基于Google Trends注意力配置的金融传染渠道

发布时间：2018-05-17 04:24

本文选题：金融传染 + 有限注意力　；参考：《管理科学学报》2012年11期

【摘要】：20世纪末期金融危机的频繁发生和不同金融市场联系的日趋紧密使得金融传染在近年来受到广泛的关注.由于金融传染的多样性和不确定性,致使金融危机传染渠道的确定成为金融传染问题研究的难点.文章首先引入一个线性回归模型,以研究投资者的注意力对市场震荡的反馈,然后设计了一个非线性回归模型来验证市场间金融危机的传染效应.在考虑了市场间的直接传染和基于注意力配置的间接传染因素下,研究了相依性情形下的金融传染的存在性问题.基于Google Trends搜索量,结合2007-2008年次贷危机时期,美国、中国、日本和韩国市场间的数据进行了丰富的实证分析.实证结果发现,在相依性情形下,次贷危机在东亚三市场间存在显著的直接传染效应,同时,注意力配置作为一种间接传染渠道,在危机的传染中非常显著.
[Abstract]:The frequent occurrence of financial crisis in the late 20th century and the increasingly close relationship between different financial markets make financial contagion widely concerned in recent years. Because of the diversity and uncertainty of financial contagion, the determination of financial crisis contagion channel becomes the difficulty of financial contagion research. This paper first introduces a linear regression model to study the feedback of investors' attention to market shocks, and then designs a nonlinear regression model to verify the contagion effect of inter-market financial crisis. Considering the direct contagion between markets and indirect contagion based on attention allocation, this paper studies the existence of financial contagion in the case of dependence. Based on the Google Trends search volume, combined with the 2007-2008 sub-prime crisis period, the data between the United States, China, Japan and South Korea are analyzed. The empirical results show that the subprime mortgage crisis has a significant direct contagion effect among the three markets in East Asia under the condition of dependence and attention allocation as an indirect contagion channel is very significant in the contagion of the crisis.
【作者单位】：江西财经大学金融学院证券与期货研究中心;中国科学院管理决策与信息系统重点实验室;中国石油大学工商管理学院;
【基金】：国家自然科学基金重点资助项目(70933003) 国家自然科学基金青年基金资助项目(71001045) 中国博士后基金面上资助项目(2010048049) 江西省自然科学基金资助项目(20114BAB211008) 江西财经大学优秀青年学术人才支持计划中国博士后基金特别资助项目(2012T50147)
【分类号】：F830.9;F224

【参考文献】