金融危机前后股票市场传染效应比较分析

发布时间：2018-02-24 18:33

本文关键词： 全球金融危机传染效应股票市场连动　出处：《证券市场导报》2011年05期 　论文类型：期刊论文

【摘要】：全球金融危机以来,各国股票市场的价格趋势和波动特征与此前相比均发生了显著的变化。本文分别研究了金融危机前和金融危机中我国沪市与香港、美国股市的传染效应,运用Granger因果检验和BEKK-MGARCH模型分别考察市场间价格的传染效应和波动溢出效应。结果表明:金融危机前,美国道.琼斯指数和香港恒生指数对我国上证指数都存在价格引导作用。而金融危机中,上证指数一方面仍旧受道.琼斯指数趋势的引导,但另一方面反而影响了恒生指数的价格趋势;在波动溢出效应方面,金融危机前,恒生指数对上证指数存在显著的波动溢出效应;金融危机中,上证指数反而对恒生指数具有一定程度的单向波动传染效应,同时道.琼斯指数对上证指数的波动传染效应在两个时间段均不明显。
[Abstract]:Since the global financial crisis, the price trend and the fluctuation characteristic of the world stock market compared with the previous significant changes have taken place in our country. This paper studies the financial crisis and the financial crisis in Hongkong and Shanghai, the contagion effect of the U.S. stock market, using the Granger causality test and BEKK-MGARCH model to analyze the contagion effect and volatility spillover effect of price the market of America. The results show that before the financial crisis, Jones index and Hongkong's Hang Seng index have price leading role in China's Shanghai stock index. And the financial crisis, the Shanghai index is still by the Dow Jones index trend guide, but on the other hand, but the impact of the price fluctuations in the trend of the Hang Seng Index; the spillover effect, before the financial crisis, the Hang Seng index have significant volatility spillover effects on the Shanghai index; the financial crisis, the Shanghai index instead of the Hang Seng Index has A certain degree of one-way fluctuation infection effect, while the Jones index's volatility infection effect on the Shanghai stock index is not obvious in two time periods.

【作者单位】：中国人民大学财政金融学院;
【分类号】：F831.51

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