中文摘要：

通过贝叶斯法则和VEC模型,研究危机前后中国大陆、美国、中国香港股票市场的信息流动关系,发现次贷危机前后中国大陆股票市场跟随美国和中国香港市场的涨跌规律发生了结构性变化,表现了较强的不对称性。运用方差分解和脉冲响应函数深入分析这种结构性变化背后所体现的经济含义表明,维护市场稳定的关键是扭转股市运行的趋势,加强对投资者的教育,保证信息透明、公开。

英文摘要：

After studying the information flow relationship among the stock markets in the Mainland of China,the U.S.and Hong Kong by BAYES rule and VEC model,the paper finds that structural change has happened to the stock market of the Mainland of China,which shows a strong asymmetry,following the rising-falling laws of the stock market of the U.S.and China＇s Hongkong.Furthermore,this paper also analyzes the underlying economic meaning about the structure change by using variance decomposition and impulse response function,which shows that the key to stabilize the market is to turn around the trend of stock market running,strengthen the education for investors and ensure the transparency and publicity of the information.