基于小波分析研究美国次贷危机在全球股票市场中的传染

The Contagion of the United States' Subprime Crisis in International Stock Markets Based on Wavelet Analysis

基于调整相关系数模型,在小波分析框架下,研究美国次贷危机在全球股票市场中的传染。研究发现:传染可以被分为时间上总体趋势的传染和频率上细节变动的传染,且这两种传染可以被分解到不同尺度进行研究;使用极大重叠离散小波变换的调整相关系数方法比不使用小波的方法更精确;两种传染的共同作用使得全球股市之间的联系比危机发生前更加紧密:总体趋势的传染具有区域性特征,该特征支持了文中提出的2次传染的假设;波动幅度的传染比基本联系的传染持续的时间要短。欧盟区作为高度一体化组织,区域内波动没有相互传染,受到外部波动传染,很快在系统内分散消失,没有再对其他国家发生2次传染。全球资本流动是导致危机传染的重要渠道,金融危机传染与资金流向轨迹高度一致。

We use the adjustment correlation model though wavelets analysis to quantify the contagion of the United States＇ subprime crisis in international stock markets.Coefficients of volatility correlation of the return rate time series data show that contagion do exist in the world stock markets during the subprime crisis.We find that crisis contagion can be divided into two kinds： contagions of general characteristics of the stock markets and contagions of detailed difference of the stock markets.To further conduct the research,we dispose the correlation coefficient by using wavelet scale and modify the coefficient by using the adjustment correlation model.The empirical results reveal that contagions vary in regions with different durations.It＇s also proved that wavelets analysis is more accurate within the adjustment correlation model.