上海股市近期经历剧烈波动，尽管有人担忧这种趋势可能会影响美国和欧洲市场，但数据显示上海股市与全球其他市场的相关性较低。文章分析了上海股市与其他几个关键市场指标的相关性，并探讨了其独特性。
上海股市本周剧烈波动。周五，上证综合指数继周四上涨4.8%后再涨0.6%，帮助弥补了周一6.7%的下跌。过去几周里，上海证交所的市值在较去年11月涨了一倍之后蒸发了四分之一。上海证交所是中国最大的证交所。一些人担心，最近的盘整是新兴市场涨势到头盘整可能会蔓延到美国和欧洲的迹象。大宗商品占重要地位的巴西俄罗斯和印尼等新兴市场看起来最容易受到中国股市回调的影响。不过数据显示，在更广泛的水平上，上海股市的动荡往往不会波及其他地区。Brown Brothers Harriman首席外汇策略师钱德勒(Marc Chandler)衡量了剧烈波动的上证综指走势与其他数个市场指标之间的相关性。零意味着二者不相关，而100%则意味着完全相关。过去两年中，上证综指与美元兑欧元汇率波动之间的相关性为12%，相对来说较低。上证综指与标准普尔500指数之间的相关性为4.5%。钱德勒的研究中与上证综指相关性大一点儿的是铜价，而铜也是一个受中国银行流动性影响的投机性很高的市场。二者之间的相关性为16.5%。上证综指与日经指数的相关性要高一些，为35%。不过，过去几个月来，上证综指与一些市场之间的相关性却在上升。举例来讲，过去三个月来，上证综指与标准普尔500指数的相关性为18%，而与铜的相关性刚过30%。不过正如钱德勒所写道的：大部分情况下，关系没有那么紧密。这并不是脱钩的问题，而是因为一开始这些市场看起来就不是与上证综指紧密相连的。上证综指的特立独行不应该让人感到吃惊。在上海的投资者大部分都是中国人，也不是长线投资者。外国投资者持股有一定的限制，正如我们的同事解释的一样，外国投资者的投资严重集中在几只股票上，加剧了上海股市的动荡。德意志银行(Deutsche Bank)亚太首席经济学家斯宾塞(Michael Spencer)说，你不应该根据中国股市的情况，告诉我们其他地方情况如何，不过我担心的是投资者可能会这样做。他也认为，上海与其他市场没有特别高的相关性，他说上海或许是最难以把公司利润增长与股市行情联系起来的市场了。Alex Frangos（“中国日志”（China Journal）关注全球第一人口大国的发展变化，《华尔街日报》获奖团队数十位记者倾情献稿，Sky Canaves主笔。欢迎读者发送邮件至chinajournal@wsj.com或在下面评论栏中发表评论和建议。）相关阅读专题：中国股市 中国计划将QFII投资额度上限提至10亿美元 2009-09-04中国股市下跌是否值得担忧？ 2009-09-03机构投资者推动中国股市剧烈波动 2009-09-03中国给股市“维稳”的底气何在？ 2009-09-03
Much has been made of this week's gyrations in the Shanghai stock market. On Friday, the benchmark Shanghai composite rose another 0.6% after a 4.8% gain Thursday, helping make up for a 6.7% plunge on Monday. In the previous few weeks, China's biggest bourse had lost a quarter of its value after doubling from last November.Some worry the recent correction is a sign that the rally in emerging markets is over and that a correction could spread to the U.S. and Europe. Emerging markets where commodities figure prominently such as Brazil, Russia or Indonesia seem most vulnerable to a Chinese pullback.But a look at the numbers shows that on a broader level, what happens in Shanghai tends to stay in Shanghai. Brown Brothers Harriman chief currency strategist Marc Chandler measured correlations between movements in the volatile Shanghai composite and several other market indictors. Zero percent means no correlation. 100% means complete correlation.Over the past two years, the correlation between moves in Shanghai and the U.S. dollar exchange rate with the euro is 12%, relatively low. Shanghai and the S&P 500 index has a 4.5% correlation. A closer Shanghai pair measured by Chandler is copper, also a highly speculative market influenced by Chinese bank liquidity. It has a correlation of 16.5%. The Japanese Nikkei is a bit closer at 35%.Over the past few months, however, the correlation between Shanghai and some markets has been increasing somewhat. For instance the S&P 500 over the last three months has been 18% correlated to Shanghai. And copper has reached just over 30%.But as Chandler writes: 'For the most part the relationship is not that tight. It is not so much a question of decoupling as [these markets] do not appear to have been tightly linked in the first place.'It shouldn't surprise that Shanghai beats to its own drummer. Investors there are mostly domestic and aren't long-term holders. Foreign investors are restricted to how much they can own, and as our Marketwatch colleagues explain, are heavily concentrated in a few stocks, exacerbating the gyrations there.'One shouldn't look at the Chinese equity market to tell us about what's going on elsewhere, but my fear is investors might,' says Michael Spencer, chief economist for Asia-Pacific at Deutsche Bank. He concurs that Shanghai 'doesn't have particularly high correlation with anything else,' calling it 'probably the most difficult market to try to map to [corporate profit] growth.'Alex Frangos
Much has been made of this week's gyrations in the Shanghai stock market. On Friday, the benchmark Shanghai composite rose another 0.6% after a 4.8% gain Thursday, helping make up for a 6.7% plunge on Monday. In the previous few weeks, China's biggest bourse had lost a quarter of its value after doubling from last November.Some worry the recent correction is a sign that the rally in emerging markets is over and that a correction could spread to the U.S. and Europe. Emerging markets where commodities figure prominently such as Brazil, Russia or Indonesia seem most vulnerable to a Chinese pullback.But a look at the numbers shows that on a broader level, what happens in Shanghai tends to stay in Shanghai. Brown Brothers Harriman chief currency strategist Marc Chandler measured correlations between movements in the volatile Shanghai composite and several other market indictors. Zero percent means no correlation. 100% means complete correlation.Over the past two years, the correlation between moves in Shanghai and the U.S. dollar exchange rate with the euro is 12%, relatively low. Shanghai and the S&P 500 index has a 4.5% correlation. A closer Shanghai pair measured by Chandler is copper, also a highly speculative market influenced by Chinese bank liquidity. It has a correlation of 16.5%. The Japanese Nikkei is a bit closer at 35%.Over the past few months, however, the correlation between Shanghai and some markets has been increasing somewhat. For instance the S&P 500 over the last three months has been 18% correlated to Shanghai. And copper has reached just over 30%.But as Chandler writes: 'For the most part the relationship is not that tight. It is not so much a question of decoupling as [these markets] do not appear to have been tightly linked in the first place.'It shouldn't surprise that Shanghai beats to its own drummer. Investors there are mostly domestic and aren't long-term holders. Foreign investors are restricted to how much they can own, and as our Marketwatch colleagues explain, are heavily concentrated in a few stocks, exacerbating the gyrations there.'One shouldn't look at the Chinese equity market to tell us about what's going on elsewhere, but my fear is investors might,' says Michael Spencer, chief economist for Asia-Pacific at Deutsche Bank. He concurs that Shanghai 'doesn't have particularly high correlation with anything else,' calling it 'probably the most difficult market to try to map to [corporate profit] growth.'Alex Frangos
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