基于DCC-MGARCH-VAR模型的金融传染分析——来自亚洲股票市场的证据

Analysis on the Dynamics of Financial Contagion based on DCC-GARCH-VAR Model—Evidence from Asian Stock markets

本文采用亚洲主要国家股市与美国股市的日交易数据,对美国次贷危机影响亚洲主要国家股市的动态传染机制进行实证研究。结果表明:美国次贷危机期间亚洲各国股市与美国股市的相关系数均显著高于次贷危机前与次贷危机后,股市成为美国次贷危机重要的传染机制;各国股市与美国股市动态相关系数存在结构性断点,但是没有足够证据表明相关系数存在趋势性漂移,即动态相关系数存在均值回归现象(mean-reversion);各国股市与美国股市均为正相关,但是在相关程度上存在显著性差异;各国股市与美国股市动态相关系数均存在着显著的时变性,这为资产管理公司实行积极管理策略提供了依据。

using the daily trading data of major countries in Asia, this paper investigates the contagion mechanism through which the stock markets in Asia are affected. The results show that： the correlations between each country in Asia and US were bigger than that of pre and post-crisis ; there exist structural breaks among the correlation coefficients, however, there is no strong evidence indicating trend shift of correlation, which means that the correlation is of mean-reversion; there is positive correlation between each stock market in Asia and the USA stock market, and the correlation is dynamic and persistent.