期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

美国金融危机对中国股票市场的价格溢出效应——基于中美股票市场ICB分类数据的研究 被引量：1

原文传递
导出
摘要 基于ICB标准的中美股票市场日频分类数据,考察2007-2010年美国金融危机对我国股票市场的影响发现:在此次金融危机过程中,资源类、能源类、消费品类、工业类和金融类股票受影响较大,公用事业类股票在危机时刻才易受到外部冲击,医疗类和电信类股票在危机前后受外界冲击的影响较小。雷曼事件对我国非金融类企业的股票影响显著,人民币汇率对股价的影响在危机前后发生逆转,危机过程支持人民币汇率的"出口不利论"假说。
作者 马泽昊 廖慧 张敏
机构地区 南开大学经济学院金融学系 上海财经大学经济学院数量经济系
出处 《郑州大学学报（哲学社会科学版）》 CSSCI 北大核心 2013年第5期91-95,共5页 Journal of Zhengzhou University:Philosophy and Social Sciences Edition
关键词 金融危机 股票价格 雷曼事件 人民币汇率
分类号 F831 [经济管理—金融学]
  • 相关文献

参考文献10

二级参考文献40

  • 1张志波,齐中英.基于VAR模型的金融危机传染效应检验方法与实证分析[J].管理工程学报,2005,19(3):115-120. 被引量：58
  • 2李稻葵.次贷危机对中国宏观经济的影响.新金融,2008,(6).
  • 3Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31,307 - 327.
  • 4Elliot, G. , Rothenberg, T. J. , and Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813 -836.
  • 5Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987 - 1007.
  • 6Kaminsky, G. L. and Reinhart, C. M. (1999). The twin crises: the causes of banking and balance - of - payment problems. American Economic Review, 89,473 - 500.
  • 7Lumsdaine, R.L. and Prasad, E. S. (2003). Identifying the common component of international economic fluctuations: a new approach. Economic Journal, 113, 101 - 127.
  • 8Mitton, T. (2002). A Cross - finn analysis of the impact of corporate governance on the east Asian financial crisis. Journal of Financial Economics, 64, 215-241.
  • 9Reinhart, C. M. and Rogoff, K. S. (2008). Is the 2007 US subprime financial crisis so different? An international historical comparison. American Economic Review, paper & proceedings, 98, 339 - 344.
  • 10Reinhart, C. M. and Rogoff, K. S. (2010). The time is different: six centuries of financial folly. American Economic Review, forthcoming.

同被引文献13

  • 1BenedictClements and Herman Kamil,Are cap-ital controls effective in the 21st century? the recent ex-perience of Colombia,IMF working paper ,February2009.
  • 2Bong-Han Kim and Hyeongwoo Kim,SpilloverEffects of the US Financial Crisis on Financial Marketsin Emerging Asian Countries, Auburn Economics Work-ing Paper Series auwp2011 一04,Department of Eco-nomics, Auburn University.
  • 3Brandt,M. and F. Diebold,A no-arbitrage ap-proach to range-based estimation of return covariancesand correlations [J] Journal of Business. 2006 (79): 61-74.
  • 4FrancisX.DieboId and Kamil Yilmaz ,MeasuringFinancial Asset Return and Volatility Spillowvers withApplication to Global Equity Markets ,2007,working pa-per.
  • 5HelfeneRey, Dilemma not Trilemma: The globalfinancial cycle and monetary policy independence,work-ing paper,August 2013, http://www.voxeu.org/article/dilemma -not -trilemma -global -financial -cycle -and 一monetary-policy-independence.
  • 6KarlHabermeier,Annamaria Kokenyne andChikako Baba,The effectiveness of capital controls andprudential policies in managing large inflows,IMFworking paper,August 2011.
  • 7KhanMiankhel, Kalirajan Kaliappa andThangavelu Shandre. Integration, decoupling and theglobal financial crisis: A global perspective [R].workingpaper,2010.
  • 8MarcioGarcia,Brazilrdid inward capital controlswork? working paper ,March 2013, http://www.voxeu.org/article/brazil - did-inward-capital-controls-work.
  • 9Theoharry Grammatikos and Robert Vermeulen. Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDs Spreads and Exchange Rates [J].Joumal of International Money and Finance. 2012(31):517-533.
  • 10王志峰.次贷危机对中国银行业的影响及对策——从与97金融风暴对比的视角[J].国际金融研究,2009(2):81-87. 被引量：27

引证文献1

二级引证文献3

郑州大学学报（哲学社会科学版）
2013年 第5期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部