金融危机期间主要国家证券市场联动性实证研究

An Empirical Study on the Interactivity of the Stock Marks of Important Countries during the Monetary Crisis

2007年开始的次贷危机席卷欧美,各国证券市场出现大幅波动。由于次贷按揭相关的证券化商品RMBS,CDO不断贬值,加剧了欧美各国银行系统的流动性枯竭,最终导致了雷曼兄弟的破产,由此演变成了一场全球金融海啸,世界各国证券市场暴跌不止,经济不断恶化。文章将分析金融危机期间世界主要国家证券市场的联动性和波动的因果关系,同时探讨这些国家间的证券市场是否具有长期平衡关系。

Since the beginning of subprime mortgage crisis in 2007,there has been a wide fluctuation in most countries＇ stock markets.The continuing devaluation of those stock goods,like RMBS,CDO,related to subprime mortgage,sped up the liquidity exhaustion of European and American bank systems,and eventually led to the bankruptcy of Lehman Brothers Commercial Corporation.Thus,a global monetary crisis came into being,stock prices plummeted in the stock markets of every country,and the economy was worsening.This article tries to analyze the cause-effect relation between the interactivity and fluctuation of the stock markets of important countries during the monetary crisis.