基于互谱分析的证券市场危机传染研究

A Study on Crisis Contagion between Securities Markets Based On Cross-Spectral Analysis

以次贷危机为背景,通过互谱分析实证研究了美国和中国证券市场的危机传染效应。研究结果表明,次贷危机发生后美国和中国证券市场之间的关联性在短期内发生了显著性的加强,说明两个证券市场之间发生了危机传染。在危机传染中虽然中国证券市场在非常短的周期内会影响到美国证券市场,但主要是美国证券市场领先中国证券市场。

The contagion effect of crisis between the United States and China＇s securities markets is examined using the cross-spectral analysis in the context of subprime crisis. The relationship between the securities markets of United States and China is found to be significantly manifested in the short run after the occurrence of subprime crisis, which indicates a contagion for the two securities markets. The United States securities market is discovered to lead China＇s securities market in the main time, although market of China will the U.S. securities market in a very short period affect.