证券市场间溢出效应的研究综述

Summarization of Spillover Effect between Securities Markets

在全球资本市场一体化的背景下,不同证券市场间的相关性日益突出。当一个市场受到风险冲击而发生价格变动时,其他市场也可能跟随发生变动,金融风险在市场间的传递是指冲击的跨市场的溢出效应。因此,研究证券市场之间的溢出效应十分必要。本文通过研读大量文献,综述了国内外研究溢出效应的各种方法以及此领域的发展动态。

The relativity between different securities markets is becoming more and more important in the background of global capital market integration. Impacts to one market can make other markets influenced also, Risk infection between securities markets is spillover effect. Thus, research about the spillover effect between securities markets is important and necessary. Through reading many relative papers, this article summarizes the spillover effect between securities markets.