后金融危机时期中国股市的国际地位——基于非线性视角的股市联动网络分析

发布时间：2018-06-17 02:55

本文选题：中国股市 + 国际地位　；参考：《南方经济》2017年06期

【摘要】：后金融危机时期全球股市一体化程度不断提高,全面认识中国股市的国际地位对于揭示国际股市一体化联动中的传导机制,防范和应对国际金融风险冲击具有重要的理论意义和现实价值。文章应用非线性格兰杰因果检验方法和社会网络分析方法,对金砖国家和七国集团股市收益率和波动率的联动关系及其联动网络结构进行分析,揭示出中国在国际股市联动中的地位对传导关系的控制方式,定量分析出事件冲击下中国股市与国际股市之间的交互影响。研究发现:(1)国际股市收益率和波动率联动网络呈现出稳定的非线性联动关系网络结构,受其影响各国股市收益之间存在互惠性,而波动之间则存在传染性;(2)在收益率联动网络中,中国股市的作用和地位已与英国相当,远高于其他金砖国家,正逐渐由"从属地位"转向"中心地位";(3)在波动率联动网络中,中国股市是造成国际股市风险交叉影响的重要"桥梁"。综上而言,当前中国股市表现出"高风险低收益"的市场特征;(4)中国对国际股市的影响具有典型的"地缘特征",将网络中心国家股市的利好传递给地缘临近国家股市;(5)波动率联动网络中初始冲击强度较大的国家,往往是对中国股市持续大规模产生冲击的国家;(6)相比较国际股市调整波动冲击的时间而言,中国股市调整时间较短,这表明后金融危机时代中国致力于股市的一系列改革举措取得了显著成效。
[Abstract]:In the post-financial crisis period, the degree of global stock market integration has been continuously improved, and a comprehensive understanding of the international position of China's stock market has revealed the transmission mechanism in the linkage of international stock market integration. Preventing and responding to the impact of international financial risks has important theoretical and practical value. This paper applies the nonlinear Granger causality test method and the social network analysis method to analyze the relationship between the stock market yield and volatility of BRICS countries and the Group of Seven (G-7) countries and the linked network structure. It reveals how China's position in the international stock market linkage controls the conduction relationship and quantitatively analyzes the interaction between the Chinese stock market and the international stock market under the impact of events. It is found that the international stock market yield and volatility linkage network presents a stable nonlinear linkage network structure, and there is reciprocity between the stock market returns of various countries affected by it. In the yield linkage network, the role and status of China's stock market is already comparable to that of the UK, much higher than that of other BRICS countries, and is gradually shifting from "subordinate status" to "central position".) in the volatility linkage network, Chinese stock market is the important bridge that causes international stock market risk cross-influence. Taken together, The impact of China on the international stock market is characterized by "high risk and low yield". The impact of China on the international stock market is characterized by "geographical characteristics", which conveys the positive effects of the national stock market in the center of the network to the stock market of the neighboring countries. Countries with high initial impact strength in the rate-coupled network, It is often the country that has sustained a large-scale impact on the Chinese stock market.) compared with the time taken by the international stock market to adjust and fluctuate, the adjustment period of the Chinese stock market is relatively short. This shows that the post-financial crisis China committed to a series of stock market reform measures have achieved remarkable results.
【作者单位】：山东财经大学工商管理学院;山东财经大学经济学院;
【基金】：国家社科基金一般项目(16BJL033) 教育部人文社会科学研究青年基金项目(15YJC790011) 山东省自然科学基金项目(ZR2016GM18) 山东省社会科学规划研究项目(14CJJJ33) 山东省高等学校人文社科基金一般项目(J17RA080、J17RA092、J15WG09)的资助
【分类号】：F832.51

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