金融危机前后中英美股票市场间波动溢出效应比较

Comparison of Stock Market Volatility Spillover Effect Before and After Financial Crisis in China,UK and USA

为研究波动溢出效应是否存在于中英美股市问,若存在,波动溢出效应传导机制如何,截取2005年7月22日至2009年6月30日的标准普尔500指数、伦敦金融时报100指数、沪深300指数共1045个日收盘数据,时间段分为金融危机前后,分别构建三元MGARCH-BEKK模型,实证结果表明:(1)金融危机发生前,中英美股市间存在波动溢出效应,传导机制为:先从英国到美国再到中国;(2)金融危机发生后,中英美股市间仍存在波动溢出效应,但传导机制变为:先从美国到英国再到中国。通过比较分析实证结果,得出如下结论:(1)美国是全球股票市场风险的主要来源国,特别是金融危机之后更加明显;(2)中国是全球股票市场风险的主要接受国。

In China, USA, and UK, for comparing volatility spillover effect of the three stock market. First of all, intercepted data of S ＆ P 500, FTSE 100, Shanghai and Shenzhen 300 from 2005-7-22 to 2009- 6-30. Then, divided into two periods： before financial crisis and after financial crisis. At last, applyed a three-variable MCARCH-BEKK model, we found： （1） Before financial crisis, transmission mechanism from UK stock market to USA to China; （2） After financial crisis, from USA stock market to UK to China. Conclusion： （1） In the world, USA was the main volatility source of stock market, especially after financial crisis; （2） In the world, China was the main volatility destination of stock market.