沪港股市动态相关性和大风险溢出的实证研究

The Analysis of Dynamic Interdependence and Extreme Risk Spillover between Shanghai Stock Market and Hong Kong Stock Market

本文首先采用时变相关Copula模型对沪港两市收益率的动态相关性进行研究,在此基础上利用BG算法将整个样本期划分为两个不同的阶段,并利用Hong(2001)年提出的风险-Granger因果检验方法分析了不同时段两市间的风险溢出效应。实证结果表明,两地股市收益率的相关性存在逐步增强的趋势,进一步分析表明两市间风险溢出特征在过去发生了显著变化,风险溢出显著增强。

This paper adopts time-varying Copule model to study the dynamic interdependence between Shanghai stock market and Hong Kong stock market. Based on the use of BG algorithm, the whole sample is divided into two different parts, and then utilize the Granger causality test in risk proposed by Hong （2001） to uncover the risk spillover effect between the two stock markets. Our findings indicate that the risk spillover effect between the two stock markets has passed a significant change in the past, and it has significantly enhanced.