中国大陆及周边股市动态ES风险传导关系效应研究

发布时间：2018-04-03 04:28

本文选题：金融市场　切入点：典型事实　出处：《管理评论》2012年09期

【摘要】：探索金融市场极端风险传导机理一直是政府管理当局、投资者关注的焦点。本文针对股市中存在的典型事实及股市损失分布复杂性特点,运用ARMA-GJR对股市指数条件损失进行建模分析,进而运用EVT对标准残差的极值尾部建模估计出股市极端风险ES,然后运用Granger-Causality检验技术,分别考察两个市场间极端风险ES的传导关系。实证结果表明:在整个样本期间,中国大陆沪深股市极端风险具有双向传导关系,香港市场向深市传导风险,而深市不能向香港传导风险,东京市场与香港市场、香港与台湾市场具有双向传导关系;而在熊市期间,中国大陆与周边市场极端风险ES传导关系变得更为复杂。
[Abstract]:Exploring the mechanism of extreme risk transmission in financial markets has always been the focus of government administration and investors.In view of the typical facts in the stock market and the complexity of the distribution of the losses in the stock market, this paper uses ARMA-GJR to model and analyze the conditional loss of the stock market index.Then we use EVT to estimate the extreme risk ESs of the stock market by using the extreme tail model of the standard residuals, and then use the Granger-Causality test technology to investigate the conduction relationship of the two markets for the extreme risk es.The empirical results show that in the whole sample period, the extreme risks in the Shanghai and Shenzhen stock markets in mainland China have a two-way transmission relationship, the Hong Kong market transmits the risk to the Shenzhen market, while the Shenzhen market cannot transmit the risk to Hong Kong, and the Tokyo market and the Hong Kong market,Hong Kong and Taiwan have two-way transmission relationships; during bear markets, extreme risk es transmission relationships between mainland China and surrounding markets become more complex.
【作者单位】：成都理工大学商学院;西南交通大学经济管理学院;
【基金】：国家自然科学基金项目(71071131;71171025) 国家社会科学基金项目(12BGL024) 教育部人文社会科学研究青年基金(10YJCZH086) 成都理工大学中青年骨干教师培养计划(2011-013)
【分类号】：F224;F832.51

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