金融危机前后股票市场传染效应比较分析.pdfVIP

金融危机前后股票市场传染效应比较分析 倪晋武 段希文 蒲斯伟 （中国人民大学财政金融学院，北京100872） The Contagion Effects of Stock Markets during the Financial Crisis study on the China Mainland and Overseas Markets Jingwu Ni Xiwen Duan Siwei Pu 摘要：全球金融危机以来，各国股票市场的价格趋势和波动特征与此前相比均发生了显著 的变化。本文分别研究了金融危机前和金融危机中我国沪市与香港、美国股市的传染效应，运 用Granger 因果检验和BEKK-MGARCH 模型分别考察市场间价格的传染效应和波动溢出效应。结 果表明：金融危机前，美国道.琼斯指数和香港恒生指数对我国上证指数都存在价格 导作用。 而金融危机中，上证指数一方面仍旧受道.琼斯指数趋势的引导，但另一方面反而影响了恒生指 数的价格趋势；在波动溢出效应方面，金融危机前，恒生指数对上证指数存在显著的波动溢出 效应；金融危机中，上证指数反而对恒生指数具有一定程度的单向波动传染效应，同时道.琼斯 指数对上证指数的波动传染效应在两个时间段均不明显。 关键词： 全球金融危机、传染效应、股票市场连动 作者简介：倪晋武、段希文、蒲斯伟，中国人民大学财政金融学院博士研究生，研究方向：金 融与证券市场。 Abstract : Since the breaking out of global financial crisis, the characteristics of stock price and fluctuation have undergone outstanding changes for all stock markets in the world. Our study, through the method of Granger Causality Tests and BEKK-MGARCH model, makes research on the contagion effects of price and volatility between Shanghai stock market of China, HongKong stock markets and U.S. stock markets before and during the global financial crisis. Our results show that: on the price contagion aspect, both the DowJones stock index and Hangseng stock index have price leading effects on our Shanghai stock index before the financial crisis, but during the crisis, it is the Shanghai stock index that affect Hangseng index and still be led by DowJones index; on the volatility aspect, relationship between Hangseng index and Shanghai stock index is similar to that of price, but DowJones index does not have a significant spillover effects on Shanghai stock index either before or during financial crisis. Key words: Global Financial Crisis, Contagion Effects, 引言 自20 世纪 70 年代以来，在信息技术革命、金融自由化和金融创新的带动下， 国际资本流动沿着快速、多元化的路径发展，它既提高了资源的全球配置效率，促 进全球经济增长，也加快了金融全球一体化的进程，使得各国金融市场的