金融危机前后股票市场传染效应比较分析

The Contagion Effects of Stock Markets during the Financial Crisis

全球金融危机以来,各国股票市场的价格趋势和波动特征与此前相比均发生了显著的变化。本文分别研究了金融危机前和金融危机中我国沪市与香港、美国股市的传染效应,运用Granger因果检验和BEKK-MGARCH模型分别考察市场间价格的传染效应和波动溢出效应。结果表明:金融危机前,美国道.琼斯指数和香港恒生指数对我国上证指数都存在价格引导作用。而金融危机中,上证指数一方面仍旧受道.琼斯指数趋势的引导,但另一方面反而影响了恒生指数的价格趋势;在波动溢出效应方面,金融危机前,恒生指数对上证指数存在显著的波动溢出效应;金融危机中,上证指数反而对恒生指数具有一定程度的单向波动传染效应,同时道.琼斯指数对上证指数的波动传染效应在两个时间段均不明显。

Since the breaking-out of the global financial crisis,the characteristics of stock price and fluctuation have undergone dramatic changes for all stock markets in the world.Our study,through the method of Granger Causality Tests and BEKK-MGARCH model,makes research on the contagion effects of price and volatility between Shanghai stock market of China,Hong Kong stock markets and U.S.stock markets before and during the global financial crisis.Our results show that： on the price contagion aspect,both the Dow Jones industrial average index and Hang Seng index have price leading effects on Shanghai stock index before the financial crisis,but during the crisis,it is the Shanghai stock index that affect Hang Seng index and still be led by Dow Jones index;on the volatility aspect,relationship between Hang Seng index and Shanghai stock index is similar to that of price,but Dow Jones index does not have a significant spillover effects on Shanghai stock index either before or during the financial crisis.