基于copula函数的国际证券市场传染效应实证分析

Empirical Analysis on the Dependence Structure of Internatioinal Stock Markets using copula Method

随着国际经济一体化程度和世界贸易自由化程度的不断提高,各国经济相互依赖程度不断加深.一国经济的突发性事件将导致国际金融市场间联动程度的显著增强,并有可能对一定区域乃至世界范围内的经济产生传染效应.鉴于目前传染效应检验方法的不足,提出运用copula函数方法;通过考察危机前后各国金融市场间相关结构的变化,提出了检验金融危机传染效应的新方法,并对亚洲证券市场相关结构进行建模,实证分析了美国次级债危机的传染效应.

With the improvement of the international economy integration, the dependence between countries is higher. After a shock to one country, the co-movement of the international stock markets is increasing, and the propagation effect of economic risks becomes increasingly striking. Because of lacking the method of testing the contagion effect in international stock markets, this article introduced copula function to model the dependence structure of stock markets and to test the contagion effect. Furthermore, using this method, to model the dependence structure of Asian stock markets, can find whether there is contagion effect during the American subordinated bond crisis.