中文摘要：

摘要采用线性及非线性Granger因果检验的方法，对中国大陆股票市场和世界其他主要股票市场之间不同阶段的信息溢出现象进行了实证研究。通过比较Granger（1969）线性因果检验和Hiemstra and Jones（1994）非线性因果检验，发现中国大陆市场和世界其他主要股票市场之间存在非线性信息溢出效应；随着中国大陆市场改革的深入和全球经济一体化的发展，信息溢出的程度也在提升；在建立风险预警机制时，需要充分考虑其他市场的信息。

英文摘要：

This paper constitutes the first excersise to apply linear and non-linear Granger causality tests to investigate the time-varying spillover effect between the mainland China and other global stock markets. The analysis is conducted in a comparative way by using both the Granger （1969）＇s Granger causality test and the Hiemstra and Jones （1994）＇s nonlinear Granger causality test. The empirical results reveal that there exists nonlinear spillover between mainland China and other global main stock markets. With the deepening of globalization and development in China＇s stock market, there is evidence of an increasing integration among domestic and international stock markets. Policy implication of this paper is that risk monitor system should attach great importance to the information flow from overseas stock markets.