聚类法分析美国次贷危机对全球股市的影响

Analysing the Impact of the U.S. Subprime Crisis on the Global Stock Market by Cluster Analysis Method

研究以全球具有代表性的37种股指的周收益率作为资料来源,以爆发一年多来的美国次贷危机为背景,将2007年4月～2008年11月的数据分为五个阶段,用聚类分析方法研究美国次贷危机对全球股市的影响.实证结果表明:1)欧美大部分国家的股市与美国股市密切相关,在次贷危机经历的第三个阶段和第五个阶段,亚洲一些国家的股市也受到美国股市的影响,且第五个阶段的影响范围是最广的.2)中国大陆股市在整个过程中都保持着相对较独立的走势.

The paper studies the influence of the U. S. subprime crisis on global stock market. In this study, the duration from April 2007 to November 2008 was divided into five stages, and 37 typical stock indexes and their weekly rates of return were selected as the research resource and analyzed with the Cluster Analysis method. The empirical results showed that： 1） The U.S. stock market and those of European and American countries are closely related. Its influence on the stock markets in some Asian countries emerged during the 3rd and 5th stages, and the impact of the 5th period was the widest. 2） The stock market in mailand, China, maintained a relatively independent trend throughout this crisis.