Abstract: Different from the previous static and isolated research on the inter-dependent relationship between markets, this paper measures the inter-dependent relationship between the Chinese stock market and the forex market from a global perspective under the condition of international stock market co-movement. The Shanghai and Shenzhen 300 Index, the central parity of RMB/USD exchange rate, the S&P500 Index of the United States, the STOXX50 Index of Europe, the Hang Seng HSI Index of Hong Kong, the N225 Index of Japan, the FTSE100 Index of the United Kingdom, and the MSCI Index of the Global Stock Market from January 4, 2006 to February 28, 2019 are selected as research samples. Focusing on the two extreme volatility periods before and after the 2008 global financial crisis and the 2015 Chinese stock market crash, this paper studies the nonlinear inter-dependent relationship between the Chinese stock market and the forex market under the condition of international stock market co-movement by using the R-vine Copula method, and constructs a dynamic R-vine Copula method with dynamic parameters to test the robustness. The results show that there is a positive co-movement between the international stock market and the Chinese stock market, and the forex market, respectively. In addition, under the condition of international stock market co-movement, the Chinese stock market plays a guiding role in the forex market, and the inter-dependence between the two can be explained by the portfolio balance model. Moreover, the inter-dependence between the China stock market and the forex market is weaker when considering the international stock market linkage than when not considering the international stock market linkage, and this deviation will increase significantly after extreme fluctuations such as financial crisis and stock market crash. This paper has an important reference significance for international investors to rationally allocate assets to avoid risks and for government supervision departments to formulate relevant policies.

Key words: international stock market co-movement, stock market, forex market, R-vine Copula, inter-dependence

摘要： 与以往仅对市场间相依关系进行静态、孤立的研究不同，基于全局化视角，在国际股市联动条件下研究中国股市与汇市间的相依关系。选取2006-01-04~2019-02-28沪深300指数、人民币兑美元汇率中间价、美国S&P500指数、欧洲STOXX50指数、香港恒生HSI指数、日本N225指数、英国FTSE100指数以及全球股市MSCI指数为研究样本，聚焦于2008年全球金融危机和2015年中国股灾两次极端波动事件，采用R-vine Copula方法研究国际股市联动条件下中国股市与汇市间的非线性相依关系，并构建参数动态化的动态R-vine Copula方法进行稳健性检验。研究结果表明：国际股市与中国股市和汇市之间分别存在着正向联动关系；在国际股市联动条件下，中国股市对汇市具有引导作用，且两者间的相依关系可以由资产组合平衡模型解释；中国股市与汇市在国际股市联动条件下间的相依关系弱于不考虑国际股市联动条件时的相依关系，且这种偏差在金融危机、股灾等极端波动后会显著增加。本研究对国际投资者合理配置资产规避风险、政府监管部门制定相关政策具有重要参考意义。

关键词: 国际股市联动, 股票市场, 外汇市场, R-vine Copula, 相依关系