基于DCC-MGARCH-VAR模型的金融传染分析——来自亚洲股票市场的证据
发布时间：2018-10-10 20:12
【摘要】：本文采用亚洲主要国家股市与美国股市的日交易数据,对美国次贷危机影响亚洲主要国家股市的动态传染机制进行实证研究。结果表明:美国次贷危机期间亚洲各国股市与美国股市的相关系数均显著高于次贷危机前与次贷危机后,股市成为美国次贷危机重要的传染机制;各国股市与美国股市动态相关系数存在结构性断点,但是没有足够证据表明相关系数存在趋势性漂移,即动态相关系数存在均值回归现象(mean-reversion);各国股市与美国股市均为正相关,但是在相关程度上存在显著性差异;各国股市与美国股市动态相关系数均存在着显著的时变性,这为资产管理公司实行积极管理策略提供了依据。
[Abstract]:Based on the daily trading data of major Asian and American stock markets, this paper makes an empirical study on the dynamic contagion mechanism of the sub-prime mortgage crisis affecting the stock markets of major Asian countries. The results show that the correlation coefficient of Asian stock market and American stock market during the subprime mortgage crisis is significantly higher than that before and after the subprime mortgage crisis, and the stock market has become an important contagion mechanism of the sub-prime mortgage crisis in the United States. There are structural breakpoints in the dynamic correlation coefficient between the stock market and the United States stock market, but there is not enough evidence that the correlation coefficient exists trend drift, that is, the dynamic correlation coefficient exists the mean regression phenomenon (mean-reversion), and the stock market is positively correlated with the American stock market. However, there are significant differences in the correlation degree, and the dynamic correlation coefficients of stock market and American stock market are significantly time-varying, which provides a basis for asset management companies to implement active management strategy.
【作者单位】： 辽宁工程技术大学;
【基金】：辽宁省教育厅2012科学研究一般项目(W2012047)
【分类号】：F831.5
[Abstract]:Based on the daily trading data of major Asian and American stock markets, this paper makes an empirical study on the dynamic contagion mechanism of the sub-prime mortgage crisis affecting the stock markets of major Asian countries. The results show that the correlation coefficient of Asian stock market and American stock market during the subprime mortgage crisis is significantly higher than that before and after the subprime mortgage crisis, and the stock market has become an important contagion mechanism of the sub-prime mortgage crisis in the United States. There are structural breakpoints in the dynamic correlation coefficient between the stock market and the United States stock market, but there is not enough evidence that the correlation coefficient exists trend drift, that is, the dynamic correlation coefficient exists the mean regression phenomenon (mean-reversion), and the stock market is positively correlated with the American stock market. However, there are significant differences in the correlation degree, and the dynamic correlation coefficients of stock market and American stock market are significantly time-varying, which provides a basis for asset management companies to implement active management strategy.
【作者单位】： 辽宁工程技术大学;
【基金】：辽宁省教育厅2012科学研究一般项目(W2012047)
【分类号】：F831.5
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