中国与欧美金融市场间传染效应的动态演变——基于欧债危机与次贷危机的比较分析

发布时间：2018-01-31 00:20

本文关键词： 市场传染多元条件相关模型欧债危机次贷危机 Copula　出处：《管理评论》2014年08期 　论文类型：期刊论文

【摘要】：考虑金融市场收益率分布的尖峰厚尾、波动聚类和非对称性特征,引入了更符合市场真实情形的DCC-T-Copula和BB7-Copula两类多元条件相关模型,分别从一般相关性和极值相关性角度,对中国A股与欧洲、美国和香港金融市场间常规传染和极值传染效应的动态特征进行测定。结果显示:相比于次贷危机,欧美金融市场在欧债危机期间对中国A股的传染效应呈现出长期性和复杂性特征,并且这种传染效应在欧债危机时期得到了进一步的加强;A股市场自次贷危机后加快了与香港市场融合的进度,欧美市场对A股的风险传染更多地是通过香港市场来传导。
[Abstract]:In this paper, we consider the characteristics of peak and thick tail, volatility clustering and asymmetry of financial market yield distribution. This paper introduces two kinds of multivariate conditional correlation models, DCC-T-Copula and BB7-Copula, which are more in line with the real situation of the market, from the point of view of general correlation and extreme correlation, respectively. The dynamic characteristics of conventional contagion and extreme contagion between Chinese A shares and European, American and Hong Kong financial markets are measured. The results show that compared with the subprime mortgage crisis. The contagion effect of European and American financial markets to China's A shares during the European debt crisis shows the characteristics of long-term and complexity, and this contagion effect has been further strengthened in the period of European debt crisis. The A-share market has accelerated its integration with the Hong Kong market since the subprime crisis, and the risk contagion from the European and American markets to A-shares is more transmitted through the Hong Kong market.
【作者单位】：电子科技大学经济与管理学院;四川大学锦城学院;
【基金】：教育部人文社会科学研究一般项目(12YJA790125)
【分类号】：F224;F832.51
【正文快照】： 引言受2007年爆发的次贷危机和2009年开始的欧债危机冲击,近年来世界各国金融市场出现了频繁而剧烈的波动,危机爆发时市场间常出现“齐涨共跌”的情形。由于我国还没有完全放开资本项目管制,长期以来我国A股市场的走势都比较独立,但随着近年来我国经济全球化的逐步推进以及资

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