利用非参分位数回归模型分析金融市场的风险传染

Research on Risk Contagion of Financial Markets by Using Nonparametric Quantile Model

基于市场风险的角度,采用非参分位数回归模型,结合中国、美国、英国和日本4个国家股票市场的数据进行实证分析.实证结果表明:4个国家的金融市场存在着风险传染效应,而且这种传染是非线性的;风险产生国的金融市场首先受到影响,进而再传染到其他3个国家的金融市场,而且这种风险传染对于不健全的金融市场的影响程度要大于相对比较健全的金融市场.

The case study has been done in this paper with the nonparametric quantile regression method connecting with the data of stock markets of four countries China, America, Britain and Japan, from a view of market risk, which shows that there are risk contagion effects among the financial markets of the four countries. And this contagion is nonlinear. The financial market of the country resulting in the risk is firstly affected and then the effects are contaminated into the financial markets of other three countries. The degree of effects on unsound financial markets is bigger than that of relatively sound financial markets.