金融危机前后的全球主要股指联动与动态稳定性比较

发布时间：2018-04-14 19:09

本文选题：金融危机 + 联动效应　；参考：《系统工程理论与实践》2010年10期

【摘要】：针对传统参数分析法可能存在参数和指标多样化而导致结果迥异的问题,提出直接从真实交易数据入手,采用具有准确拓扑序列的亚超度量空间方法.通过对2005年7月22日至2009年6月30日全球最具代表性的52个股指的日数据,并以2008年9月15日为金融危机前后的分界点进行实证,结果发现:金融危机爆发后,全球股市股指间地理区域聚集效应更加明显,各股指间的相关程度显著提高,其联动性更强;全球股指的动态稳定性在整体上是相对稳定的;在金融危机后,美国的股指影响力在降低,而中国在增强.为了避免全球股指剧烈波动,金融监管应该是全球协调的,而不应是一个国家或某个区域的单独行为.应保持世界各国证券市场的"多样性(差别化)",来防止经济和金融一体化带来的"一荣俱荣,一损俱损".
[Abstract]:In view of the problem that the traditional parameter analysis method may result in different results due to the diversity of parameters and indexes, this paper puts forward a sub-supermetrometric space method with accurate topological sequence, which can directly start with real transaction data.Through the daily data of 52 most representative indexes in the world from July 22, 2005 to June 30, 2009, and taking September 15, 2008 as the dividing point before and after the financial crisis, the results show that: after the financial crisis broke out,The geographical regional aggregation effect among the global stock indexes is more obvious, the correlation degree among the indexes is significantly increased, and the linkage is stronger; the dynamic stability of the global stock index is relatively stable on the whole; after the financial crisis, the global stock index dynamic stability is relatively stable.U. S. stock indexes are becoming less influential, while China is strengthening.To avoid volatile global stock indexes, financial regulation should be globally coordinated, not as a separate act of a country or a region.The "diversity" of the world's securities markets should be maintained to prevent the "prosperity and loss" brought about by economic and financial integration.
【作者单位】：大连理工大学管理与经济学部;
【基金】：国家自然科学基金(71033002,70772087) 教育部人文社会科学研究项目基金(09YJC790025) 中央高校基本科研业务费专项资金(DUT10ZD107)
【分类号】：F832.51

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