美国金融危机对我国股市的传染渠道及效应——基于VAR模型和BEKK模型的检验

The Contagion Channels and Effects of U.S.Financial Crisis to Chinese Stock Market——Based on the Testing of VAR and BEKK Approaches

采用VAR和BEKK模型研究了美国金融危机前后美国股票市场、货币市场、汇率市场与我国股市收益率之间的均值及波动溢出效应,并通过对比危机前后溢出效应的变化,分析了其是否对我国股市产生了传染效应。研究发现,通过美国股市、货币市场和汇率市场,金融危机对我国股市收益率均值水平的传染效应显著,仅通过美国货币市场金融危机对我国股市波动性的传染效应显著。

U.S.financial crisis has an impact on Chinese stock market by some transmission channels.By comparing the degree of change of spillover effects before and after crisis,the impact of U.S.financial crisis on Chinese stock market through spillover effects is analyzed.As the results,the contagion effect of the crisis on Chinese stock market average yield levels is significant in the U.S.interbank market,stock market and exchange market.The contagion effect on Chinese stock market volatility is significant only in the U.S.interbank market.