金融危机前后中英美股票市场间波动溢出效应比较

发布时间：2018-05-20 02:04

本文选题：股票市场 + 金融危机　；参考：《数理统计与管理》2012年04期

【摘要】：为研究波动溢出效应是否存在于中英美股市问,若存在,波动溢出效应传导机制如何,截取2005年7月22日至2009年6月30日的标准普尔500指数、伦敦金融时报100指数、沪深300指数共1045个日收盘数据,时间段分为金融危机前后,分别构建三元MGARCH-BEKK模型,实证结果表明:(1)金融危机发生前,中英美股市间存在波动溢出效应,传导机制为:先从英国到美国再到中国;(2)金融危机发生后,中英美股市间仍存在波动溢出效应,但传导机制变为:先从美国到英国再到中国。通过比较分析实证结果,得出如下结论:(1)美国是全球股票市场风险的主要来源国,特别是金融危机之后更加明显;(2)中国是全球股票市场风险的主要接受国。
[Abstract]:In order to study whether the volatility spillover effect exists in the Chinese and American stock markets, and if so, what is the transmission mechanism of the volatility spillover effect, it intercepts the Standard & Poor's 500 Index from July 22, 2005 to June 30, 2009, the London Financial Times 100 Index. There are 1045 closing data of Shanghai and Shenzhen 300 index, which are divided into three MGARCH-BEKK models before and after the financial crisis. The empirical results show that there are volatility spillover effects between Chinese and American stock markets before the financial crisis. The transmission mechanism is: from Britain to the United States then to China) after the financial crisis, there is still volatility spillover effect between the Chinese and American stock markets, but the transmission mechanism is: first from the United States to the United Kingdom to China. By comparing and analyzing the empirical results, the following conclusions are drawn: the United States is the main source country of global stock market risk, especially after the financial crisis) China is the main recipient of global stock market risk.
【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(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向资助基金(DUT10ZD107)
【分类号】：F831.51;F832.51;F224

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