中国股市与国际股市的极值风险传导效应研究被引量：19

Study on Contagion Effect between Chinese Stock Market and Other International Stock Markets

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摘要本文针对股市中具有的部分典型事实构造股市指数损失的标准残差序列,并运用EVT对其极值尾部建模进而估计出股市指数的动态极值风险,然后基于Granger-Causality检验方法分析中国股市与国际上主要股市之间的极值风险传导效应。结果表明,在过去相当长时间内,中国大陆沪市与其它三个国际股市不存在风险传导效应而处于分割状态,但自2007年起,中国大陆沪市可以通过香港市场与其它国际股市进行极值风险传导;日本东京股市极值风险单向传导给香港股市,香港股市又单向传导给美国纽约股市;日本东京股市和美国纽约股市的极值风险存在明显的双向传导关系。 It is a key issue for some government to study on risk contagion effect among different international financial markets. In this paper we construct standardized residuals of indices loss based on some stylized facts in stock market, and then measures dynamic extreme risk based on stylized facts and EVT, at last, we use Granger-Causality method to test contagion effect of dynamic extreme risk of Chinese stock market and other international stock markets. Our results show that extreme dynamic risks transmit from Chinese stock market to other three international stock markets through Hong Kong stock market. Extreme dynamic risks transmit form Hong Kong stock market to Tokyo stock market, and then transmit form Tokyo stock market to New York stock market. There exists bidirectional contagion effect between Tokyo and New York stock markets.

作者林宇

机构地区成都理工大学商学院

出处《中国管理科学》 CSSCI 2008年第4期36-43,共8页 Chinese Journal of Management Science

基金国家自然科学基金资助项目(70771097)

关键词股票市场典型事实 EVT 动态风险传导效应 stock market stylized facts EVT dynamic risk contagion effect.

分类号 F831.59 [经济管理—金融学]

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参考文献21

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