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采用RTV-VAR模型研究1997年到2017年中国内地股市与美国、英国、日本和中国香港股市之间的多元联动性，在此基础上进一步采用ICA-GARCH-GED模型探究各国（或地区）股市之间的协同波动溢出效应。结果表明，1997年以来中国股市与国际股市联动性呈低-高-低-高的特点，波动溢出同样具有这一特点，并且发现中国进入“新常态”以来，资本市场与世界股市的关联性大大增强，与上述股市之间有双向协同波动溢出。这一研究结论对我国防范资本市场系统性风险，抵御国际股市波动冲击具有重要意义。
中图分类号：F831。51文献标识码：A
<<In this paper，RTV-VAR model is used to analyze the linkage between Mainland China's stock market and US，UK，Japan and Hong Kong China stock market from 1997 to 2017.On this basis，We further use the ICA-GARCH-GED model to explore the synergistic volatility spillovers the stock markets between national（or ergions）.The results show that since 1997，the characteristics of China's stock market and international stock market linkage was low-high-low-high，as well as the fluctuations .Since China entered the “new normal”，the linkage around world stock markets has greatly enhanced，and the stock markets has two-way synergies volatility spillovers.This study is of great significance for China to prevent systemic financial risks，to withstand the impact of fluctuations in the international stock market，and to maintain the smooth operation of the domestic economy.
<<| Keywords： | Synergistic Volatility SpilloversGlobal Major Stock MarketsChinese Mainland Stock MarketTime-varying Causality |
