Market-12

5.2Chinese Market Impacts on the U.S.-14

5.3The Influence of COVID-19 Pandemic-15

5.4The General Characteristics and Causes of the Co-Movement... 17

6Conclusion-18

References-20

Acknowledgments