当代国际金融危机以来中美股市的风险研究

The Risk of the Stock Markets in China and America since the Contemporary International Financial Crisis

本文运用EGARCH—t模型,实证研究自当代国际金融危机以来中美两国股市的动态VaR值,并对两国的股市风险进行比较。结果显示:中美股市均存在冲击的非对称性,股票指数收益率的波动呈现出聚集性和持续性;中美股市都存在风险低估的现象,且中国股市低估风险的程度小于美国股市低估风险的程度;中国股市的风险高于同时期的美国股市,其股票指数收益率的波动性带来的负面影响更大。

In this paper,the EGARCH—t model is used to analyse the dynamic Value at Risk of stock market in China and America since the contemporary international financial crisis. The results show that there are asymmetrical impacts on the stock markets,the yield of stock indexes has significantly volatility clustering and persistence. There is the phenomenon of underestimating the risk of the stock markets in both countries,and the extent of underestimating the risks of the stock markets in China is lower than American. The risk of Chinese stock market is higher than American in the same period,which means that there are more adverse impacts with the volatility of stock index＇s yield in China.