基于Wishart检验的金融市场风险溢出研究

A Study on the Risks Overflow of Financial Markets Based on Wishart Test

在假定两个金融市场均为有效市场的条件下,基于Wishart分布对不同滞后相关系数进行Wishart检验,来确定在这两个金融市场之间的风险溢出发生期和风险溢出强度。实证检验结果显示,沪、深两市之间的风险溢出发生期大约在3分钟之内,且在3分钟的风险溢出发生期内沪市对深市的风险溢出强度较深市对沪市的风险溢出强度衰减速度缓慢,这反映了沪市较深市具有更重要的影响力,该研究结果与金融市场的实际情况吻合。

As two financial stock markets are eonsidered as effective financial markets, it is possible to test the lagged eorrelation coefficients by using Wishart Test to measure the risk overflow period and the risk overflow strength. The results of actual test show that there is risk overflow between the shanghai stock market and Shenzhen stock market in approximately 3 minutes and, in particular, the strength of risk spillover from shanghai stock market to Shenzhen stock market is declining more slowly than the strength of risk overflow from Shenzhen to shanghai. So, it is eoncluded that the Shanghai stock market has more effect power than Shenzhen. The above eonclusion are accord with the actual situation.