中国股市与国际股市的融合度研究——以次贷危机与欧债危机为背景

发布时间：2018-04-01 07:04

本文选题：融合度　切入点：联动　出处：《浙江工商大学学报》2014年04期

【摘要】：本文运用ICAPM模型和GARCH-动态COPULA函数,研究了次贷危机和欧债危机期间,我国股市的风险定价特点及与国际股市之间融合度的演变过程,并探讨了两次危机在国内股市全球化过程中的不同影响。实证结果表明:(1)国内股市的资产超额收益率同时受全球市场风险溢价、国内市场风险溢价及货币风险溢价的显著影响,样本期内国内股市与国际股市为部分整合关系,且整合程度呈不同阶段特点,欧债危机期间全球风险溢价对国内资产收益率影响最大;(2)COPULA尾部相关系数表明,危机发生后市场间联动性增强,融合度提高,但相比欧债危机,次贷危机对市场间联动及国内市场的风险冲击并不大。
[Abstract]:In this paper, we use ICAPM model and GARCH-dynamic COPULA function to study the risk pricing characteristics of Chinese stock market during the subprime mortgage crisis and the European debt crisis, and the evolution process of the degree of convergence between the stock market and the international stock market. The empirical results show that the excess return rate of the domestic stock market is significantly affected by the global market risk premium, the domestic market risk premium and the currency risk premium, and the empirical results show that the excess return rate of the domestic stock market is significantly affected by the global market risk premium, the domestic market risk premium and the currency risk premium. In the sample period, the domestic and international stock markets are partially integrated, and the degree of integration is characterized by different stages. During the European debt crisis, the global risk premium has the greatest influence on the domestic asset return rate, and the tail correlation coefficient of COPULA shows that, After the crisis, the interaction between markets increased and the degree of financial integration increased, but compared with the European debt crisis, the subprime mortgage crisis did not have a big impact on the inter-market linkage and domestic market risk impact.
【作者单位】：厦门城市职业学院财会金融系;
【基金】：2012年福建省教育厅社科项目“开放经济下我国证券市场的分割与事例研究”(JB12640S)
【分类号】：F832.51

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